The Determination Of An Optimal Hedge Ratio And A Generalized Measure Of Risk

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Essentials of Excel VBA, Python, and R

Author : John Lee
Publisher : Springer Nature
ISBN 13 : 3031142837
Total Pages : 521 pages
Book Rating : 4.0/5 (311 download)

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Book Synopsis Essentials of Excel VBA, Python, and R by : John Lee

Download or read book Essentials of Excel VBA, Python, and R written by John Lee and published by Springer Nature. This book was released on 2023-03-23 with total page 521 pages. Available in PDF, EPUB and Kindle. Book excerpt: This advanced textbook for business statistics teaches, statistical analyses and research methods utilizing business case studies and financial data with the applications of Excel VBA, Python and R. Each chapter engages the reader with sample data drawn from individual stocks, stock indices, options, and futures. Now in its second edition, it has been expanded into two volumes, each of which is devoted to specific parts of the business analytics curriculum. To reflect the current age of data science and machine learning, the used applications have been updated from Minitab and SAS to Python and R, so that readers will be better prepared for the current industry. This second volume is designed for advanced courses in financial derivatives, risk management, and machine learning and financial management. In this volume we extensively use Excel, Python, and R to analyze the above-mentioned topics. It is also a comprehensive reference for active statistical finance scholars and business analysts who are looking to upgrade their toolkits. Readers can look to the first volume for dedicated content on financial statistics, and portfolio analysis.

Essentials of Excel, Excel VBA, SAS and Minitab for Statistical and Financial Analyses

Author : Cheng-Few Lee
Publisher : Springer
ISBN 13 : 3319388673
Total Pages : 1043 pages
Book Rating : 4.3/5 (193 download)

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Book Synopsis Essentials of Excel, Excel VBA, SAS and Minitab for Statistical and Financial Analyses by : Cheng-Few Lee

Download or read book Essentials of Excel, Excel VBA, SAS and Minitab for Statistical and Financial Analyses written by Cheng-Few Lee and published by Springer. This book was released on 2016-11-24 with total page 1043 pages. Available in PDF, EPUB and Kindle. Book excerpt: This introductory textbook for business statistics teaches statistical analysis and research methods via business case studies and financial data using Excel, Minitab, and SAS. Every chapter in this textbook engages the reader with data of individual stock, stock indices, options, and futures. One studies and uses statistics to learn how to study, analyze, and understand a data set of particular interest. Some of the more popular statistical programs that have been developed to use statistical and computational methods to analyze data sets are SAS, SPSS, and Minitab. Of those, we look at Minitab and SAS in this textbook. One of the main reasons to use Minitab is that it is the easiest to use among the popular statistical programs. We look at SAS because it is the leading statistical package used in industry. We also utilize the much less costly and ubiquitous Microsoft Excel to do statistical analysis, as the benefits of Excel have become widely recognized in the academic world and its analytical capabilities extend to about 90 percent of statistical analysis done in the business world. We demonstrate much of our statistical analysis using Excel and double check the analysis and outcomes using Minitab and SAS—also helpful in some analytical methods not possible or practical to do in Excel.

Advances in Quantitative Asset Management

Author : Christian Dunis
Publisher : Springer Science & Business Media
ISBN 13 : 1461543894
Total Pages : 345 pages
Book Rating : 4.4/5 (615 download)

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Book Synopsis Advances in Quantitative Asset Management by : Christian Dunis

Download or read book Advances in Quantitative Asset Management written by Christian Dunis and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advances in Quantitative Asset Management contains selected articles which, for the most part, were presented at the `Forecasting Financial Markets' Conference. `Forecasting Financial Markets' is an international conference on quantitative finance which is held in London in May every year. Since its inception in 1994, the conference has grown in scope and stature to become a key international meeting point for those interested in quantitative finance, with the participation of prestigious academic and research institutions from all over the world, including major central banks and quantitative fund managers. The editor has chosen to concentrate on advances in quantitative asset management and, accordingly, the papers in this book are organized around two major themes: advances in asset allocation and portfolio management, and modelling risk, return and correlation.

Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes)

Author : Cheng Few Lee
Publisher : World Scientific
ISBN 13 : 9811202400
Total Pages : 5053 pages
Book Rating : 4.8/5 (112 download)

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Book Synopsis Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) by : Cheng Few Lee

Download or read book Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) written by Cheng Few Lee and published by World Scientific. This book was released on 2020-07-30 with total page 5053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.

Microeconomic Risk Management and Macroeconomic Stability

Author : Andreas Röthig
Publisher : Springer Science & Business Media
ISBN 13 : 3642015654
Total Pages : 150 pages
Book Rating : 4.6/5 (42 download)

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Book Synopsis Microeconomic Risk Management and Macroeconomic Stability by : Andreas Röthig

Download or read book Microeconomic Risk Management and Macroeconomic Stability written by Andreas Röthig and published by Springer Science & Business Media. This book was released on 2009-08-02 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt: “The essence of a hedging contract is a coincident purchase and sale in two markets which are expected to behave in such a way that any loss realized in one will be offset by an equivalent gain in the other. If such behavior follows a perfect hedge has been effected. ” Hardy and Lyon (1923, p. 276). 1. 1 LiteratureReviewandMotivation In the traditional hedging literature, the two markets in which hedgers trade are spot and futures markets. The trader’s position in the spot market is generally considered as given. According to Johnson (1960), hedging can be meaningfully de?ned only if the spot market is regarded as the trader’s primary market. The futures market is used solely to counterbalance an existing position in the spot market. Speculators, in contrast, do not have a commitment in the spot market. They take on risk in futures markets in order to pro?t from expected price changes. The hedger synchronizes his trading activities in spot and futures markets in order to reduce spot risk. In the lit- ature this approach to hedging is labeled risk reduction concept. Risk reduction will be achieved if spot and futures prices move more or less in parallel. If prices are p- fectly correlated, risk is abolished, since losses in one market are perfectly offset by pro?ts in the other market. However, as Hardy and Lyon (1923) point out, any div- gence from perfect correlation results in an imperfect hedge.

Assessment of Energy–Environment–Economy Interrelations

Author : George E. Halkos
Publisher : MDPI
ISBN 13 : 3039288091
Total Pages : 274 pages
Book Rating : 4.0/5 (392 download)

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Book Synopsis Assessment of Energy–Environment–Economy Interrelations by : George E. Halkos

Download or read book Assessment of Energy–Environment–Economy Interrelations written by George E. Halkos and published by MDPI. This book was released on 2020-05-27 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt: Energy consumption and economic growth have been of great interest to researchers and policy-makers. Knowing the actual causal relationship between energy and the economy with respect to environmental degradation has important implications for modeling environmental and growth policies. The eleven chapters included herein aim to help researchers, academicians, and especially decision-makers to understand relevant issues and adopt appropriate methods to tackle and solve relevant environmental problems. Various methods from different disciplines are proposed and applied to various environmental and energy issues.

Commodity Risk Management

Author : Geoffrey Poitras
Publisher : Routledge
ISBN 13 : 1136262601
Total Pages : 426 pages
Book Rating : 4.1/5 (362 download)

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Book Synopsis Commodity Risk Management by : Geoffrey Poitras

Download or read book Commodity Risk Management written by Geoffrey Poitras and published by Routledge. This book was released on 2013-03-05 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodity Risk Management goes beyond just an introductory treatment of derivative securities, dealing with more advanced topics and approaching the subject matter from a unique perspective. At its core lies the concept that commodity risk management decisions require an in-depth understanding of speculative strategies, and vice versa. The book offers readers a unified treatment of important concepts and techniques that are useful in applying derivative securities in the management of risk in commodity markets. While some of these techniques are well known and fairly common, Poitras offers applications to specific situations and links to speculative trading strategies - extensions of the material that not only are hard to come by, but helpful to both the academic and the practitioner. The book is divided into three parts. The first part deals with the general framework for commodity risk management, the second part focuses on the use of derivative security contracts in commodity risk management, and the third part deals with applications to three specific situations. As a textbook, this book is designed to appeal to classes at a senior undergraduate/MBA/MA levelof training in Finance, financial economics, actuarial science, management science, agriculturaleconomics and accounting. There will also be interest for the book as: a monograph for research libraries, a handbook for individuals working in the commodity risk management industry, and a guidebook for those in the general public interested in topics like farm risk management or the assessment of hedging practices of publicly-traded commodity producers.

Master's Theses Directories

Author :
Publisher :
ISBN 13 :
Total Pages : 306 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis Master's Theses Directories by :

Download or read book Master's Theses Directories written by and published by . This book was released on 2006 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Education, arts and social sciences, natural and technical sciences in the United States and Canada".

Advances in Investment Analysis and Portfolio Management

Author : Cheng-Few Lee
Publisher : Elsevier
ISBN 13 : 9780762306589
Total Pages : 222 pages
Book Rating : 4.3/5 (65 download)

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Book Synopsis Advances in Investment Analysis and Portfolio Management by : Cheng-Few Lee

Download or read book Advances in Investment Analysis and Portfolio Management written by Cheng-Few Lee and published by Elsevier. This book was released on 2001-02-02 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt: - Desarrolla una metodología que permite compaginar la adquisición de los objetivos y el trabajo en competencias básicas. - Asume un compromiso con la educación en valores que se refleja en el tratamiento de los contenidos, de la ilustración y de las propuestas de trabajo. - Otorga un papel destacado a las nuevas tecnologías. - Favorece la adecuación de la exposición y la profundidad de los contenidos con el grado de maduración del alumnado. - Confiere a las ilustraciones un papel didáctico de primer orden. - Proporciona una rica oferta en actividades, tanto en el plano cuantitativo como en el cualitativo. - Ofrece materiales que fomentan la autoevaluación del alumnado.

Financial Econometrics, Mathematics and Statistics

Author : Cheng-Few Lee
Publisher : Springer
ISBN 13 : 1493994298
Total Pages : 657 pages
Book Rating : 4.4/5 (939 download)

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Book Synopsis Financial Econometrics, Mathematics and Statistics by : Cheng-Few Lee

Download or read book Financial Econometrics, Mathematics and Statistics written by Cheng-Few Lee and published by Springer. This book was released on 2019-06-03 with total page 657 pages. Available in PDF, EPUB and Kindle. Book excerpt: This rigorous textbook introduces graduate students to the principles of econometrics and statistics with a focus on methods and applications in financial research. Financial Econometrics, Mathematics, and Statistics introduces tools and methods important for both finance and accounting that assist with asset pricing, corporate finance, options and futures, and conducting financial accounting research. Divided into four parts, the text begins with topics related to regression and financial econometrics. Subsequent sections describe time-series analyses; the role of binomial, multi-nomial, and log normal distributions in option pricing models; and the application of statistics analyses to risk management. The real-world applications and problems offer students a unique insight into such topics as heteroskedasticity, regression, simultaneous equation models, panel data analysis, time series analysis, and generalized method of moments. Written by leading academics in the quantitative finance field, allows readers to implement the principles behind financial econometrics and statistics through real-world applications and problem sets. This textbook will appeal to a less-served market of upper-undergraduate and graduate students in finance, economics, and statistics.

Six Sigma DMAIC and Markov Chain Monte Carlo Applications to Financial Risk Management

Author : Bubevski, Vojo
Publisher : IGI Global
ISBN 13 :
Total Pages : 339 pages
Book Rating : 4.3/5 (693 download)

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Book Synopsis Six Sigma DMAIC and Markov Chain Monte Carlo Applications to Financial Risk Management by : Bubevski, Vojo

Download or read book Six Sigma DMAIC and Markov Chain Monte Carlo Applications to Financial Risk Management written by Bubevski, Vojo and published by IGI Global. This book was released on 2024-04-05 with total page 339 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial institutions face a critical challenge in managing financial risks effectively under the stringent regulatory frameworks of Basel III and Solvency II. Traditional risk management approaches often need to provide the necessary tools to control risks in a dynamic and evolving market environment. A comprehensive methodology integrating advanced risk analysis concepts and structured frameworks is essential for institutions to achieve optimal risk management outcomes, leading to increased solvency risk, capital requirements, and value at risk (VAR). Six Sigma DMAIC and Markov Chain Monte Carlo Applications to Financial Risk Management is a groundbreaking book that presents a transformative approach to financial risk management. Inspired by Peter L. Bernstein's insight on risk control, this book introduces a unique methodology that combines the DMAIC framework with advanced risk analysis concepts. Financial institutions can enhance their risk management processes by applying these tools to internal models for Solvency II and Basel III, reduce solvency risk, and improve competitiveness.

Derivatives and Risk Management

Author :
Publisher : Pearson Education India
ISBN 13 : 9788131759936
Total Pages : 676 pages
Book Rating : 4.7/5 (599 download)

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Book Synopsis Derivatives and Risk Management by :

Download or read book Derivatives and Risk Management written by and published by Pearson Education India. This book was released on with total page 676 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Introductory Econometrics for Finance

Author : Chris Brooks
Publisher : Cambridge University Press
ISBN 13 : 1108422535
Total Pages : 729 pages
Book Rating : 4.1/5 (84 download)

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Book Synopsis Introductory Econometrics for Finance by : Chris Brooks

Download or read book Introductory Econometrics for Finance written by Chris Brooks and published by Cambridge University Press. This book was released on 2019-03-28 with total page 729 pages. Available in PDF, EPUB and Kindle. Book excerpt: Offers econometrics for finance students with no prior knowledge of the field. Includes case studies, examples and extensive online support.

Encyclopedia of Finance

Author : Cheng-Few Lee
Publisher : Springer Science & Business Media
ISBN 13 : 0387262849
Total Pages : 861 pages
Book Rating : 4.3/5 (872 download)

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Book Synopsis Encyclopedia of Finance by : Cheng-Few Lee

Download or read book Encyclopedia of Finance written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2006-07-27 with total page 861 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a major new reference work covering all aspects of finance. Coverage includes finance (financial management, security analysis, portfolio management, financial markets and instruments, insurance, real estate, options and futures, international finance) and statistical applications in finance (applications in portfolio analysis, option pricing models and financial research). The project is designed to attract both an academic and professional market. It also has an international approach to ensure its maximum appeal. The Editors' wish is that the readers will find the encyclopedia to be an invaluable resource.

Research in Finance

Author : John W. Kensinger
Publisher : Emerald Group Publishing
ISBN 13 : 1780527527
Total Pages : 309 pages
Book Rating : 4.7/5 (85 download)

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Book Synopsis Research in Finance by : John W. Kensinger

Download or read book Research in Finance written by John W. Kensinger and published by Emerald Group Publishing. This book was released on 2012-05-16 with total page 309 pages. Available in PDF, EPUB and Kindle. Book excerpt: The theme of this volume is "Dealing with Volatility and Enhancing Performance". During a time when there is much concern about the perceived volatility of global equity markets, the insights offered here could be reassuring as well as useful.

Handbook of Quantitative Finance and Risk Management

Author : Cheng-Few Lee
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.

Handbook of Risk Management in Energy Production and Trading

Author : Raimund M. Kovacevic
Publisher : Springer Science & Business Media
ISBN 13 : 1461490359
Total Pages : 506 pages
Book Rating : 4.4/5 (614 download)

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Book Synopsis Handbook of Risk Management in Energy Production and Trading by : Raimund M. Kovacevic

Download or read book Handbook of Risk Management in Energy Production and Trading written by Raimund M. Kovacevic and published by Springer Science & Business Media. This book was released on 2013-11-27 with total page 506 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents an overview of the risks involved in modern electricity production, delivery and trading, including technical risk in production, transportation and delivery, operational risk for the system operators, market risks for traders, and political and other long term risks in strategic management. Using decision making under uncertainty as a methodological background, the book is divided into four parts, with Part I focusing on energy markets, particularly electricity markets. Topics include a nontechnical overview of energy markets and their main properties, basic price models for energy commodity prices, and modeling approaches for electricity price processes. Part II looks at optimal decisions in managing energy systems, including hydropower dispatch models, cutting plane algorithms and approximative dynamic programming; hydro-thermal production; renewable; stochastic investments and operational optimization models for natural gas transport; decision making in operating electricity networks; and investment in extending energy production systems. Part III explores pricing, including electricity swing options and the pricing of derivatives with volume control. Part IV looks at long-term and political risks, including energy systems under aspects of climate change, and catastrophic operational risks, particularly risks from terrorist attacks.