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Science of Inexact Mathematics. Investment Performance Measurement. Mortgages and Annuities. Computing Algorithms. Attribution. Risk Valuation [Hardcover]

Yuri K. Shestopaloff
5.0 out of 5 stars  See all reviews (1 customer review)
Price: CDN$ 97.78 & FREE Shipping. Details
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Book Description

Sept. 22 2009
This book presents a coherent and comprehensive study of mathematical methods for investment performance measurement, attribution analysis, mortgages, annuities, and investment risk measurement. It further discusses other advanced topics such as the linking algorithms for rates of return. For the first time, computational algorithms used in these areas of financial mathematics, and the efficiency of their software implementation receive thorough consideration. Overall, this unique work provides a clear conceptual vision of the entire discipline. The high level academic presentation is very well supported by lots of numerical examples, numerous tables and figures. The book includes extensive material for a wide range of related undergraduate and graduate courses in finance and computational mathematics. Many of these courses can be built entirely on the book's content. Academics, researchers and industry specialists, in particular investment analysts and system designers, will find this book an invaluable and comprehensive source of knowledge, reference material, and new ideas. Favorable opinions about this book have been received from Vice-President of Switzerland bank, heads of research departments of major financial institutions in Europe. The author has been invited to do presentations at high level financial forums based on the results presented in this book. Many methods discovered by the author are already in use by industry practitioners.

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Review

Mathematician and consultant Shestopaloff thoroughly explores the world of financial mathematics in a volume that will be valuable to anyone in the field. A valuable addition to the financial mathematician's library. --Kirkus Discoveries, Nielsen Business Media

A work of impressive scholarship, Yuri Shestopaloff's "Science of Inexact Mathematics" is especially recommended for academic, governmental, and professional library collections and is a valued contribution as a graduate level mathematics curriculum supplemental resource. --Midwest Book Review (Oregon, WI USA)

Doctor of Sciences presents a comprehensive monograph on investment analysis, introducing new methods and unifying existing ones within a single conceptual framework; the book ranges from its theoretical underpinnings to the software implementation of particular algorithms, e.g. for the fast computation of the Internal Rate of Return. --ForeWord Magazine, Business & Economics

("Sums of exponential function and their new fundamental properties" and "Science of inexact mathematics"): "Both titles are very impressive academic works and the Library is very pleased to acquire these publications for inclusion to the collections" --Library of Congress, Science, Tech and Business recommender wrote about books by Yuri K. Shestopaloff the following

Useful for beginners and professionals. The author calls this manuscript a reference book. This is true, because beginners who specialize in the given area will find accurate definitions, necessary formulas… Professional practitioners will find analyses and examples on the implementation of numeric methods and computer algorithms, including a comprehensive first-hand explanation of … (SL) method from its author. --A. Sharikov (LA, USA) , five-star review on Amazon.com

From the Publisher

This book is as much for the mathematicians working in the area of financial mathematics as for designers of financial systems and financial calculators. The book received many good reviews from professionals and review journals, and has been appreciated by system designers and developers, in particular in IBM Canada. For instance, Kirkus Discovery wrote the following. Mathematician and consultant Shestopaloff thoroughly explores the world of financial mathematics in a volume that will be valuable to anyone in the field. Beginning with interest and considering annuities, mortgages, and investment and risk measurement methods, Shestopaloff uncovers the complexities of investment mathematics with clear, understandable text accompanied by numerous derivations, examples, graphs and tables. Topics studied include the internal rate of return—which the author considers in a lengthy discussion that includes its relationship with similar calculations—and nominal and effective interest rates. He also considers compounding using various computational methods and linking—a more accurate alternative to geometric linking, which is applied to financial trading. Shestopaloff discusses measurement of risk with details of the various risks and quantifying methods that are involved in investing, such as risks in interest rate, volatility, operational risk, downside risk and more. He briefly explains the probabilistic calculations involved. The introductory text includes definitions of all terms and rapidly advances through equations to allow mathematicians of different skill levels to follow the explanations. An associated software package is available, and the author briefly reviews computation methods, as well as the accuracy obtained by different methods. Shestopaloff ends with a caution that—although software may make many of these calculations invisibly and easily—it is still imperative to understand the mathematics behind the software. His explanations are thorough without excessive wordiness and the text smoothly accompanies equations and derivations. The author helpfully analyzes business consequences alongside the mathematics. The detailed index and table of contents, with paged references to subtopics, make this a very convenient reference book. Although additional editing could have corrected minor linguistic issues, readers will find the text easy to comprehend. Shestopaloff has presented many of these topics in previous peer-reviewed journal papers, but academics, students and professionals—from programmers to financial mathematicians—will find this a convenient one-volume guide, well-written and seamless. A valuable addition to the financial mathematician’s library.

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Most helpful customer reviews
5.0 out of 5 stars Fresh thinking and in-depth analysis June 2 2009
Format:Hardcover
I knew the author as a system architect, when he was designing an investment performance measurement system for the Royal Bank of Canada. (That time, I was a Director of this department.) In this review, I am looking at the book from the perspective of a system designer, one who has to understand all related mathematics to implement the system. I wish we had this book when we were developing our investment performance measurement systems. All the answers we were looking for are in this book, and even more. At the outset, we lacked an understanding of relationships between the different types of rates of return. The book completely covered this subject. We also did not know which computational algorithms are better and how they compared to each other in terms of performance, accuracy, etc. This book covers this information in-depth and is in itself a treasure trove for system designers. There is an interesting chapter on attribution analysis. The author covers all available methods and in addition, introduces a framework and develops new methods on his own, with impressive numerical results. I would also pay attention to new linking methods named in the literature for author. These are very valuable methods from a systems development perspective. Asset and period "slicing and dicing", "asset schemas", etc. are always a headache for system designers complicating things immensely, and this is something that these methods solve. Overall this book is a must have for any serious systems designer or performance measurement analyst.
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Most Helpful Customer Reviews on Amazon.com (beta)
Amazon.com: 5.0 out of 5 stars  3 reviews
5.0 out of 5 stars Very interesting read Feb. 20 2010
By angel - Published on Amazon.com
Format:Hardcover
In my view, the pros are the comprehensiveness and depth of the subject coverage; a consistently scrupulous level of detail; flawless clarity of presentation. What appeals is that the reader can start from scratch and get to an advanced level in all areas of investment performance measurement just by reading this one book, in parts or as a whole. The volume combines the qualities of a reference book, well thought through and conceptually seamless monograph, and a handy manual, when it comes to practical application of investment performance methods and computational algorithms. All in one book! As a note, the computational and system implementation parts are unique, both with regards to the subject itself and, again, in the comprehensiveness of coverage. System designers should be happy to have this book when designing financial systems. Financial analysts, like myself, will benefit in all aspects of business knowledge. The good thing is that the book will be up-to-date for a long time, the depth of conceptual thinking that it presents will unlikely change for decades. I am not sure that all people need the small occasional insertions of general considerations, some of them almost of a philosophical level. Personally, I found some of them interesting. However, this is a minor thing. This is not that these insertions should not be there. They are just not for everybody. Otherwise, the book is an excellent buy.
5.0 out of 5 stars Useful for beginners and professionals Aug. 23 2009
By A. Sharikov - Published on Amazon.com
Format:Hardcover
The author calls this manuscript a reference book. This is true, because beginners who specialize in the given area will find accurate definitions, necessary formulas for compound and non-compound use cases, many illustrations and practical examples of calculations of internal rate of return.
For the wider public, the book will be useful as good reading about the pitfalls of calculating internal rates of return when simple non-compound formulas are used to simplify calculation instead of more accurate compounding approaches.
On the other hand, professional practitioners will find analyses and examples on the implementation of numeric methods and computer algorithms, including a comprehensive first-hand explanation of Shestopaloff's linking (SL) method from its author.
SL allows one to combine internal rates information about different investment periods to find total rate of return. The method can be used to link sequential and non-sequential periods.
The author shows the relationship between SL and well-known geometric linking and how SL extends the geometric linking approach.
The author compares the results of all algorithms available today to prove SL effectiveness.
I found interesting the discussion of the important role of modified Dietz formula and its usage in numeric calculation.
The book describes different mathematical aspects of annuities, mortgages, the internal rate of return equation, investment attribution analysis, and risk assessments, and can probably be used for the development of new trading techniques.
5.0 out of 5 stars A valued contribution as a graduate level mathematics curriculum supplemental resource June 7 2009
By Midwest Book Review - Published on Amazon.com
Format:Hardcover
For dedicated mathematicians, there is as much art and beauty as there is science in their calculations, formulas, precepts, concepts, and expositions. There is also utility, practicality, insight, and value in the application of mathematical principals to financial systems and the economy which are complex compilations of factors that mathematicians develop models to explain otherwise inexplicable and seemingly random phenomena. That's why Yuri Shestopaloff's "Science of Inexact Mathematics: Investment Performance Measurement, Mortgages and Annuities, Computing Algorithms, Attribution, Risk Valuation" is such a seminal work in the field of applied mathematics to financial issues and economic performances with respect to investment strategies and interpretations. Offering detailed computing algorithms (including software implementation), the informed and informative text is enhanced with numerical examples, graphical and tabular illustrations throughout. A work of impressive scholarship, Yuri Shestopaloff's "Science of Inexact Mathematics" is especially recommended for academic, governmental, and professional library collections and is a valued contribution as a graduate level mathematics curriculum supplemental resource.
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