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Author : Sanford J. Grossman
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 (259 download)
Download or read book Optimal Dynamic Trading with Leverage Constraints written by Sanford J. Grossman and published by . This book was released on 1989 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Serguey Khovansky
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (129 download)
Download or read book Optimal Trading with Terminal-Time Leverage Constraints written by Serguey Khovansky and published by . This book was released on 2008 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study designs methodology for computation trading policy for a terminal-time borrowing-constrained investor, who operates in complete markets allowing delta-hedging. A specific example of a log-utility trader in geometric Brownian motion framework illustrates the general findings. Conditions are found under which trader's leverage always complies with the terminal-time borrowing constraint. In the case of a log-utility investor in g.B.m. setting, for instance, borrowing level never, including intermediate time, exceeds it. The problem is solved by applying the techniques of the calculus of variation.
Author : Domenico Cuoco
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.:/5 (249 download)
Download or read book Optimal Dynamic Trading Strategies with Risk Limits written by Domenico Cuoco and published by . This book was released on 2002 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Stephen Boyd
Publisher :
ISBN 13 : 9781680833287
Total Pages : 92 pages
Book Rating : 4.8/5 (332 download)
Download or read book Multi-Period Trading Via Convex Optimization written by Stephen Boyd and published by . This book was released on 2017-07-28 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph collects in one place the basic definitions, a careful description of the model, and discussion of how convex optimization can be used in multi-period trading, all in a common notation and framework.
Author : Stephen P. Boyd
Publisher :
ISBN 13 : 9781601986733
Total Pages : 72 pages
Book Rating : 4.9/5 (867 download)
Download or read book Performance Bounds and Suboptimal Policies for Multi-period Investment written by Stephen P. Boyd and published by . This book was released on 2014 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider dynamic trading of a portfolio of assets in discrete periods over a finite time horizon, with arbitrary time-varying distribution of asset returns. The goal is to maximize the total expected revenue from the portfolio, while respecting constraints on the portfolio such as a required terminal portfolio and leverage and risk limits. The revenue takes into account the gross cash generated in trades, transaction costs, and costs associated with the positions, such as fees for holding short positions. Our model has the form of a stochastic control problem with linear dynamics and convex cost function and constraints. While this problem can be tractably solved in several special cases, such as when all costs are convex quadratic, or when there are no transaction costs, our focus is on the more general case, with nonquadratic cost terms and transaction costs. We show how to use linear matrix inequality techniques and semidefinite programming to produce a quadratic bound on the value function, which in turn gives a bound on the optimal performance. This performance bound can be used to judge the performance obtained by any suboptimal policy. As a by-product of the performance bound computation, we obtain an approximate dynamic programming policy that requires the solution of a convex optimization problem, often a quadratic program, to determine the trades to carry out in each step. While we have no theoretical guarantee that the performance of our suboptimal policy is always near the performance bound (which would imply that it is nearly optimal) we observe that in numerical examples the two values are typically close.
Author : D. Kannan
Publisher : CRC Press
ISBN 13 : 1482294702
Total Pages : 808 pages
Book Rating : 4.4/5 (822 download)
Download or read book Handbook of Stochastic Analysis and Applications written by D. Kannan and published by CRC Press. This book was released on 2001-10-23 with total page 808 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to general theories of stochastic processes and modern martingale theory. The volume focuses on consistency, stability and contractivity under geometric invariance in numerical analysis, and discusses problems related to implementation, simulation, variable step size algorithms, and random number generation.
Author : George M. Constantinides
Publisher : Newnes
ISBN 13 : 0444594655
Total Pages : 1732 pages
Book Rating : 4.4/5 (445 download)
Download or read book Handbook of the Economics of Finance SET:Volumes 2A & 2B written by George M. Constantinides and published by Newnes. This book was released on 2013-01-21 with total page 1732 pages. Available in PDF, EPUB and Kindle. Book excerpt: This two-volume set of 23 articles authoritatively describes recent scholarship in corporate finance and asset pricing. Volume 1 concentrates on corporate finance, encompassing topics such as financial innovation and securitization, dynamic security design, and family firms. Volume 2 focuses on asset pricing with articles on market liquidity, credit derivatives, and asset pricing theory, among others. Both volumes present scholarship about the 2008 financial crisis in contexts that highlight both continuity and divergence in research. For those who seek insightful perspectives and important details, they demonstrate how corporate finance studies have interpreted recent events and incorporated their lessons. - Covers core and newly-developing fields - Explains how the 2008 financial crises affected theoretical and empirical research - Exposes readers to a wide range of subjects described and analyzed by the best scholars
Author :
Publisher : Springer
ISBN 13 : 1349588024
Total Pages : 7493 pages
Book Rating : 4.3/5 (495 download)
Download or read book The New Palgrave Dictionary of Economics written by and published by Springer. This book was released on 2016-05-18 with total page 7493 pages. Available in PDF, EPUB and Kindle. Book excerpt: The award-winning The New Palgrave Dictionary of Economics, 2nd edition is now available as a dynamic online resource. Consisting of over 1,900 articles written by leading figures in the field including Nobel prize winners, this is the definitive scholarly reference work for a new generation of economists. Regularly updated! This product is a subscription based product.
Author : Jaime A. Londoño
Publisher : Springer
ISBN 13 : 3319665367
Total Pages : 177 pages
Book Rating : 4.3/5 (196 download)
Download or read book Actuarial Sciences and Quantitative Finance written by Jaime A. Londoño and published by Springer. This book was released on 2017-10-24 with total page 177 pages. Available in PDF, EPUB and Kindle. Book excerpt: Developed from the Second International Congress on Actuarial Science and Quantitative Finance, this volume showcases the latest progress in all theoretical and empirical aspects of actuarial science and quantitative finance. Held at the Universidad de Cartagena in Cartegena, Colombia in June 2016, the conference emphasized relations between industry and academia and provided a platform for practitioners to discuss problems arising from the financial and insurance industries in the Andean and Caribbean regions. Based on invited lectures as well as carefully selected papers, these proceedings address topics such as statistical techniques in finance and actuarial science, portfolio management, risk theory, derivative valuation and economics of insurance.
Author : Emilio Barucci
Publisher : Springer Science & Business Media
ISBN 13 : 1447100891
Total Pages : 473 pages
Book Rating : 4.4/5 (471 download)
Download or read book Financial Markets Theory written by Emilio Barucci and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 473 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 : Markus Fischer
Publisher :
ISBN 13 :
Total Pages : 170 pages
Book Rating : 4.:/5 (392 download)
Download or read book Optimal Hedging with Leverage Constraints and Transaction Costs written by Markus Fischer and published by . This book was released on 1997 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Min Chen
Publisher : Oxford University Press
ISBN 13 : 019063670X
Total Pages : pages
Book Rating : 4.1/5 (96 download)
Download or read book Advances in Info-Metrics written by Min Chen and published by Oxford University Press. This book was released on 2020-11-06 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Info-metrics is a framework for modeling, reasoning, and drawing inferences under conditions of noisy and insufficient information. It is an interdisciplinary framework situated at the intersection of information theory, statistical inference, and decision-making under uncertainty. In Advances in Info-Metrics, Min Chen, J. Michael Dunn, Amos Golan, and Aman Ullah bring together a group of thirty experts to expand the study of info-metrics across the sciences and demonstrate how to solve problems using this interdisciplinary framework. Building on the theoretical underpinnings of info-metrics, the volume sheds new light on statistical inference, information, and general problem solving. The book explores the basis of information-theoretic inference and its mathematical and philosophical foundations. It emphasizes the interrelationship between information and inference and includes explanations of model building, theory creation, estimation, prediction, and decision making. Each of the nineteen chapters provides the necessary tools for using the info-metrics framework to solve a problem. The collection covers recent developments in the field, as well as many new cross-disciplinary case studies and examples. Designed to be accessible for researchers, graduate students, and practitioners across disciplines, this book provides a clear, hands-on experience for readers interested in solving problems when presented with incomplete and imperfect information.
Author : Jean-Pierre Fouque
Publisher : Cambridge University Press
ISBN 13 : 113950245X
Total Pages : 456 pages
Book Rating : 4.1/5 (395 download)
Download or read book Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives written by Jean-Pierre Fouque and published by Cambridge University Press. This book was released on 2011-09-29 with total page 456 pages. Available in PDF, EPUB and Kindle. Book excerpt: Building upon the ideas introduced in their previous book, Derivatives in Financial Markets with Stochastic Volatility, the authors study the pricing and hedging of financial derivatives under stochastic volatility in equity, interest-rate, and credit markets. They present and analyze multiscale stochastic volatility models and asymptotic approximations. These can be used in equity markets, for instance, to link the prices of path-dependent exotic instruments to market implied volatilities. The methods are also used for interest rate and credit derivatives. Other applications considered include variance-reduction techniques, portfolio optimization, forward-looking estimation of CAPM 'beta', and the Heston model and generalizations of it. 'Off-the-shelf' formulas and calibration tools are provided to ease the transition for practitioners who adopt this new method. The attention to detail and explicit presentation make this also an excellent text for a graduate course in financial and applied mathematics.
Author : Karl Shell
Publisher :
ISBN 13 :
Total Pages : 498 pages
Book Rating : 4.0/5 (531 download)
Download or read book Journal of Economic Theory written by Karl Shell and published by . This book was released on 1997 with total page 498 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Akash Deep
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.3/5 ( download)
Download or read book Optimal Dynamic Hedging Using Futures Under a Borrowing Constraint written by Akash Deep and published by . This book was released on 2002 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Fouad Sabry
Publisher : One Billion Knowledgeable
ISBN 13 :
Total Pages : 308 pages
Book Rating : 4.:/5 (661 download)
Download or read book Transparency Market written by Fouad Sabry and published by One Billion Knowledgeable. This book was released on 2024-01-22 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: What is Transparency Market In economics, a market is transparent if much is known by many about: What products and services or capital assets are available, market depth, what price, and where. Transparency is important since it is one of the theoretical conditions required for a free market to be efficient. Price transparency can, however, lead to higher prices. For example, if it makes sellers reluctant to give steep discounts to certain buyers, or if it facilitates collusion, and price volatility is another concern. A high degree of market transparency can result in disintermediation due to the buyer's increased knowledge of supply pricing. How you will benefit (I) Insights, and validations about the following topics: Chapter 1: Transparency (market) Chapter 2: Derivative (finance) Chapter 3: Finance Chapter 4: Stock market Chapter 5: Speculation Chapter 6: Hedge (finance) Chapter 7: Contract for difference Chapter 8: Stock trader Chapter 9: Sanford J. Grossman Chapter 10: Market sentiment Chapter 11: Foreign exchange fraud Chapter 12: Market analysis Chapter 13: Portfolio manager Chapter 14: Electronic trading platform Chapter 15: Cryptocurrency Chapter 16: Art market Chapter 17: Digital Currency Group Chapter 18: Factor investing Chapter 19: Diamond Standard Chapter 20: Decentralized finance Chapter 21: Carbon quantitative easing (II) Answering the public top questions about transparency market. (III) Real world examples for the usage of transparency market in many fields. Who this book is for Professionals, undergraduate and graduate students, enthusiasts, hobbyists, and those who want to go beyond basic knowledge or information for any kind of Transparency Market.
Author : Robert C. Miner
Publisher :
ISBN 13 :
Total Pages : 592 pages
Book Rating : 4.E/5 ( download)
Download or read book Dynamic Trading written by Robert C. Miner and published by . This book was released on 1997 with total page 592 pages. Available in PDF, EPUB and Kindle. Book excerpt:
