An Empirical Investigation Of Geske Johnsons American Put Option Pricing Model

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Derivatives Markets and Analysis

Author : R. Stafford Johnson
Publisher : John Wiley & Sons
ISBN 13 : 1118228286
Total Pages : 788 pages
Book Rating : 4.1/5 (182 download)

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Book Synopsis Derivatives Markets and Analysis by : R. Stafford Johnson

Download or read book Derivatives Markets and Analysis written by R. Stafford Johnson and published by John Wiley & Sons. This book was released on 2017-08-29 with total page 788 pages. Available in PDF, EPUB and Kindle. Book excerpt: A practical, informative guide to derivatives in the real world Derivatives is an exposition on investments, guiding you from the basic concepts, strategies, and fundamentals to a more detailed understanding of the advanced strategies and models. As part of Bloomberg Financial's three part series on securities, Derivatives focuses on derivative securities and the functionality of the Bloomberg system with regards to derivatives. You'll develop a tighter grasp of the more subtle complexities involved in the evaluation, selection, and management of derivatives, and gain the practical skillset necessary to apply your knowledge to real-world investment situations using the tools and techniques that dominate the industry. Instructions for using the widespread Bloomberg system are interwoven throughout, allowing you to directly apply the techniques and processes discussed using your own data. You'll learn the many analytical functions used to evaluate derivatives, and how these functions are applied within the context of each investment topic covered. All Bloomberg information appears in specified boxes embedded throughout the text, making it easy for you to find it quickly when you need or, or easily skip it in favor of the theory-based text. Managing securities in today's dynamic and innovative investment environment requires a strong understanding of how the increasing variety of securities, markets, strategies, and methodologies are used. This book gives you a more thorough understanding, and a practical skillset that investment managers need. Understand derivatives strategies and models from basic to advanced Apply Bloomberg information and analytical functions Learn how investment decisions are made in the real world Grasp the complexities of securities evaluation, selection, and management The financial and academic developments of the past twenty years have highlighted the challenge in acquiring a comprehensive understanding of investments and financial markets. Derivatives provides the detailed explanations you've been seeking, and the hands-on training the real world demands.

Dissertation Abstracts International

Author :
Publisher :
ISBN 13 :
Total Pages : 476 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis Dissertation Abstracts International by :

Download or read book Dissertation Abstracts International written by and published by . This book was released on 1988 with total page 476 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Fundamental Models in Financial Theory

Author : Doron Peleg
Publisher : MIT Press
ISBN 13 : 0262026678
Total Pages : 493 pages
Book Rating : 4.2/5 (62 download)

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Book Synopsis Fundamental Models in Financial Theory by : Doron Peleg

Download or read book Fundamental Models in Financial Theory written by Doron Peleg and published by MIT Press. This book was released on 2014-03-27 with total page 493 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an innovative, integrated, and methodical approach to understanding complex financial models, integrating topics usually presented separately into a comprehensive whole. The book brings together financial models and high-level mathematics, reviewing the mathematical background necessary for understanding these models organically and in context. It begins with underlying assumptions and progresses logically through increasingly complex models to operative conclusions. Readers who have mastered the material will gain the tools needed to put theory into practice and incorporate financial models into real-life investment, financial, and business scenarios.

Advanced Asset Pricing Theory

Author : Chenghu Ma
Publisher : World Scientific
ISBN 13 : 184816632X
Total Pages : 818 pages
Book Rating : 4.8/5 (481 download)

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Book Synopsis Advanced Asset Pricing Theory by : Chenghu Ma

Download or read book Advanced Asset Pricing Theory written by Chenghu Ma and published by World Scientific. This book was released on 2011 with total page 818 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a broad introduction to modern asset pricing theory. The theory is self-contained and unified in presentation. Both the no-arbitrage and the general equilibrium approaches of asset pricing theory are treated coherently within the general equilibrium framework. It fills a gap in the body of literature on asset pricing for being both advanced and comprehensive. The absence of arbitrage opportunities represents a necessary condition for equilibrium in the financial markets. However, the absence of arbitrage is not a sufficient condition for establishing equilibrium. These interrelationships are overlooked by the proponents of the no-arbitrage approach to asset pricing.This book also tackles recent advancement on inversion problems raised in asset pricing theory, which include the information role of financial options and the information content of term structure of interest rates and interest rates contingent claims.The inclusion of the proofs and derivations to enhance the transparency of the underlying arguments and conditions for the validity of the economic theory made it an ideal advanced textbook or reference book for graduate students specializing in financial economics and quantitative finance. The detailed explanations will capture the interest of the curious reader, and it is complete enough to provide the necessary background material needed to delve deeper into the subject and explore the research literature.Postgraduate students in economics with a good grasp of calculus, linear algebra, and probability and statistics will find themselves ready to tackle topics covered in this book. They will certainly benefit from the mathematical coverage in stochastic processes and stochastic differential equation with applications in finance. Postgraduate students in financial mathematics and financial engineering will also benefit, not only from the mathematical tools introduced in this book, but also from the economic ideas underpinning the economic modeling of financial markets.Both these groups of postgraduate students will learn the economic issues involved in financial modeling. The book can be used as an advanced text for Masters and PhD students in all subjects of financial economics, financial mathematics, mathematical finance, and financial engineering. It is also an ideal reference for practitioners and researchers in the subjects.

Derivatives and Risk Management:

Author : Janakiramanan
Publisher : Pearson Education India
ISBN 13 : 9332501130
Total Pages : 542 pages
Book Rating : 4.3/5 (325 download)

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Book Synopsis Derivatives and Risk Management: by : Janakiramanan

Download or read book Derivatives and Risk Management: written by Janakiramanan and published by Pearson Education India. This book was released on 2011 with total page 542 pages. Available in PDF, EPUB and Kindle. Book excerpt: Derivatives and Risk Management provides readers with a thorough knowledge of the functions of derivatives and the many risks associated with their use. It covers particular derivative instruments available in India and the four types of derivatives. It is useful for postgraduate students of commerce, finance and management, fund managers, risk-management specialists, treasury managers, students taking the CFA examinations and anyone who wants to understand the derivatives market in India.

Real Options

Author : Lenos Trigeorgis
Publisher : MIT Press
ISBN 13 : 9780262201025
Total Pages : 452 pages
Book Rating : 4.2/5 (1 download)

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Book Synopsis Real Options by : Lenos Trigeorgis

Download or read book Real Options written by Lenos Trigeorgis and published by MIT Press. This book was released on 1996-03-14 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt: Comprehensive in scope, Real Options reviews current techniques of capital budgeting and details an approach (based on the pricing of options) that provides a means of quantifying the elusive elements of managerial flexibility in the face of unexpected changes in the market. In the 1970s and the 1980s, developments in the valuation of capital-investment opportunities based on options pricing revolutionized capital budgeting. Managerial flexibility to adapt and revise future decisions in order to capitalize on favorable future opportunities or to limit losses has proven vital to long-term corporate success in an uncertain and changing marketplace. In this book Lenos Trigeorgis, who has helped shape the field of real options, brings together a wealth of previously scattered knowledge and research on the new flexibility in corporate resource allocation and in the evaluation of investment alternatives brought about by the shift from static cash-flow approaches to the more dynamic paradigm of real options—an approach that incorporates decisions on whether to defer, expand, contract, abandon, switch use, or otherwise alter a capital investment. Comprehensive in scope, Real Options reviews current techniques of capital budgeting and details an approach (based on the pricing of options) that provides a means of quantifying the elusive elements of managerial flexibility in the face of unexpected changes in the market. Also discussed are the strategic value of new technology, project interdependence, and competitive interaction. The ability to value real options has so dramatically altered the way in which corporate resources are allocated that future textbooks on capital budgeting will bear little resemblance to those of even the recent past. Real Options is a pioneer in this area, coupling a coherent picture of how option theory is used with practical insights in into real-world applications.

JOURNAL OF MULTINATIONAL FINANCIAL MANAGEMENT VOL. 10 N0. 1 JANUARY 2000

Author : R. AGGARWAL
Publisher :
ISBN 13 :
Total Pages : 548 pages
Book Rating : 4./5 ( download)

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Book Synopsis JOURNAL OF MULTINATIONAL FINANCIAL MANAGEMENT VOL. 10 N0. 1 JANUARY 2000 by : R. AGGARWAL

Download or read book JOURNAL OF MULTINATIONAL FINANCIAL MANAGEMENT VOL. 10 N0. 1 JANUARY 2000 written by R. AGGARWAL and published by . This book was released on 2000 with total page 548 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Foundations of the Pricing of Financial Derivatives

Author : Robert E. Brooks
Publisher : John Wiley & Sons
ISBN 13 : 1394179669
Total Pages : 631 pages
Book Rating : 4.3/5 (941 download)

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Book Synopsis Foundations of the Pricing of Financial Derivatives by : Robert E. Brooks

Download or read book Foundations of the Pricing of Financial Derivatives written by Robert E. Brooks and published by John Wiley & Sons. This book was released on 2024-01-25 with total page 631 pages. Available in PDF, EPUB and Kindle. Book excerpt: An accessible and mathematically rigorous resource for masters and PhD students In Foundations of the Pricing of Financial Derivatives: Theory and Analysis two expert finance academics with professional experience deliver a practical new text for doctoral and masters’ students and also new practitioners. The book draws on the authors extensive combined experience teaching, researching, and consulting on this topic and strikes an effective balance between fine-grained quantitative detail and high-level theoretical explanations. The authors fill the gap left by books directed at masters’-level students that often lack mathematical rigor. Further, books aimed at mathematically trained graduate students often lack quantitative explanations and critical foundational materials. Thus, this book provides the technical background required to understand the more advanced mathematics used in this discipline, in class, in research, and in practice. Readers will also find: Tables, figures, line drawings, practice problems (with a solutions manual), references, and a glossary of commonly used specialist terms Review of material in calculus, probability theory, and asset pricing Coverage of both arithmetic and geometric Brownian motion Extensive treatment of the mathematical and economic foundations of the binomial and Black-Scholes-Merton models that explains their use and derivation, deepening readers’ understanding of these essential models Deep discussion of essential concepts, like arbitrage, that broaden students’ understanding of the basis for derivative pricing Coverage of pricing of forwards, futures, and swaps, including arbitrage-free term structures and interest rate derivatives An effective and hands-on text for masters’-level and PhD students and beginning practitioners with an interest in financial derivatives pricing, Foundations of the Pricing of Financial Derivatives is an intuitive and accessible resource that properly balances math, theory, and practical applications to help students develop a healthy command of a difficult subject.

Derivatives and Risk Management:

Author : Madhumathi
Publisher : Pearson Education India
ISBN 13 : 9332506817
Total Pages : 542 pages
Book Rating : 4.3/5 (325 download)

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Book Synopsis Derivatives and Risk Management: by : Madhumathi

Download or read book Derivatives and Risk Management: written by Madhumathi and published by Pearson Education India. This book was released on 2011 with total page 542 pages. Available in PDF, EPUB and Kindle. Book excerpt: Through the incorporation of real-life examples from Indian organizations, Derivatives and Risk Management provides cutting-edge material comprising new and unique study tools and fresh, thought-provoking content. The organization of the text is designed to conceptually link a firm’s actions to its value as determined in the derivatives market. It addresses the specific needs of Indian students and managers by successfully blending the best global derivatives and risk management practices with an in-depth coverage of the Indian environment.

Numerical Methods in Finance

Author : René Carmona
Publisher : Springer Science & Business Media
ISBN 13 : 3642257461
Total Pages : 478 pages
Book Rating : 4.6/5 (422 download)

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Book Synopsis Numerical Methods in Finance by : René Carmona

Download or read book Numerical Methods in Finance written by René Carmona and published by Springer Science & Business Media. This book was released on 2012-03-23 with total page 478 pages. Available in PDF, EPUB and Kindle. Book excerpt: Numerical methods in finance have emerged as a vital field at the crossroads of probability theory, finance and numerical analysis. Based on presentations given at the workshop Numerical Methods in Finance held at the INRIA Bordeaux (France) on June 1-2, 2010, this book provides an overview of the major new advances in the numerical treatment of instruments with American exercises. Naturally it covers the most recent research on the mathematical theory and the practical applications of optimal stopping problems as they relate to financial applications. By extension, it also provides an original treatment of Monte Carlo methods for the recursive computation of conditional expectations and solutions of BSDEs and generalized multiple optimal stopping problems and their applications to the valuation of energy derivatives and assets. The articles were carefully written in a pedagogical style and a reasonably self-contained manner. The book is geared toward quantitative analysts, probabilists, and applied mathematicians interested in financial applications.

Handbook of the Economics of Finance

Author : G. Constantinides
Publisher : Elsevier
ISBN 13 : 0080495087
Total Pages : 698 pages
Book Rating : 4.0/5 (84 download)

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Book Synopsis Handbook of the Economics of Finance by : G. Constantinides

Download or read book Handbook of the Economics of Finance written by G. Constantinides and published by Elsevier. This book was released on 2003-11-04 with total page 698 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volume 1B covers the economics of financial markets: the saving and investment decisions; the valuation of equities, derivatives, and fixed income securities; and market microstructure.

American Doctoral Dissertations

Author :
Publisher :
ISBN 13 :
Total Pages : 532 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis American Doctoral Dissertations by :

Download or read book American Doctoral Dissertations written by and published by . This book was released on 1987 with total page 532 pages. Available in PDF, EPUB and Kindle. Book excerpt:

American Put Options

Author : Donna Salopek
Publisher : CRC Press
ISBN 13 : 9780582315945
Total Pages : 132 pages
Book Rating : 4.3/5 (159 download)

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Book Synopsis American Put Options by : Donna Salopek

Download or read book American Put Options written by Donna Salopek and published by CRC Press. This book was released on 1997-03-15 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: An American put option gives its owner the right to sell a share of stock at a given specified price on or before a given date. This book provides a detailed comparison of recent works on the American put option from both theoretical and computational approaches.

Real Options in Capital Investment

Author : Lenos Trigeorgis
Publisher : Bloomsbury Publishing USA
ISBN 13 : 0313020825
Total Pages : 382 pages
Book Rating : 4.3/5 (13 download)

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Book Synopsis Real Options in Capital Investment by : Lenos Trigeorgis

Download or read book Real Options in Capital Investment written by Lenos Trigeorgis and published by Bloomsbury Publishing USA. This book was released on 1995-01-24 with total page 382 pages. Available in PDF, EPUB and Kindle. Book excerpt: This compilation integrates various new contributions to the growing real options literature. Recent developments in the valuation of capital investment opportunities seen as real options (e.g. to defer, expand, abandon, or switch) have provided the tools and unlocked the possibilities to revolutionize the field of capital budgeting. The resulting insights, strategies, and techniques enable quantifying the thus far elusive elements of managerial operating flexibility and strategic interactions. These are vital to successfully capitalize on favorable future investment opportunities or limit losses from adverse market developments. This book presents various models and operating strategies, and a variety of applications ranging from acquisitions and divestitures, to natural resource development and pollution compliance. It is intended for both the academic and the professional market. The book's contributions are divided into five parts, covering sections on real options and alternative valuation paradigms for capital investment analysis; on the analysis of general exchange or switching options, and interdependencies among multiple such options; on strategic acquisitions, infrastructure, and foreign investment options; on mean reversion/ alternative formulations in natural resource investments, shipping, and start-up ventures; and on other applications in pollution compliance, land development, flexible manufacturing, and financial default options. Both academic and practitioner interest in these developments is unusually high. The book can serve as supplementary material for the academic market, e.g., in advanced finance courses in option pricing or capital budgeting, in doctoral seminars, and as a library resource. It may also be of interest to the professional market (e.g. corporate planners and finance executives in the oil, pharmaceutical, auto and a variety of other industries), academics from related areas (e.g. decision analysts or economists), as well as to international readers (academics, doctoral students, and professionals).

Capital Market Equilibria

Author : Günter Bamberg
Publisher : Springer Science & Business Media
ISBN 13 : 3642709958
Total Pages : 233 pages
Book Rating : 4.6/5 (427 download)

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Book Synopsis Capital Market Equilibria by : Günter Bamberg

Download or read book Capital Market Equilibria written by Günter Bamberg and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 233 pages. Available in PDF, EPUB and Kindle. Book excerpt:

World Scientific Reference On Contingent Claims Analysis In Corporate Finance (In 4 Volumes)

Author : Michel Crouhy
Publisher : World Scientific
ISBN 13 : 9814759341
Total Pages : 2039 pages
Book Rating : 4.8/5 (147 download)

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Book Synopsis World Scientific Reference On Contingent Claims Analysis In Corporate Finance (In 4 Volumes) by : Michel Crouhy

Download or read book World Scientific Reference On Contingent Claims Analysis In Corporate Finance (In 4 Volumes) written by Michel Crouhy and published by World Scientific. This book was released on 2019-01-21 with total page 2039 pages. Available in PDF, EPUB and Kindle. Book excerpt: Black and Scholes (1973) and Merton (1973, 1974) (hereafter referred to as BSM) introduced the contingent claim approach (CCA) to the valuation of corporate debt and equity. The BSM modeling framework is also named the 'structural' approach to risky debt valuation. The CCA considers all stakeholders of the corporation as holding contingent claims on the assets of the corporation. Each claim holder has different priorities, maturities and conditions for payouts. It is based on the principle that all the assets belong to all the liability holders.The BSM modeling framework gives the basic fundamental version of the structural model where default is assumed to occur when the net asset value of the firm at the maturity of the pure-discount debt becomes negative, i.e., market value of the assets of the firm falls below the face value of the firm's liabilities. In a regime of limited liability, the shareholders of the firm have the option to default on the firm's debt. Equity can be viewed as a European call option on the firm's assets with a strike price equal to the face value of the firm's debt. Actually, CCA can be used to value all the components of the firm's liabilities, equity, warrants, debt, contingent convertible debt, guarantees, etc.In the four volumes we present the major academic research on CCA in corporate finance starting from 1973, with seminal papers of Black and Scholes (1973) and Merton (1973, 1974). Volume I covers the foundation of CCA and contributions on equity valuation. Volume II focuses on corporate debt valuation and the capital structure of the firm. Volume III presents empirical evidence on the valuation of debt instruments as well as applications of the CCA to various financial arrangements. The papers in Volume IV show how to apply the CCA to analyze sovereign credit risk, contingent convertible bonds (CoCos), deposit insurance and loan guarantees. Volume 1: Foundations of CCA and Equity ValuationVolume 1 presents the seminal papers of Black and Scholes (1973) and Merton (1973, 1974). This volume also includes papers that specifically price equity as a call option on the corporation. It introduces warrants, convertible bonds and taxation as contingent claims on the corporation. It highlights the strong relationship between the CCA and the Modigliani-Miller (M&M) Theorems, and the relation to the Capital Assets Pricing Model (CAPM). Volume 2: Corporate Debt Valuation with CCAVolume 2 concentrates on corporate bond valuation by introducing various types of bonds with different covenants as well as introducing various conditions that trigger default. While empirical evidence indicates that the simple Merton's model underestimates the credit spreads, additional risk factors like jumps can be used to resolve it. Volume 3: Empirical Testing and Applications of CCAVolume 3 includes papers that look at issues in corporate finance that can be explained with the CCA approach. These issues include the effect of dividend policy on the valuation of debt and equity, the pricing of employee stock options and many other issues of corporate governance. Volume 4: Contingent Claims Approach for Banks and Sovereign DebtVolume 4 focuses on the application of the contingent claim approach to banks and other financial intermediaries. Regulation of the banking industry led to the creation of new financial securities (e.g., CoCos) and new types of stakeholders (e.g., deposit insurers).

Handbook of Quantitative Finance and Risk Management

Author : Cheng-Few Lee
Publisher : Springer Science & Business Media
ISBN 13 : 0387771174
Total Pages : 1700 pages
Book Rating : 4.3/5 (877 download)

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Book Synopsis Handbook of Quantitative Finance and Risk Management by : Cheng-Few Lee

Download or read book Handbook of Quantitative Finance and Risk Management written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2010-06-14 with total page 1700 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This two-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.