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Author : Michael Magill
Publisher : MIT Press
ISBN 13 : 9780262632546
Total Pages : 566 pages
Book Rating : 4.6/5 (325 download)
Download or read book Theory of Incomplete Markets written by Michael Magill and published by MIT Press. This book was released on 2002 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt: Theory of incompl. markets/M. Magill, M. Quinzii. - V.1.
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 : Aleš Černý
Publisher :
ISBN 13 : 9788122417159
Total Pages : 0 pages
Book Rating : 4.4/5 (171 download)
Download or read book Mathematical Techniques In Finance written by Aleš Černý and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern Finance Overlaps With Many Fields Of Mathematics, And For Students This Can Represent Considerable Strain. Mathematical Techniques In Finance Is An Ideal Textbook For Masters Finance Courses With A Significant Quantitative Element While Also Being Suitable For Finance Ph.D. Students. Developed For The Highly Acclaimed Master Of Science In Finance Program At Imperial College London, It Offers A Carefully Crafted Blend Of Numerical Applications And Theoretical Grounding In Economics, Finance, And Mathematics.In The Best Engineering Tradition, Ale Cerný Mixes Tools From Calculus, Linear Algebra, Probability Theory, Numerical Mathematics, And Programming To Analyze In An Accessible Way Some Of The Most Intriguing Problems In Financial Economics. Eighty Figures, Over 70 Worked Examples, 25 Simple Ready-To-Run Computer Programs, And Several Spreadsheets Further Enhance The Learning Experience. Each Chapter Is Followed By A Number Of Classroom-Tested Exercises With Solutions Available On The Book'S Web Site.Applied Mathematics Is A Craft That Requires Practice This Textbook Provides Plenty Of Opportunities To Practice It And Teaches Cutting-Edge Finance Into The Bargain. Asset Pricing Is A Common Theme Throughout The Book; And Readers Can Follow The Development From Discrete One-Period Models To Continuous Time Stochastic Processes. This Textbook Sets Itself Apart By The Comprehensive Treatment Of Pricing And Risk Measurement In Incomplete Markets, An Area Of Current Research That Represents The Future In Risk Management And Investment Performance Evaluation.This Special Low-Priced Edition Is For Sale In India, Bangladesh, Bhutan, Maldives, Nepal, Myanmar, Pakistan And Sri Lanka Only.
Author : Bernard Dumas
Publisher : MIT Press
ISBN 13 : 0262036541
Total Pages : 641 pages
Book Rating : 4.2/5 (62 download)
Download or read book The Economics of Continuous-Time Finance written by Bernard Dumas and published by MIT Press. This book was released on 2017-10-27 with total page 641 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to economic applications of the theory of continuous-time finance that strikes a balance between mathematical rigor and economic interpretation of financial market regularities. This book introduces the economic applications of the theory of continuous-time finance, with the goal of enabling the construction of realistic models, particularly those involving incomplete markets. Indeed, most recent applications of continuous-time finance aim to capture the imperfections and dysfunctions of financial markets—characteristics that became especially apparent during the market turmoil that started in 2008. The book begins by using discrete time to illustrate the basic mechanisms and introduce such notions as completeness, redundant pricing, and no arbitrage. It develops the continuous-time analog of those mechanisms and introduces the powerful tools of stochastic calculus. Going beyond other textbooks, the book then focuses on the study of markets in which some form of incompleteness, volatility, heterogeneity, friction, or behavioral subtlety arises. After presenting solutions methods for control problems and related partial differential equations, the text examines portfolio optimization and equilibrium in incomplete markets, interest rate and fixed-income modeling, and stochastic volatility. Finally, it presents models where investors form different beliefs or suffer frictions, form habits, or have recursive utilities, studying the effects not only on optimal portfolio choices but also on equilibrium, or the price of primitive securities. The book strikes a balance between mathematical rigor and the need for economic interpretation of financial market regularities, although with an emphasis on the latter.
Author : Yakov Amihud
Publisher : Now Publishers Inc
ISBN 13 : 1933019123
Total Pages : 109 pages
Book Rating : 4.9/5 (33 download)
Download or read book Liquidity and Asset Prices written by Yakov Amihud and published by Now Publishers Inc. This book was released on 2006 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt: Liquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.
Author : Michael C. Fu
Publisher : Springer Science & Business Media
ISBN 13 : 0817645454
Total Pages : 345 pages
Book Rating : 4.8/5 (176 download)
Download or read book Advances in Mathematical Finance written by Michael C. Fu and published by Springer Science & Business Media. This book was released on 2007-06-22 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: This self-contained volume brings together a collection of chapters by some of the most distinguished researchers and practitioners in the field of mathematical finance and financial engineering. Presenting state-of-the-art developments in theory and practice, the book has real-world applications to fixed income models, credit risk models, CDO pricing, tax rebates, tax arbitrage, and tax equilibrium. It is a valuable resource for graduate students, researchers, and practitioners in mathematical finance and financial engineering.
Author : John H. Cochrane
Publisher : Now Publishers Inc
ISBN 13 : 1933019158
Total Pages : 117 pages
Book Rating : 4.9/5 (33 download)
Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Author : Markus Konrad Brunnermeier
Publisher : Oxford University Press, USA
ISBN 13 : 9780198296980
Total Pages : 264 pages
Book Rating : 4.2/5 (969 download)
Download or read book Asset Pricing Under Asymmetric Information written by Markus Konrad Brunnermeier and published by Oxford University Press, USA. This book was released on 2001 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: The role of information is central to the academic debate on finance. This book provides a detailed, current survey of theoretical research into the effect on stock prices of the distribution of information, comparing and contrasting major models. It examines theoretical models that explain bubbles, technical analysis, and herding behavior. It also provides rational explanations for stock market crashes. Analyzing the implications of asymmetries in information is crucial in this area. This book provides a useful survey for graduate students.
Author : Thomas Wake Epps
Publisher : World Scientific Publishing Company
ISBN 13 : 9814365432
Total Pages : 644 pages
Book Rating : 4.8/5 (143 download)
Download or read book Pricing Derivative Securities (2nd Edition) written by Thomas Wake Epps and published by World Scientific Publishing Company. This book was released on 2007-06-04 with total page 644 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents techniques for valuing derivative securities at a level suitable for practitioners, students in doctoral programs in economics and finance, and those in masters-level programs in financial mathematics and computational finance. It provides the necessary mathematical tools from analysis, probability theory, the theory of stochastic processes, and stochastic calculus, making extensive use of examples. It also covers pricing theory, with emphasis on martingale methods. The chapters are organized around the assumptions made about the dynamics of underlying price processes. Readers begin with simple, discrete-time models that require little mathematical sophistication, proceed to the basic Black-Scholes theory, and then advance to continuous-time models with multiple risk sources. The second edition takes account of the major developments in the field since 2000. New topics include the use of simulation to price American-style derivatives, a new one-step approach to pricing options by inverting characteristic functions, and models that allow jumps in volatility and Markov-driven changes in regime. The new chapter on interest-rate derivatives includes extensive coverage of the LIBOR market model and an introduction to the modeling of credit risk. As a supplement to the text, the book contains an accompanying CD-ROM with user-friendly FORTRAN, C++, and VBA program components.
Author : Michael C. I. Nwogugu
Publisher : Springer
ISBN 13 : 1137446986
Total Pages : 336 pages
Book Rating : 4.1/5 (374 download)
Download or read book Anomalies in Net Present Value, Returns and Polynomials, and Regret Theory in Decision-Making written by Michael C. I. Nwogugu and published by Springer. This book was released on 2017-06-09 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores why Modified Internal Rate of Return (MIRR) and Net Present Value (NPV) are not necessarily accurate or efficient tools for valuation and decision-making. The author specifically addresses the biases and framing effects inherent in the NPV/MIRR/IRR model and in related approaches such as Adjusted Present Value (APV), Net Future Value (NFV), and by extension, Polynomials. In doing so, the book presents new ways of solving higher order polynomials using invariants and homomorphisms and explains why the “Fundamental Theorem of Algebra”, the Binomial Theorem and the “Descartes Sign Rule” are unreliable. Chapters also discuss how International Asset Pricing Theory (IAPT) and Intertemporal Capital Asset Pricing Models (ICAPM) can produce inaccurate results in certain circumstances. The conditions under which ICAPM and IAPT may be accurate are described; as well as why those conditions cannot, or are unlikely to, exist. The conditions under which negative interest rates may exist or are justified are also outlined. Moreover, the author explains why traditional Consumption-Savings-Investment-Production models of allocation can be inefficient, and then introduces a new model of allocation that can be applied to individuals, households and companies. Finally, the book explains why the Elasticity of Intertemporal Substitution is a flawed concept and introduces the Marginal Rate of Intertemporal Joint Substitution as a solution.
Author : Merritt B. Fox
Publisher :
ISBN 13 : 9781982966850
Total Pages : 476 pages
Book Rating : 4.9/5 (668 download)
Download or read book Securities Market Issues for the 21st Century written by Merritt B. Fox and published by . This book was released on 2018 with total page 476 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Darryl King
Publisher : International Monetary Fund
ISBN 13 : 148430585X
Total Pages : 50 pages
Book Rating : 4.4/5 (843 download)
Download or read book Central Bank Emergency Support to Securities Markets written by Darryl King and published by International Monetary Fund. This book was released on 2017-07-10 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers the central bank mandate with respect to financial stability and identifies the links to the functioning of securities markets. It argues that while emergency support to securities markets is an important part of the crisis management response, a high bar should be set for its use. Importantly, it should be used only as part of a comprehensive policy package. The paper considers what types of securities markets may be important for financial stability, what market conditions could trigger emergency support measures, and how programs can be designed to restore market functioning while minimizing moral hazard.
Author : Deniz Ozenbas
Publisher : Springer Nature
ISBN 13 : 3030748170
Total Pages : 111 pages
Book Rating : 4.0/5 (37 download)
Download or read book Liquidity, Markets and Trading in Action written by Deniz Ozenbas and published by Springer Nature. This book was released on 2022 with total page 111 pages. Available in PDF, EPUB and Kindle. Book excerpt: This open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to trading, liquidity, and market structure. It provides a detailed examination of the impact of trading costs and other impediments of trading that the authors call rictions It also presents an interactive simulation model of equity market trading, TraderEx, that enables students to implement trading decisions in different market scenarios and structures. Addressing these topics shines a bright light on how a real-world financial market operates, and the simulation provides students with an experiential learning opportunity that is informative and fun. Each of the chapters is designed so that it can be used as a stand-alone module in an existing economics, finance, or information science course. Instructor resources such as discussion questions, Powerpoint slides and TraderEx exercises are available online.
Author : Olivier Blanchard
Publisher : MIT Press
ISBN 13 : 9780262521741
Total Pages : 312 pages
Book Rating : 4.5/5 (217 download)
Download or read book NBER Macroeconomics Annual 1992 written by Olivier Blanchard and published by MIT Press. This book was released on 1992 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the seventh in a series of annuals from the National Bureau of Economic Research that are designed to stimulate research on problems in applied economics, to bring frontier theoretical developments to a wider audience, and to accelerate the interaction between analytical and empirical research in macroeconomics. Contents What Shall We Do Today? Goals and Signposts in the Operation of Monetary Policy, Ben S. Bernanke and Frederic S. Mishkin - A Tale of Two Cities: Factor Accumulation and Technical Change in Hong Kong and Singapore, Alwyn Young - International Trade and the Wage Structure, Steven J. Davis - Imperfect Information and Macroeconomic Analysis, Joseph E. Stiglitz and Bruce Greenwald - Asset Pricing Lessons for Macroeconomics, Lars P. Hansen and John H. Cochrane - Postmortem on the Debt Crisis, Daniel Cohen
Author : Robert A. Jarrow
Publisher : Springer Nature
ISBN 13 : 3030744108
Total Pages : 470 pages
Book Rating : 4.0/5 (37 download)
Download or read book Continuous-Time Asset Pricing Theory written by Robert A. Jarrow and published by Springer Nature. This book was released on 2021-07-30 with total page 470 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asset pricing theory yields deep insights into crucial market phenomena such as stock market bubbles. Now in a newly revised and updated edition, this textbook guides the reader through this theory and its applications to markets. The new edition features new results on state dependent preferences, a characterization of market efficiency and a more general presentation of multiple-factor models using only the assumptions of no arbitrage and no dominance. Taking an innovative approach based on martingales, the book presents advanced techniques of mathematical finance in a business and economics context, covering a range of relevant topics such as derivatives pricing and hedging, systematic risk, portfolio optimization, market efficiency, and equilibrium pricing models. For applications to high dimensional statistics and machine learning, new multi-factor models are given. This new edition integrates suicide trading strategies into the understanding of asset price bubbles, greatly enriching the overall presentation and further strengthening the book’s underlying theme of economic bubbles. Written by a leading expert in risk management, Continuous-Time Asset Pricing Theory is the first textbook on asset pricing theory with a martingale approach. Based on the author’s extensive teaching and research experience on the topic, it is particularly well suited for graduate students in business and economics with a strong mathematical background.
Author : Ioannis Karatzas
Publisher : Springer Science & Business Media
ISBN 13 : 0387948392
Total Pages : 427 pages
Book Rating : 4.3/5 (879 download)
Download or read book Methods of Mathematical Finance written by Ioannis Karatzas and published by Springer Science & Business Media. This book was released on 1998-08-13 with total page 427 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph is a sequel to Brownian Motion and Stochastic Calculus by the same authors. Within the context of Brownian-motion- driven asset prices, it develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets. The latter topic is extended to a study of equilibrium, providing conditions for the existence and uniqueness of market prices which support trading by several heterogeneous agents. Although much of the incomplete-market material is available in research papers, these topics are treated for the first time in a unified manner. The book contains an extensive set of references and notes describing the field, including topics not treated in the text. This monograph should be of interest to researchers wishing to see advanced mathematics applied to finance. The material on optimal consumption and investment, leading to equilibrium, is addressed to the theoretical finance community. The chapters on contingent claim valuation present techniques of practical importance, especially for pricing exotic options. Also available by Ioannis Karatzas and Steven E. Shreve, Brownian Motion and Stochastic Calculus, Second Edition, Springer-Verlag New York, Inc., 1991, 470 pp., ISBN 0-387- 97655-8.
Author : John R. Birge
Publisher : Elsevier
ISBN 13 : 9780080553252
Total Pages : 1026 pages
Book Rating : 4.5/5 (532 download)
Download or read book Handbooks in Operations Research and Management Science: Financial Engineering written by John R. Birge and published by Elsevier. This book was released on 2007-11-16 with total page 1026 pages. Available in PDF, EPUB and Kindle. Book excerpt: The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to problems in the financial services industry. The goals of financial engineering research are to develop empirically realistic stochastic models describing dynamics of financial risk variables, such as asset prices, foreign exchange rates, and interest rates, and to develop analytical, computational and statistical methods and tools to implement the models and employ them to design and evaluate financial products and processes to manage risk and to meet financial goals. This handbook describes the latest developments in this rapidly evolving field in the areas of modeling and pricing financial derivatives, building models of interest rates and credit risk, pricing and hedging in incomplete markets, risk management, and portfolio optimization. Leading researchers in each of these areas provide their perspective on the state of the art in terms of analysis, computation, and practical relevance. The authors describe essential results to date, fundamental methods and tools, as well as new views of the existing literature, opportunities, and challenges for future research.
