Inventing Money: The Story of Long-Term Capital Management and the Legends Behind It

by Nicholas Dunbar

Book Overview

Der LTCM (Long-Term Capital Management) - ein Rentenportfolio im Wert von 100 Mrd. US Dollar - verfügte über 5% des globalen Zinsswap-Marktes sowie andere Derivate, wodurch der Fonds einen fiktiven nominellen Wert von 1 Billion US Dollar hatte. Gemanagt wurde er vom "Dream Team" Robert Merton und Myron Scholes (beide Nobelpreisträger für ihre Arbeit zur Optionspreisbildung), John Meriwether (früherer Vize-Vorsitzender der Salomon Brothers und ehemaliger...

• Format: Paperback
• Language: English
• ISBN: 0471498114
• ISBN13: 9780471498117
• Release Date: January 2001
• Publisher: Wiley
• Length: 288 Pages
• Weight: 0.45 lbs.
• Dimensions: 0.7" x 6.1" x 9.0"

Customer Reviews

Easily the best LTCM book I've read

This is an extraordinarily well-written book. However, if you're not well-versed in quantitative finance, you're probably going to have a hard time following some parts of the book. Be that as it may, I doubt you'll find a more accurate and more informed book on the subject. For those looking for a more fictionalized, but highly readable, version of events, pick up "When Genius Failed."

Really the Better Book on the LTCM story

I didn't know this book existed until Lowenstein's book on LTCM came out recently with lots of publicity. After reading both titles, I have to rate this one far better for its information content. Lowenstein's book has lots of stories on the human side of the LTCM debacle, except Meriwether, whose information is skimpy at best. Dunbar's book, on the other hand, tells you how the deals were done and why they went wrong. It does take more time to go through this book unless one knows things like "asset swap" already, but it is well worth the effort.Lowenstein's book is like the Hollywood version of things, dramatic but superficial. Dunbar's book is more of a biography of modern finance, in which you can really learn a lot.

The rise and fall of LTCM

Inventing Money is a compelling read to everybody interested in the inner workings of wall street and the derivatives industry in general. It gives an excellent history of the development of the financial markets, with interesting examples, such as the role of the CBOT grain markets during the civil war. In great detail it covers the development of option theory, and the role that Black, Scholes and Merton had. Meriwether's rise at Soloman (see Liars Poker) and the events leading to his departure are also detailed. Finally the details of LTCM and their 'money making machines' are discussed, along with the events that finally brought about LTCM's downfall. In places the book gets very technical but in general Dunbar does an excellent job of explaining and simplifying some extremely complicated principles. I highly recommend this book. It now sits on my bookshelf next to some other great financial reads such as Liars Poker, Barbarians at the Gate, Market Wizards and Den of Thieves. Enjoy

Can Of Worms

Nicholas Dunbar has skillfully taken the lid off the can of worms which was the LTCM collapse with this story of the individuals and institutions involved in one of the most spectacular business failures of the past decade. His clinical yet gripping account is impartial and fair in dealing with the ethical aspects of the story and sympathetic to the human tragedy played out by the principal actors in this financial melodrama. Dunbar's account will last as a portrait of the world of derivatives, options and markets long after "Wall Street" and other attempts at putting flesh on the bones of the financial world have been consigned to the fantasy shelves, where they belong. In telling the story of LTCM's rise and fall, Nick Dunbar manages, very subtly, to initiate us into some of the more arcane mysteries of risk management in the world of options and derivatives. Like all the best instructors, he succeeds in enthusing us for his subject. From his opening sentence, Dunbar persuades us to be fascinated by the LTCM story and to want to understand it. Readers across all shades of the spectrum from professional to amateur will acquire valuable information from "Inventing Money"; as well as having a hugely enjoyable read.

Enjoyable on Many Levels

Nick Dunbar's literate, compact volume takes the reader from the beginnings of the financial revolution marked by Black, Scholes and Merton's discovery of the heralded "Black-Scholes Options Pricing Forumula" through the heady days of John Merriwether's "Bond Arb" group and the treasury scandal that threatened to end his career, to the formation and ultimate demise of Long Term Capital Management, perhaps the most famous hedge fund in history. With minimal technical jargon, Nick Dunbar manages to tell the story with sufficient detail that the unititiated can appreciate the complexity of the financial instruments and models employed by Long Term Capital. These same details are often swept aside in journalistic accounts as generic "highly sophisticated financial instruments" and well-known "mind-bogglingly complex mathematical models". Details notwithstanding, Inventing Money never takes its eye off the human side of the story: money was made and lost, careers soared and plummeted, reputations were shattered and many questions were raised as a result of this important episode in the history of financial markets.The book blends an historical perspective of the developments in financial markets over the past 25 years that led to the opportunities as well as the risks presented to the partners of Long Term Capital with a well-researched account of the fund's operations and ultimate demise. Properly researching the rise and fall of LTCM could only have been a daunting task. In its heyday details of the funds operation were kept mainly private and could only have become more so as the proverbial sh-t hit the proverbial f-n. Despite these obstacles, Dunbar does a fine job piecing together published accounts (some not likely to have been seen by the average reader, like statements by David Modest at the "Measurement and Management of Global Financial Risk" conference held at Wharton, April 29-30 1999, a conference I spoke at) and private interviews with key players to arrive at a book that is coherent and likely to provide something new for almost any reader.