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Essays On The Innovation Trading Mechanism And Implied Volatility Of Derivative Markets
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Book Synopsis Innovations in Derivatives Markets by : Kathrin Glau
Download or read book Innovations in Derivatives Markets written by Kathrin Glau and published by Springer. This book was released on 2016-12-02 with total page 446 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in: • Modeling counterparty credit risk: credit valuation adjustment, debit valuation adjustment, funding valuation adjustment, and wrong way risk. • Pricing and hedging in fixed-income markets and multi-curve interest-rate modeling. • Recent developments concerning contingent convertible bonds, the measuring of basis spreads, and the modeling of implied correlations. The recent financial crisis has cast tremendous doubts on the classical view on derivative pricing. Now, counterparty credit risk and liquidity issues are integral aspects of a prudent valuation procedure and the reference interest rates are represented by a multitude of curves according to their different periods and maturities. A panel discussion included in the book (featuring Damiano Brigo, Christian Fries, John Hull, and Daniel Sommer) on the foundations of modeling and pricing in the presence of counterparty credit risk provides intriguing insights on the debate.
Book Synopsis Three Essays in Financial Markets. The Bright Side of Financial Derivatives: Options Trading and Firm Innovation by : Iván Blanco
Download or read book Three Essays in Financial Markets. The Bright Side of Financial Derivatives: Options Trading and Firm Innovation written by Iván Blanco and published by Ed. Universidad de Cantabria. This book was released on 2019-02-15 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt: Do financial derivatives enhance or impede innovation? We aim to answer this question by examining the relationship between equity options markets and standard measures of firm innovation. Our baseline results show that firms with more options trading activity generate more patents and patent citations per dollar of R&D invested. We then investigate how more active options markets affect firms' innovation strategy. Our results suggest that firms with greater trading activity pursue a more creative, diverse and risky innovation strategy. We discuss potential underlying mechanisms and show that options appear to mitigate managerial career concerns that would induce managers to take actions that boost short-term performance measures. Finally, using several econometric specifications that try to account for the potential endogeneity of options trading, we argue that the positive effect of options trading on firm innovation is causal.
Book Synopsis Quantitative Analysis In Financial Markets: Collected Papers Of The New York University Mathematical Finance Seminar by : Marco Avellaneda
Download or read book Quantitative Analysis In Financial Markets: Collected Papers Of The New York University Mathematical Finance Seminar written by Marco Avellaneda and published by World Scientific. This book was released on 1999-10-27 with total page 387 pages. Available in PDF, EPUB and Kindle. Book excerpt: This invaluable book contains lectures delivered at the celebrated Seminar in Mathematical Finance at the Courant Institute. The lecturers and presenters of papers are prominent researchers and practitioners in the field of quantitative financial modeling. Most are faculty members at leading universities or Wall Street practitioners.The lectures deal with the emerging science of pricing and hedging derivative securities and, more generally, managing financial risk. Specific articles concern topics such as option theory, dynamic hedging, interest-rate modeling, portfolio theory, price forecasting using statistical methods, etc.
Book Synopsis American Doctoral Dissertations by :
Download or read book American Doctoral Dissertations written by and published by . This book was released on 2000 with total page 816 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Medium of Contingency 978-1-137-28654-3 by : Elie Ayache
Download or read book The Medium of Contingency 978-1-137-28654-3 written by Elie Ayache and published by Springer. This book was released on 2016-06-15 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: In The Medium of Contingency Elie Ayache builds upon his ground-breaking book The Blank Swan, in exploring the intersection of philosophy and finance, introducing new notions of price and market. Inverting the received view, he now sees a creation of matter in both the market and its metaphysics, rather than pure speculation. Once recognized as the proper medium of contingency and disassociated from the probabilistic and statistical tools traditionally used to model it, the market can be thought as 'real', in a new sense of reality corresponding to the new sense of matter. To bring this new and original perspective, The Medium of Contingency builds on probability theory as first formalized by von Mises and Kolmogorov, and later revisited by Shafer and Vovk. It utilises the author's extensive experience in derivatives pricing technology and software, as well as his work in the philosophy of contingency and contingent claims, to propose a new philosophical interpretation of Brownian motion and of the Black-Scholes-Merton formula. Then it completes the overturning of the traditional view of the market by arguing that there should be no difference, ultimately, between an underlying asset and the derivative written on it. This book does not aim to change the market but the way we must think of it. It is the author's conviction that there can be no philosophy of the market, and consequently no thinking of it, without a philosophy of contingent claims and of derivative pricing. The book provides the missing piece, which the philosophy of probability cannot provide alone. Its scope, however, extends beyond the strict critique of financial mathematics, as it also, and perhaps most importantly, delivers the author's definitive treatment of the philosophically prominent and recently much discussed notion of contingency.
Book Synopsis The World's First Stock Exchange by : Lodewijk Petram
Download or read book The World's First Stock Exchange written by Lodewijk Petram and published by Columbia University Press. This book was released on 2014-05-27 with total page 305 pages. Available in PDF, EPUB and Kindle. Book excerpt: This account of the sophisticated financial hub that was 17th-century Amsterdam “does a fine job of bringing history to life” (Library Journal). The launch of the Dutch East India Company in 1602 initiated Amsterdam’s transformation from a regional market town into a dominant financial center. The Company introduced easily transferable shares, and within days buyers had begun to trade them. Soon the public was engaging in a variety of complex transactions, including forwards, futures, options, and bear raids, and by 1680 the techniques deployed in the Amsterdam market were as sophisticated as any we practice today. Lodewijk Petram’s award-winning history demystifies financial instruments by linking today’s products to yesterday’s innovations, tying the market’s operation to the behavior of individuals and the workings of the world around them. Traveling back in time, Petram visits the harbor and other places where merchants met to strike deals. He bears witness to the goings-on at a notary’s office and sits in on the consequential proceedings of a courtroom. He describes in detail the main players, investors, shady characters, speculators, and domestic servants and other ordinary folk, who all played a role in the development of the market and its crises. His history clarifies concerns that investors still struggle with today—such as fraud, the value of information, trust and the place of honor, managing diverging expectations, and balancing risk—and does so in a way that is vivid, relatable, and critical to understanding our contemporary world.
Book Synopsis The Structure and Operation of the World Gold Market by : Gary O'Callaghan
Download or read book The Structure and Operation of the World Gold Market written by Gary O'Callaghan and published by . This book was released on 1993 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dated September 1993
Book Synopsis Commodity Price Dynamics by : Craig Pirrong
Download or read book Commodity Price Dynamics written by Craig Pirrong and published by Cambridge University Press. This book was released on 2011-10-31 with total page 239 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.
Book Synopsis Dissertation Abstracts International by :
Download or read book Dissertation Abstracts International written by and published by . This book was released on 2007 with total page 672 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Pricing Derivatives by : Ambar Sengupta
Download or read book Pricing Derivatives written by Ambar Sengupta and published by . This book was released on 2005 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: Irwin Library of Investment and Finance Pricing Derivatives provides investors with a clear understanding of derivative pricing models by first focusing on the underlying mathematics and financial concepts upon which the models were originally built. Trading consultant Professor Ambar Sengupta uses short, to-the-point chapters to examine the relation between price and probability as well as pricing structures of all major derivative instruments. Other topics covered include foundations of stochastic models of pricing, along with methods for establishing optimal prices in terms of the max-min principles that underlie game theory.
Book Synopsis Reshaping the Equity Markets by : Robert Alan Schwartz
Download or read book Reshaping the Equity Markets written by Robert Alan Schwartz and published by Irwin Professional Publishing. This book was released on 1993 with total page 468 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Index to Theses with Abstracts Accepted for Higher Degrees by the Universities of Great Britain and Ireland and the Council for National Academic Awards by :
Download or read book Index to Theses with Abstracts Accepted for Higher Degrees by the Universities of Great Britain and Ireland and the Council for National Academic Awards written by and published by . This book was released on 2007 with total page 694 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Venture Capital and the Finance of Innovation by : Andrew Metrick
Download or read book Venture Capital and the Finance of Innovation written by Andrew Metrick and published by John Wiley and Sons. This book was released on 2011-06-15 with total page 1153 pages. Available in PDF, EPUB and Kindle. Book excerpt: This useful guide walks venture capitalists through the principles of finance and the financial models that underlie venture capital decisions. It presents a new unified treatment of investment decision making and mark-to-market valuation. The discussions of risk-return and cost-of-capital calculations have been updated with the latest information. The most current industry data is included to demonstrate large changes in venture capital investments since 1999. The coverage of the real-options methodology has also been streamlined and includes new connections to venture capital valuation. In addition, venture capitalists will find revised information on the reality-check valuation model to allow for greater flexibility in growth assumptions.
Book Synopsis A Behavioral Approach to Asset Pricing by : Hersh Shefrin
Download or read book A Behavioral Approach to Asset Pricing written by Hersh Shefrin and published by Elsevier. This book was released on 2008-05-19 with total page 636 pages. Available in PDF, EPUB and Kindle. Book excerpt: Behavioral finance is the study of how psychology affects financial decision making and financial markets. It is increasingly becoming the common way of understanding investor behavior and stock market activity. Incorporating the latest research and theory, Shefrin offers both a strong theory and efficient empirical tools that address derivatives, fixed income securities, mean-variance efficient portfolios, and the market portfolio. The book provides a series of examples to illustrate the theory. The second edition continues the tradition of the first edition by being the one and only book to focus completely on how behavioral finance principles affect asset pricing, now with its theory deepened and enriched by a plethora of research since the first edition
Book Synopsis The Origins and Development of Financial Markets and Institutions by : Jeremy Atack
Download or read book The Origins and Development of Financial Markets and Institutions written by Jeremy Atack and published by Cambridge University Press. This book was released on 2009-03-16 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: Collectively, mankind has never had it so good despite periodic economic crises of which the current sub-prime crisis is merely the latest example. Much of this success is attributable to the increasing efficiency of the world's financial institutions as finance has proved to be one of the most important causal factors in economic performance. In a series of insightful essays, financial and economic historians examine how financial innovations from the seventeenth century to the present have continually challenged established institutional arrangements, forcing change and adaptation by governments, financial intermediaries, and financial markets. Where these have been successful, wealth creation and growth have followed. When they failed, growth slowed and sometimes economic decline has followed. These essays illustrate the difficulties of co-ordinating financial innovations in order to sustain their benefits for the wider economy, a theme that will be of interest to policy makers as well as economic historians.
Book Synopsis The Derivatives Sourcebook by : Terence Lim
Download or read book The Derivatives Sourcebook written by Terence Lim and published by Now Publishers Inc. This book was released on 2006 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Derivatives Sourcebook is a citation study and classification system that organizes the many strands of the derivatives literature and assigns each citation to a category. Over 1800 research articles are collected and organized into a simple web-based searchable database. We have also included the 1997 Nobel lectures of Robert Merton and Myron Scholes as a backdrop to this literature.
Book Synopsis Financial Crises Explanations, Types, and Implications by : Mr.Stijn Claessens
Download or read book Financial Crises Explanations, Types, and Implications written by Mr.Stijn Claessens and published by International Monetary Fund. This book was released on 2013-01-30 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reviews the literature on financial crises focusing on three specific aspects. First, what are the main factors explaining financial crises? Since many theories on the sources of financial crises highlight the importance of sharp fluctuations in asset and credit markets, the paper briefly reviews theoretical and empirical studies on developments in these markets around financial crises. Second, what are the major types of financial crises? The paper focuses on the main theoretical and empirical explanations of four types of financial crises—currency crises, sudden stops, debt crises, and banking crises—and presents a survey of the literature that attempts to identify these episodes. Third, what are the real and financial sector implications of crises? The paper briefly reviews the short- and medium-run implications of crises for the real economy and financial sector. It concludes with a summary of the main lessons from the literature and future research directions.
