Handbook of Quantitative Finance and Risk Management

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Publisher : Springer Science & Business Media
ISBN 13 : 0387771174
Total Pages : 1700 pages
Book Rating : 4.3/5 (877 download)

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Book Synopsis Handbook of Quantitative Finance and Risk Management by : Cheng-Few Lee

Download or read book Handbook of Quantitative Finance and Risk Management written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2010-06-14 with total page 1700 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This two-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.

Dynamic Asset Pricing Theory

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Publisher : Princeton University Press
ISBN 13 : 1400829208
Total Pages : 488 pages
Book Rating : 4.4/5 (8 download)

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Book Synopsis Dynamic Asset Pricing Theory by : Darrell Duffie

Download or read book Dynamic Asset Pricing Theory written by Darrell Duffie and published by Princeton University Press. This book was released on 2010-01-27 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, single-agent optimality, and equilibrium. These results are unified with two key concepts, state prices and martingales. Technicalities are given relatively little emphasis, so as to draw connections between these concepts and to make plain the similarities between discrete and continuous-time models. Readers will be particularly intrigued by this latest edition's most significant new feature: a chapter on corporate securities that offers alternative approaches to the valuation of corporate debt. Also, while much of the continuous-time portion of the theory is based on Brownian motion, this third edition introduces jumps--for example, those associated with Poisson arrivals--in order to accommodate surprise events such as bond defaults. Applications include term-structure models, derivative valuation, and hedging methods. Numerical methods covered include Monte Carlo simulation and finite-difference solutions for partial differential equations. Each chapter provides extensive problem exercises and notes to the literature. A system of appendixes reviews the necessary mathematical concepts. And references have been updated throughout. With this new edition, Dynamic Asset Pricing Theory remains at the head of the field.

Evolutionary Computation in Economics and Finance

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Publisher : Springer Science & Business Media
ISBN 13 : 9783790814767
Total Pages : 476 pages
Book Rating : 4.8/5 (147 download)

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Book Synopsis Evolutionary Computation in Economics and Finance by : Shu-Heng Chen

Download or read book Evolutionary Computation in Economics and Finance written by Shu-Heng Chen and published by Springer Science & Business Media. This book was released on 2002-05-27 with total page 476 pages. Available in PDF, EPUB and Kindle. Book excerpt: After a decade's development, evolutionary computation (EC) proves to be a powerful tool kit for economic analysis. While the demand for this equipment is increasing, there is no volume exclusively written for economists. This volume for the first time helps economists to get a quick grasp on how EC may support their research. A comprehensive coverage of the subject is given, that includes the following three areas: game theory, agent-based economic modelling and financial engineering. Twenty leading scholars from each of these areas contribute a chapter to the volume. The reader will find himself treading the path of the history of this research area, from the fledgling stage to the burgeoning era. The results on games, labour markets, pollution control, institution and productivity, financial markets, trading systems design and derivative pricing, are new and interesting for different target groups. The book also includes informations on web sites, conferences, and computer software.

The Journal of Derivatives

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Publisher :
ISBN 13 :
Total Pages : 452 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis The Journal of Derivatives by :

Download or read book The Journal of Derivatives written by and published by . This book was released on 1999 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Journal of Financial Engineering

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Publisher :
ISBN 13 :
Total Pages : 172 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis The Journal of Financial Engineering by :

Download or read book The Journal of Financial Engineering written by and published by . This book was released on 1999 with total page 172 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Financial Derivatives

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Publisher : Cambridge University Press
ISBN 13 : 9780521815109
Total Pages : 358 pages
Book Rating : 4.8/5 (151 download)

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Book Synopsis Financial Derivatives by : Jamil Baz

Download or read book Financial Derivatives written by Jamil Baz and published by Cambridge University Press. This book was released on 2004-01-12 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: Publisher Description

Measuring the Non-linearity of Fixed Income Securities

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Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 ( download)

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Book Synopsis Measuring the Non-linearity of Fixed Income Securities by : March S. Freed

Download or read book Measuring the Non-linearity of Fixed Income Securities written by March S. Freed and published by . This book was released on 1996 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Time-varying Sharpe Ratios and Market Timing

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Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.:/5 ( download)

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Book Synopsis Time-varying Sharpe Ratios and Market Timing by : Robert F. Whitelaw

Download or read book Time-varying Sharpe Ratios and Market Timing written by Robert F. Whitelaw and published by . This book was released on 1997 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper documents predictable time-variation in stock market Sharpe ratios. Predetermined financial variables are used to estimate both the conditional mean and volatility of equity returns, and these moments are combined toestimate the conditional Sharpe ratio. In sample, estimated conditional Sharpe ratios show substantial time-variation that coincides with the variation in ex post Sharpe ratios and with the phases of the business cycle. Generally, Sharpe ratios are low at the peak of the cycle and high at the trough. In out-of-sample analysis, using 10-year rolling, regressions, we can identify periods in which the ex post Sharpe ratio is approximately three times larger than its full-sample value. Moreover, relatively naive market-timing strategies that exploit this predictability can generate Sharpe ratios more than 70% larger than a buy-and-hold strategy

The Investment Performance of Defaulted Bonds and Bank Loans : 1987-1997 and Market Outlook

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Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.:/5 ( download)

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Book Synopsis The Investment Performance of Defaulted Bonds and Bank Loans : 1987-1997 and Market Outlook by : Edward I. Altman

Download or read book The Investment Performance of Defaulted Bonds and Bank Loans : 1987-1997 and Market Outlook written by Edward I. Altman and published by . This book was released on 1998 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Affine Models of Currency Pricing

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Publisher :
ISBN 13 :
Total Pages : 64 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Affine Models of Currency Pricing by : David Backus

Download or read book Affine Models of Currency Pricing written by David Backus and published by . This book was released on 1996 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: Perhaps the most puzzling feature of currency prices is the tendency for high interest rate currencies to appreciate, when the expectations hypothesis suggests the reverse. Some have attributed this forward premium anomaly to a time-varying risk premium, but theory has been largely unsuccessful in producing a risk premium with the requisite properties. We characterize the risk premium in a general arbitrage-free setting and describe the features a theory must have to account for the anomaly. In affine models, the anomaly requires either that state variables have asymmetric effects on state prices in different currencies or that we abandon the common requirement that interest rates be strictly positive.

The Japanese Open-end Fund Puzzle

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Publisher :
ISBN 13 :
Total Pages : 78 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis The Japanese Open-end Fund Puzzle by : Stephen J. Brown

Download or read book The Japanese Open-end Fund Puzzle written by Stephen J. Brown and published by . This book was released on 1998 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent empirical evidence has suggested that the Japanese mutual fund industry has" underperformed dramatically over the past two decades. Conjectured reasons for" underperformance range from tax-dilution effects to high fees, high turnover and poor asset" management. In this paper, we show that this underperformance is largely due to tax-dilution" effects, and not necessarily to poor management. Using a broad database of funds which" includes investment trusts closed to new investment, we show that once an instrument for the" time-varying tax-dilution exposure is included in a factor model, there is little evidence of poor" risk-adjusted performance. A style analysis of the industry demonstrates that managers appear to" pursue tax-driven dynamic strategies.

Predictable Changes in Yields and Forward Rates

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Publisher :
ISBN 13 :
Total Pages : 74 pages
Book Rating : 4.:/5 ( download)

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Book Synopsis Predictable Changes in Yields and Forward Rates by : David Backus

Download or read book Predictable Changes in Yields and Forward Rates written by David Backus and published by . This book was released on 1998 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider patterns in the predictability of interest rates, characterized relative to the expectations hypothesis (EH), and attempt to account for them with affine models. We make the following points: (i) Discrepancies in the data from the EH take a particularly simple form with forward rates: as theory suggests, the largest discrepancies are at short maturities. (ii) Reasonable estimates of one-factor Cox-Ingersoll-Ross models imply regressions on the opposite side of the EH than we see in the data: regression slopes are greater than one, not less than one. (iii) Multifactor affine models can nevertheless approximate both departures from the EH and other properties of interest rates

Privatization in Stages and the Dynamics of Ownership Structure

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Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 ( download)

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Book Synopsis Privatization in Stages and the Dynamics of Ownership Structure by : Zsuzsanna Fluck

Download or read book Privatization in Stages and the Dynamics of Ownership Structure written by Zsuzsanna Fluck and published by . This book was released on 1996 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Market Making in the Interbank Foreign Exchange Market

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Publisher :
ISBN 13 :
Total Pages : 100 pages
Book Rating : 4.:/5 ( download)

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Book Synopsis Market Making in the Interbank Foreign Exchange Market by : Jian Yao

Download or read book Market Making in the Interbank Foreign Exchange Market written by Jian Yao and published by . This book was released on 1998 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Nuclear Science Abstracts

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Publisher :
ISBN 13 :
Total Pages : 1174 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis Nuclear Science Abstracts by :

Download or read book Nuclear Science Abstracts written by and published by . This book was released on 1974 with total page 1174 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Spread Components and Dealer Profits in the Interbank Foreign Exchange Market

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Publisher :
ISBN 13 :
Total Pages : 86 pages
Book Rating : 4.:/5 ( download)

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Book Synopsis Spread Components and Dealer Profits in the Interbank Foreign Exchange Market by : Jian Yao

Download or read book Spread Components and Dealer Profits in the Interbank Foreign Exchange Market written by Jian Yao and published by . This book was released on 1998 with total page 86 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Making Corporate Governance Work

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Publisher :
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Making Corporate Governance Work by : Roy C. Smith

Download or read book Making Corporate Governance Work written by Roy C. Smith and published by . This book was released on 2002 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: