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Author : Marcelo Bianconi
Publisher :
ISBN 13 : 9789814355148
Total Pages : 496 pages
Book Rating : 4.3/5 (551 download)
Download or read book Financial Economics, Risk and Information (2nd Edition) written by Marcelo Bianconi and published by . This book was released on 2011 with total page 496 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Marcelo Bianconi
Publisher : World Scientific
ISBN 13 : 9814355135
Total Pages : 496 pages
Book Rating : 4.8/5 (143 download)
Download or read book Financial Economics, Risk and Information written by Marcelo Bianconi and published by World Scientific. This book was released on 2011-08-23 with total page 496 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Economics, Risk and Information presents the fundamentals of finance in static and dynamic frameworks with focus on risk and information. The objective of this book is to introduce undergraduate and first-year graduate students to the methods and solutions of the main problems in finance theory relating to the economics of uncertainty and information. The main goal of the second edition is to make the materials more accessible to a wider audience of students and finance professionals. The focus is on developing a core body of theory that will provide the student with a solid intellectual foundation for more advanced topics and methods. The new edition has streamlined chapters and topics, with new sections on portfolio choice under alternative information structures. The starting point is the traditional mean-variance approach, followed by portfolio choice from first principles. The topics are extended to alternative market structures, alternative contractual arrangements and agency, dynamic stochastic general equilibrium in discrete and continuous time, attitudes towards risk and towards inter-temporal substitution in discrete and continuous time; and option pricing. In general, the book presents a balanced introduction to the use of stochastic methods in discrete and continuous time in the field of financial economics.
Author : Marcelo Bianconi
Publisher : World Scientific Publishing Company Incorporated
ISBN 13 : 9789812385017
Total Pages : 523 pages
Book Rating : 4.3/5 (85 download)
Download or read book Financial Economics, Risk and Information written by Marcelo Bianconi and published by World Scientific Publishing Company Incorporated. This book was released on 2003 with total page 523 pages. Available in PDF, EPUB and Kindle. Book excerpt: 6. Non-convexities and lotteries in general equilibrium. 6.1. Introduction. 6.2. A static decentralized competitive framework. 6.3. Competitive equilibrium. 6.4. Trade in lotteries. 6.5. Implications for the elasticity of labor supply. 6.6. Summary I. 6.7. General equilibrium approach to asymmetric information. 6.8. Basic structure, pareto optimality and decentralized competitive equilibrium. 6.9. An insurance problem with adverse selection. 6.10. Summary II. 6.11. Unemployment insurance, asset returns and adverse selection. 6.12. Basic structure. 6.13. Heterogeneity, efficiency, and market completeness. 6.14. Consequences for asset allocation. 6.15. Summary III -- 7. Dynamics I: discrete time. 7.1. Time and markets. 7.2. Introduction to financial contracts. 7.3. Summary I. 7.4. General equilibrium and asset pricing under uncertainty with complete markets. 7.5. General equilibrium under uncertainty: two equivalent approaches. 7.6. Pricing contingent claims in the two-period economy with complete markets. 7.7. Introduction to the multi-period economy. 7.8. Conditional and transitional probabilities, Markov processes, and conditional moments. 7.9. The multi-period economy again. 7.10. Asset prices in an infinite horizon exchange economy. 7.11. Excess returns. 7.12. Summary II. 7.13. Stochastic monetary theory. 7.14. Fisher equation and risk. 7.15. Summary III. 7.16. The financial problem of the firm in general equilibrium. 7.17. Summary IV. 7.18. Private information, stochastic growth and asset prices. 7.19. Recursive contracts, general equilibrium and asset prices. 7.20. Growth and asset prices with alternative arrangements. 7.21. Summary V -- 8. Dynamics II: continuous time. 8.1. Asset price dynamics, options and the Black-Scholes model. 8.2. Discrete time random walks. 8.3. A multiplicative model in discrete time and a preview of the lognormal random variable. 8.4. Introduction to random walk models of asset prices in continuous time. 8.5. A multiplicative model of asset prices in continuous time. 8.6. Introduction to Ito's lemma and the lognormal distribution again. 8.7. Ito's formula: the general case. 8.8. Asset price dynamics and risk. 8.9. Options. 8.10. The Black-Scholes partial differential equation. 8.11. The Black-Scholes formula for a European call option. 8.12. Summary I. 8.13. Introduction to equilibrium stochastic models. 8.14. Consumption growth and portfolio choice with logarithmic utility. 8.15. Consumption growth and portfolio choice with CRRA utility. 8.16. Capital accumulation and asset returns. 8.17. Risk aversion and intertemporal substitution. 8.18. Summary II
Author : Christian Gollier
Publisher : MIT Press
ISBN 13 : 9780262572248
Total Pages : 492 pages
Book Rating : 4.5/5 (722 download)
Download or read book The Economics of Risk and Time written by Christian Gollier and published by MIT Press. This book was released on 2001 with total page 492 pages. Available in PDF, EPUB and Kindle. Book excerpt: Updates and advances the theory of expected utility as applied to risk analysis and financial decision making.
Author : Jürgen Eichberger
Publisher : Oxford University Press, USA
ISBN 13 : 9780198775409
Total Pages : 284 pages
Book Rating : 4.7/5 (754 download)
Download or read book Financial Economics written by Jürgen Eichberger and published by Oxford University Press, USA. This book was released on 1997 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt: Numerous examples and diagrams illustrate the key arguments, and the main chapters are followed by guides to the relevant literature and exercises for students.
Author : Stephen F. LeRoy
Publisher : Cambridge University Press
ISBN 13 : 131606087X
Total Pages : 371 pages
Book Rating : 4.3/5 (16 download)
Download or read book Principles of Financial Economics written by Stephen F. LeRoy and published by Cambridge University Press. This book was released on 2014-08-11 with total page 371 pages. Available in PDF, EPUB and Kindle. Book excerpt: This second edition provides a rigorous yet accessible graduate-level introduction to financial economics. Since students often find the link between financial economics and equilibrium theory hard to grasp, less attention is given to purely financial topics, such as valuation of derivatives, and more emphasis is placed on making the connection with equilibrium theory explicit and clear. This book also provides a detailed study of two-date models because almost all of the key ideas in financial economics can be developed in the two-date setting. Substantial discussions and examples are included to make the ideas readily understandable. Several chapters in this new edition have been reordered and revised to deal with portfolio restrictions sequentially and more clearly, and an extended discussion on portfolio choice and optimal allocation of risk is available. The most important additions are new chapters on infinite-time security markets, exploring, among other topics, the possibility of price bubbles.
Author : Emilio Barucci
Publisher : Springer Science & Business Media
ISBN 13 : 9781852334697
Total Pages : 488 pages
Book Rating : 4.3/5 (346 download)
Download or read book Financial Markets Theory written by Emilio Barucci and published by Springer Science & Business Media. This book was released on 2002-12-11 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: A presentation of classical asset pricing theory, this textbook is the only one to address the economic foundations of financial markets theory from a mathematically rigorous standpoint and to offer a self-contained critical discussion based on empirical results. Tools for understanding the economic analysis are provided, and mathematical models are presented in discrete time/finite state space for simplicity. Examples and exercises included.
Author : G. Constantinides
Publisher : Elsevier
ISBN 13 : 9780444513632
Total Pages : 698 pages
Book Rating : 4.5/5 (136 download)
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: Arbitrage, State Prices and Portfolio Theory / Philip h. Dybvig and Stephen a. Ross / - Intertemporal Asset Pricing Theory / Darrell Duffle / - Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance / Wayne E. Ferson / - Consumption-Based Asset Pricing / John y Campbell / - The Equity Premium in Retrospect / Rainish Mehra and Edward c. Prescott / - Anomalies and Market Efficiency / William Schwert / - Are Financial Assets Priced Locally or Globally? / G. Andrew Karolyi and Rene M. Stuli / - Microstructure and Asset Pricing / David Easley and Maureen O'hara / - A Survey of Behavioral Finance / Nicholas Barberis and Richard Thaler / - Derivatives / Robert E. Whaley / - Fixed-Income Pricing / Qiang Dai and Kenneth J. Singleton.
Author : Brian Kettell
Publisher : FT Prenticehall
ISBN 13 :
Total Pages : 540 pages
Book Rating : 4.3/5 (91 download)
Download or read book Financial Economics written by Brian Kettell and published by FT Prenticehall. This book was released on 2001 with total page 540 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the last 20 years there has been a revolution in the way financial economists understand the financial market place. The announcement that the 1990 Nobel prize for Economics had been awarded to three financial economists acknowledged that financial economics is now a subject in its own right and needs to be studied as such. Financial Economics brings this science out of the realms of academia and into the hands of those that can most use it. This fusion of economics, finance and statistics now enables investors to gain a true understanding of how the markets behave and how to perfect their trading strategies. The book demystifies financial economics in a manner that will provide you with a thorough understanding that can be immediately put into practice without overwhelming you with the trivial. It looks at what exactly financial economics is, its founding fathers and their theories, its role in the valuation of financial assets and recent developments in the field. Chapters within the book also investigate more closely modern portfolio theory, capital market theory, behavioural finance, bubbleology, some puzzles in financial markets and the relationship between derivatives markets and financial economics. Financial Economics is essential reading for dealers, analysts, newcomers to the financial markets, and finance professionals across the board who need to maintain their edge at the forefront of developments in financial markets.
Author : Chris Jones
Publisher : Routledge
ISBN 13 : 1134185677
Total Pages : 496 pages
Book Rating : 4.1/5 (341 download)
Download or read book Financial Economics written by Chris Jones and published by Routledge. This book was released on 2008-01-24 with total page 496 pages. Available in PDF, EPUB and Kindle. Book excerpt: Whilst many undergraduate finance textbooks are largely descriptive in nature, the economic analysis in most graduate texts is too advanced for latter year undergraduates. This book bridges the gap between these two extremes, offering a textbook that studies economic activity in financial markets, focusing on how consumers determine future consumpt
Author : Louis Eeckhoudt
Publisher : Princeton University Press
ISBN 13 : 1400829216
Total Pages : 245 pages
Book Rating : 4.4/5 (8 download)
Download or read book Economic and Financial Decisions under Risk written by Louis Eeckhoudt and published by Princeton University Press. This book was released on 2011-10-30 with total page 245 pages. Available in PDF, EPUB and Kindle. Book excerpt: An understanding of risk and how to deal with it is an essential part of modern economics. Whether liability litigation for pharmaceutical firms or an individual's having insufficient wealth to retire, risk is something that can be recognized, quantified, analyzed, treated--and incorporated into our decision-making processes. This book represents a concise summary of basic multiperiod decision-making under risk. Its detailed coverage of a broad range of topics is ideally suited for use in advanced undergraduate and introductory graduate courses either as a self-contained text, or the introductory chapters combined with a selection of later chapters can represent core reading in courses on macroeconomics, insurance, portfolio choice, or asset pricing. The authors start with the fundamentals of risk measurement and risk aversion. They then apply these concepts to insurance decisions and portfolio choice in a one-period model. After examining these decisions in their one-period setting, they devote most of the book to a multiperiod context, which adds the long-term perspective most risk management analyses require. Each chapter concludes with a discussion of the relevant literature and a set of problems. The book presents a thoroughly accessible introduction to risk, bridging the gap between the traditionally separate economics and finance literatures.
Author : Sergio Consoli
Publisher : Springer Nature
ISBN 13 : 3030668916
Total Pages : 357 pages
Book Rating : 4.0/5 (36 download)
Download or read book Data Science for Economics and Finance written by Sergio Consoli and published by Springer Nature. This book was released on 2021 with total page 357 pages. Available in PDF, EPUB and Kindle. Book excerpt: This open access book covers the use of data science, including advanced machine learning, big data analytics, Semantic Web technologies, natural language processing, social media analysis, time series analysis, among others, for applications in economics and finance. In addition, it shows some successful applications of advanced data science solutions used to extract new knowledge from data in order to improve economic forecasting models. The book starts with an introduction on the use of data science technologies in economics and finance and is followed by thirteen chapters showing success stories of the application of specific data science methodologies, touching on particular topics related to novel big data sources and technologies for economic analysis (e.g. social media and news); big data models leveraging on supervised/unsupervised (deep) machine learning; natural language processing to build economic and financial indicators; and forecasting and nowcasting of economic variables through time series analysis. This book is relevant to all stakeholders involved in digital and data-intensive research in economics and finance, helping them to understand the main opportunities and challenges, become familiar with the latest methodological findings, and learn how to use and evaluate the performances of novel tools and frameworks. It primarily targets data scientists and business analysts exploiting data science technologies, and it will also be a useful resource to research students in disciplines and courses related to these topics. Overall, readers will learn modern and effective data science solutions to create tangible innovations for economic and financial applications.
Author : K.H. Erickson
Publisher : K.H. Erickson
ISBN 13 :
Total Pages : 70 pages
Book Rating : 4./5 ( download)
Download or read book Financial Economics: A Simple Introduction written by K.H. Erickson and published by K.H. Erickson. This book was released on with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Economics: A Simple Introduction offers an accessible guide to the central ideas and methods of financial economics, with examples and calculations, empirical evidence, and over 20 diagrams to support the analysis. Understand consumption and investment decisions, intertemporal choice, indifference curves and the marginal rate of substitution, production possibilities and the marginal rate of transformation, rates of return, the financial market line, borrowing and lending, and the Fisher Separation Theorem. Portfolio theory examines expected returns, standard deviation and variance risk, covariance, correlation, asset diversification, market portfolio, a risk-free asset, the capital market line, and the Tobin Separation Theorem. The capital asset pricing model (CAPM) explores diversifiable and non-diversifiable risk, the beta risk factor, calculation of an asset’s expected return, the security market line, asset evaluation, and empirical evidence on the CAPM. Market efficiency looks at the efficient market hypothesis (EMH), weak, semi-strong, and strong form efficiency, and the literature on technical and fundamental analysis strategies to beat the market.
Author : Constantin Zopounidis
Publisher : John Wiley & Sons
ISBN 13 : 1118738187
Total Pages : 455 pages
Book Rating : 4.1/5 (187 download)
Download or read book Quantitative Financial Risk Management written by Constantin Zopounidis and published by John Wiley & Sons. This book was released on 2015-05-18 with total page 455 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Comprehensive Guide to Quantitative Financial Risk Management Written by an international team of experts in the field, Quantitative Financial Risk Management: Theory and Practice provides an invaluable guide to the most recent and innovative research on the topics of financial risk management, portfolio management, credit risk modeling, and worldwide financial markets. This comprehensive text reviews the tools and concepts of financial management that draw on the practices of economics, accounting, statistics, econometrics, mathematics, stochastic processes, and computer science and technology. Using the information found in Quantitative Financial Risk Management can help professionals to better manage, monitor, and measure risk, especially in today's uncertain world of globalization, market volatility, and geo-political crisis. Quantitative Financial Risk Management delivers the information, tools, techniques, and most current research in the critical field of risk management. This text offers an essential guide for quantitative analysts, financial professionals, and academic scholars.
Author : Keith Cuthbertson
Publisher : John Wiley & Sons
ISBN 13 : 047009172X
Total Pages : 736 pages
Book Rating : 4.4/5 (7 download)
Download or read book Quantitative Financial Economics written by Keith Cuthbertson and published by John Wiley & Sons. This book was released on 2005-05-05 with total page 736 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new edition of the hugely successful Quantitative Financial Economics has been revised and updated to reflect the most recent theoretical and econometric/empirical advances in the financial markets. It provides an introduction to models of economic behaviour in financial markets, focusing on discrete time series analysis. Emphasis is placed on theory, testing and explaining ‘real-world’ issues. The new edition will include: Updated charts and cases studies. New companion website allowing students to put theory into practice and to test their knowledge through questions and answers. Chapters on Monte Carlo simulation, bootstrapping and market microstructure.
Author : Thorsten Hens
Publisher : Springer Science & Business Media
ISBN 13 : 3540361480
Total Pages : 377 pages
Book Rating : 4.5/5 (43 download)
Download or read book Financial Economics written by Thorsten Hens and published by Springer Science & Business Media. This book was released on 2010-07-01 with total page 377 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial economics is a fascinating topic where ideas from economics, mathematics and, most recently, psychology are combined to understand financial markets. This book gives a concise introduction into this field and includes for the first time recent results from behavioral finance that help to understand many puzzles in traditional finance. The book is tailor made for master and PhD students and includes tests and exercises that enable the students to keep track of their progress. Parts of the book can also be used on a bachelor level. Researchers will find it particularly useful as a source for recent results in behavioral finance and decision theory.
Author : Peter D. Spencer
Publisher : OUP Oxford
ISBN 13 : 0191586862
Total Pages : 286 pages
Book Rating : 4.1/5 (915 download)
Download or read book The Structure and Regulation of Financial Markets written by Peter D. Spencer and published by OUP Oxford. This book was released on 2000-10-12 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: Aimed at advanced undergraduate and graduate students in economics, banking, and finance, this is a core textbook for the financial markets, institutions, and regulation option of courses in financial economics. It integrates modern theories of asymmetric information into the analysis of financial institutions, relating the theory to current developments. The text begins with an analysis of adverse selection in retail financial products like life assurance before looking at open capital markets where trades and prices provide information. It then progresses to the more complex areas of corporate governance and financial intermediation in which information is concealed or confidential and moral hazard and verification problems become important. These chapters study the various mechanisms that the financial markets have developed to allow investors to delegate the management of their assets to others. This analysis is used to show how regulation can reduce the risk of financial failure and how legal, accounting, and regulatory mechanisms can help shape a country's corporate and financial architecture. These difficult theoretical concepts are conveyed through the careful use of numerical illustrations and topical case studies. Each chapter ends with a set of exercises to test and reinforce students' comprehension of the material. Worked solutions are provided for the numerical exercises.
