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Download or read book An empirical Test of a continous-time arbitrage pricing model for default-free bonds written by and published by . This book was released on 1982 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Joseph P. Ogden
Publisher :
ISBN 13 :
Total Pages : 82 pages
Book Rating : 4.:/5 (911 download)
Download or read book An Empirical Examination of a Continuous-time Arbitrage Pricing Model for Bonds written by Joseph P. Ogden and published by . This book was released on 1982 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : David Edward Weeks
Publisher :
ISBN 13 :
Total Pages : 332 pages
Book Rating : 4.:/5 (182 download)
Download or read book An Empirical Examination of a Default-free Bond Pricing Model written by David Edward Weeks and published by . This book was released on 1988 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Anders Löflund
Publisher :
ISBN 13 :
Total Pages : 154 pages
Book Rating : 4.3/5 (97 download)
Download or read book Arbitrage Pricing Theory in a Small Open Economy written by Anders Löflund and published by . This book was released on 1992 with total page 154 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Robert Alan E. Pari
Publisher :
ISBN 13 :
Total Pages : 168 pages
Book Rating : 4.:/5 (256 download)
Download or read book An Empirical Test of Ross's Arbitrage Pricing Theory written by Robert Alan E. Pari and published by . This book was released on 1986 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Robert Alan E. Pari
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (256 download)
Download or read book An Empirical Test of Ross's Arbitrage Pricing Theory written by Robert Alan E. Pari and published by . This book was released on 1986 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sungmoon Lee
Publisher :
ISBN 13 :
Total Pages : 452 pages
Book Rating : 4.:/5 (214 download)
Download or read book An Empirical Test of the Arbitrage Pricing Theory written by Sungmoon Lee and published by . This book was released on 1989 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christopher A. Sims
Publisher : Cambridge University Press
ISBN 13 : 9780521566094
Total Pages : 434 pages
Book Rating : 4.5/5 (66 download)
Download or read book Advances in Econometrics: Volume 2 written by Christopher A. Sims and published by Cambridge University Press. This book was released on 1996-03-07 with total page 434 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 1994 two-volume set of articles reflects the state of research in theoretical and applied econometrics. The topics covered include time series methods, semiparametric methods, seasonality, financial economics, model solution techniques, economic development and labour economics.
Author : Krishnamurthy G. Hegde
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Some empirical tests of the arbitrage pricing model written by Krishnamurthy G. Hegde and published by . This book was released on 1983 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Bruce N. Lehmann
Publisher :
ISBN 13 :
Total Pages : 64 pages
Book Rating : 4.:/5 (129 download)
Download or read book The Empirical Foundations of the Arbitrage Pricing Theory I written by Bruce N. Lehmann and published by . This book was released on 2010 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a detailed and extensive examination of the validity of the APT based on maximum likelihood factor analysis of large cross-sections of securities. Our empirical implementation of the theory proved in capable of explaining expected returns on portfolios composed of securities with different market capitalizations although it provided an adequate account of the expected returns of portfolios formed on the basis of dividend yield and own variance where risk adjustment with the CAPM employing the usual market proxies failed. In addition, it appears that the zero beta version of the APT is sharply rejected in favor of the riskless rate model and that there is little basis for discriminating among five and ten factor versions of the theory.
Author : Norman A. Sinclair
Publisher :
ISBN 13 :
Total Pages : 528 pages
Book Rating : 4.:/5 (22 download)
Download or read book An Empirical Test of the Arbitrage Pricing Theory written by Norman A. Sinclair and published by . This book was released on 1982 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Robert A. Pari
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (81 download)
Download or read book An Empirical Test of Ross's Arbitrage Pricing Theory written by Robert A. Pari and published by . This book was released on 1984 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mun S. Ho
Publisher :
ISBN 13 :
Total Pages : 41 pages
Book Rating : 4.:/5 (35 download)
Download or read book Multivariate Tests of a Continuous Time Equilibrium Arbitrage Pricing Theory with Conditional Heteroskedasticity and Jumps written by Mun S. Ho and published by . This book was released on 1992 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Hiroshi Konno
Publisher :
ISBN 13 :
Total Pages : 470 pages
Book Rating : 4.F/5 ( download)
Download or read book Financial Engineering written by Hiroshi Konno and published by . This book was released on 1993 with total page 470 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tomas Björk
Publisher : OUP Oxford
ISBN 13 : 9780199271269
Total Pages : 496 pages
Book Rating : 4.2/5 (712 download)
Download or read book Arbitrage Theory in Continuous Time written by Tomas Björk and published by OUP Oxford. This book was released on 2004-03-04 with total page 496 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second edition of this popular introduction to the classical underpinnings of the mathematics behind finance continues to combine sound mathematical principles with economic applications. Concentrating on the probabilistic theory of continuous arbitrage pricing of financial derivatives, including stochastic optimal control theory and Merton's fund separation theory, the book is designed for graduate students and combines necessary mathematical background with a solid economic focus. It includes a solved example for every new technique presented, contains numerous exercises, and suggests further reading in each chapter. In this substantially extended new edition Bjork has added separate and complete chapters on measure theory, probability theory, Girsanov transformations, LIBOR and swap market models, and martingale representations, providing two full treatments of arbitrage pricing: the classical delta-hedging and the modern martingales. More advanced areas of study are clearly marked to help students and teachers use the book as it suits their needs.
Author : Mun S. Ho
Publisher :
ISBN 13 :
Total Pages : 41 pages
Book Rating : 4.:/5 (874 download)
Download or read book Multivariate Tests of a Continuous Time Equilibrium Arbitrage Pricing Theory with Conditional Heteroskedasticty and Jumps written by Mun S. Ho and published by . This book was released on 1992 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Chin-Wen Hsin
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (774 download)
Download or read book Default-free Bond Futures and Options on Default-free Bond Futures: Theoretical and Empirical Investigation written by Chin-Wen Hsin and published by . This book was released on 1990 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the pricing behaviors of default-free bond futures and American options on default-free bond futures based on the framework of Brennan and Schwartz (1979). In their model, the state space of interest-rate-dependent claims is spanned by the instantaneous spot interest rate and the long-term consol rate. This design is chosen to incorporate the features of interest-rate-dependent claims and to avoid inconsistencies in other pricing models for general assets. This study assumes that the logarithm of these two factors follow a linear transformation of an Ornstein-Uhlenbeck process. The prices of these contingent claims are solutions to a set of partial different equations subject to proper boundary conditions. As there is no closed form solutions to these equations, a finite-difference method, line-hopscotch method, is employed. To implement the pricing model, one has to empirically estimate (i) the parameters in the interest rate processes and (ii) the risk premium parameter associated with the short spot rate. An exact discrete time model is derived such that one can use discrete time empirical data to estimate parameters in the continuous interest rate processes. Maximum likelihood estimation results show that the parameter estimates are affected by the choice of proxy variable, sample period and the size of sampling interval. It is most obvious fort those parameters in the short rate process. The model prices of default-free bonds, default-free bond futures and options on default-free bond futures are solved successively by the numerical method. The empirical results indicate insignificant pricing errors for Treasury bond futures. However, the model does not perform well for pricing options on T-bond futures. A sensitivity analysis is conducted. It suggests that the long rate process is important in determining the pricing behavior of these claims. Also, the long rate affects the security prices differently than the short rate does.
