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The Estimation Of Market Risk In Portfolios Of Stocks And Stock Options
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Book Synopsis The Estimation of Market Risk in Portfolios of Stocks and Stock Options by : Hermann Locarek-Junge
Download or read book The Estimation of Market Risk in Portfolios of Stocks and Stock Options written by Hermann Locarek-Junge and published by . This book was released on 2008 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: Market risk can be described as potential losses in portfolio value caused by price changes in the investor's portfolio. Value-at-Risk (VaR) quantifies a loss bound that cannot be exceeded with a specified probability at a given time horizon, i.e., a quantile of the portfolio's loss distribution. We cannot determine this distribution of portfolio losses analytically for portfolios with nonlinear loss functions - especially those portfolios that include options - even if the distribution of risk factors is multivariatenormal. In such cases it is common practice to use extensive approximations and simulations under partly restrictive assumptions. To avoid such reductions, this paper uses approaches based on artificial neural networks (ANN).
Book Synopsis Measuring Market Risk by : Kevin Dowd
Download or read book Measuring Market Risk written by Kevin Dowd and published by John Wiley & Sons. This book was released on 2003-02-28 with total page 395 pages. Available in PDF, EPUB and Kindle. Book excerpt: The most up-to-date resource on market risk methodologies Financial professionals in both the front and back office require an understanding of market risk and how to manage it. Measuring Market Risk provides this understanding with an overview of the most recent innovations in Value at Risk (VaR) and Expected Tail Loss (ETL) estimation. This book is filled with clear and accessible explanations of complex issues that arise in risk measuring-from parametric versus nonparametric estimation to incre-mental and component risks. Measuring Market Risk also includes accompanying software written in Matlab—allowing the reader to simulate and run the examples in the book.
Book Synopsis Market Risk Analysis, Pricing, Hedging and Trading Financial Instruments by : Carol Alexander
Download or read book Market Risk Analysis, Pricing, Hedging and Trading Financial Instruments written by Carol Alexander and published by Wiley. This book was released on 2008-06-09 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by leading market risk academic, Professor Carol Alexander, Pricing, Hedging and Trading Financial Instruments forms part three of the Market Risk Analysis four volume set. This book is an in-depth, practical and accessible guide to the models that are used for pricing and the strategies that are used for hedging financial instruments, and to the markets in which they trade. It provides a comprehensive, rigorous and accessible introduction to bonds, swaps, futures and forwards and options, including variance swaps, volatility indices and their futures and options, to stochastic volatility models and to modelling the implied and local volatility surfaces. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Duration-Convexity approximation to bond portfolios, and portfolio immunization; Pricing floaters and vanilla, basis and variance swaps; Coupon stripping and yield curve fitting; Proxy hedging, and hedging international securities and energy futures portfolios; Pricing models for European exotics, including barriers, Asians, look-backs, choosers, capped, contingent, power, quanto, compo, exchange, ‘best-of’ and spread options; Libor model calibration; Dynamic models for implied volatility based on principal component analysis; Calibration of stochastic volatility models (Matlab code); Simulations from stochastic volatility and jump models; Duration, PV01 and volatility invariant cash flow mappings; Delta-gamma-theta-vega mappings for options portfolios; Volatility beta mapping to volatility indices.
Book Synopsis Investment Analysis: Evaluating the Loss and Risk of a Stocks and Options Portfolio by : Azuri Shah
Download or read book Investment Analysis: Evaluating the Loss and Risk of a Stocks and Options Portfolio written by Azuri Shah and published by . This book was released on 2012 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: With the ripples in the financial markets and economic stresses that occur around the world today, it would be beneficial to have some insight into the tools that help investors learn about the riskiness of their portfolios. At what value is one's portfolio in danger of being completely wiped out? We aim to further the understanding of values such as these and give an assessment of some risk measures by investing in an interactive portfolio, as well as estimating the values at risk and expected shortfalls of this portfolio.
Book Synopsis International Convergence of Capital Measurement and Capital Standards by :
Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Wealth Forever: The Analytics Of Stock Markets by : Sarkis J Khoury
Download or read book Wealth Forever: The Analytics Of Stock Markets written by Sarkis J Khoury and published by World Scientific. This book was released on 2003-09-11 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is the first of its kind in providing, simultaneously and comprehensively, historical, institutional and theoretical foundations for developments in the stock market. It debunks many a myth about stock price behavior and the valuation of stocks. The traditional valuation models are tested and shown to be often weak and unreliable, especially when applied to the valuation of technology stocks. New paradigms are suggested.The authors seek to answer many questions about the stock market: Why invest in stocks, how to invest in stocks, how to value stocks, how to change the risk profile of portfolios, how to analyze the results of stock investing, and how to minimize estate taxes and maximize control, even after death.All aspects of the stock market are covered, including the basic tools that will enable the reader to understand the stock market basics, the history of stock market performance in the US and overseas, the various ways to value stocks and to assess their risk, and the various methods that have been proposed to capitalize on the inefficiencies of the stock market, be they temporary or permanent. The book also deals with the derivative markets for stocks.
Book Synopsis Investments: Analysis And Management, 9Th Ed by : Charles P. Jones
Download or read book Investments: Analysis And Management, 9Th Ed written by Charles P. Jones and published by John Wiley & Sons. This book was released on 2007-06-14 with total page 674 pages. Available in PDF, EPUB and Kindle. Book excerpt: This bestseller teaches readers not only how to identify successful investment opportunities, but how to anticipate and deal with investment problems and controversies. Jones carefully and gradually develops key concepts, while covering all the necessary background material. The book also helps the reader learn how to access and evaluate investment information and analyze investment opportunities, leading to good decisions when investing.· Understanding Investments · Investment Alternatives · Indirect Investing · Securities Markets · How Securities Are Traded · The Returns And Risks From Investing · Portfolio Theory · Portfolio Selection · Asset Pricing Models · Common Stock Valuation · Common Stocks: Analysis And Strategy · Market Efficiency · Economy/Market Analysis · Sector/Industry Analysis · Company Analysis · Technical Analysis · Bond Yields And Prices · Bonds: Analysis And Strategy · Options · Futures · Portfolio Management · Evaluation Of Investment Performance
Book Synopsis Stock Market Math by : Michael C. Thomsett
Download or read book Stock Market Math written by Michael C. Thomsett and published by Walter de Gruyter GmbH & Co KG. This book was released on 2017-11-20 with total page 287 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock Market Math shows you how to calculate return, leverage, risk, fundamental and technical analysis problems, price, volume, momentum and moving averages, including over 125 formulas and Excel programs for each, enabling readers to simply plug formulas into a spread sheet. This book is the definitive reference for all investors and traders. It introduces the many formulas and legends every investor needs, and explains their application through examples and narrative discussions providing the Excel spreadsheet programs for each. Readers can find instant answers to every calculation required to pick the best trades for your portfolio, quantify risk, evaluate leverage, and utilize the best technical indicators. Michael C. Thomsett is a market expert, author, speaker and coach. His many books include Mathematics of Options, Real Estate Investor’s Pocket Calculator, and A Technical Approach to Trend Analysis. In Stock Market Math, the author advances the science of risk management and stock evaluation with more than 50 endnotes, 50 figures and tables, and a practical but thoughtful exploration of how investors and traders may best quantify their portfolio decisions.
Book Synopsis Portfolio Risk Management by : Gregory B. Getts
Download or read book Portfolio Risk Management written by Gregory B. Getts and published by Addison Wesley Publishing Company. This book was released on 1989 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Investment Analysis -- Evaluating the Loss and Risk of a Stocks and Options Portfolio by : Shanna Infantino
Download or read book Investment Analysis -- Evaluating the Loss and Risk of a Stocks and Options Portfolio written by Shanna Infantino and published by . This book was released on 2012 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: With the ripples in the financial markets and economic stresses that occur around the world today, it would be beneficial to have some insight into the tools that help investors learn about the riskiness of their portfolios. At what value is one's portfolio in danger of being completely wiped out? We aim to further the understanding of values such as these and give an assessment of some risk measures by investing in an interactive portfolio, as well as estimating the values at risk and expected shortfalls of this portfolio.
Book Synopsis The Equity Risk Premium by : Bradford Cornell
Download or read book The Equity Risk Premium written by Bradford Cornell and published by John Wiley & Sons. This book was released on 1999-05-26 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: Das Thema Risikoprämie für Aktien (Equity Risk Premium) wird hier zum ersten Mal verständlich erklärt. Die Risikoprämie für Aktien stellt einen Renditeausgleich dar für das erhöhte Risiko, das ein Anleger bei der Investition in Aktien eingeht, im Vergleich zu einer Investition in risikofreie Staatsanleihen. Die Risikoprämie ist zwar von der Theorie her einfach, jedoch in der Praxis ein sehr komplexes Phänomen. Für Finanzentscheidungen ist es von größter Bedeutung, daß man das Prinzip der Risikoprämie versteht und es anwenden kann. Cornell erläutert das Thema Schritt für Schritt sehr anschaulich und ohne terminologischen Ballast. Zunächst wird die Risikoprämie im Zusammenhang mit der Geschichte des Aktienmarktes betrachtet. Der Haussemarkt der 90er dient dabei als Fallstudie. Cornell zeigt, welche Rückschlüsse man durch die Analyse der Risikoprämie im historischen Verlauf für den Aktienmarkt ziehen kann, z.B. ob Aktienkurse steigen oder fallen oder ob sich der Aktienmarkt verändert. Vorausschauende Schätzungen der Risikoprämie werden anhand verschiedener konkurrierender Modelle analysiert, wobei die Vorzüge der jeweiligen Methode mitbewertet werden. 'Equity Risk Premium' ist das erste Buch, das dieses wichtige Prinzip der Risiko-Nutzen-Analyse erschöpfend behandelt. Es vermittelt einen tiefen Einblick und deckt alle Grundlagen ab, damit Investoren fundierte Finanzentscheidungen treffen können. Ein absolutes Muß für institutionelle Anleger, Geldmanager und Finanzvorstände, die auf eine fundierte Marktanalyse zurückgreifen müssen. (06/99)
Book Synopsis Market Risk Analysis, Pricing, Hedging and Trading Financial Instruments by : Carol Alexander
Download or read book Market Risk Analysis, Pricing, Hedging and Trading Financial Instruments written by Carol Alexander and published by John Wiley & Sons. This book was released on 2008-06-09 with total page 427 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by leading market risk academic, Professor Carol Alexander, Pricing, Hedging and Trading Financial Instruments forms part three of the Market Risk Analysis four volume set. This book is an in-depth, practical and accessible guide to the models that are used for pricing and the strategies that are used for hedging financial instruments, and to the markets in which they trade. It provides a comprehensive, rigorous and accessible introduction to bonds, swaps, futures and forwards and options, including variance swaps, volatility indices and their futures and options, to stochastic volatility models and to modelling the implied and local volatility surfaces. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Duration-Convexity approximation to bond portfolios, and portfolio immunization; Pricing floaters and vanilla, basis and variance swaps; Coupon stripping and yield curve fitting; Proxy hedging, and hedging international securities and energy futures portfolios; Pricing models for European exotics, including barriers, Asians, look-backs, choosers, capped, contingent, power, quanto, compo, exchange, ‘best-of’ and spread options; Libor model calibration; Dynamic models for implied volatility based on principal component analysis; Calibration of stochastic volatility models (Matlab code); Simulations from stochastic volatility and jump models; Duration, PV01 and volatility invariant cash flow mappings; Delta-gamma-theta-vega mappings for options portfolios; Volatility beta mapping to volatility indices.
Book Synopsis Security Analysis and Portfolio Management by : Donald E. Fischer
Download or read book Security Analysis and Portfolio Management written by Donald E. Fischer and published by Prentice Hall. This book was released on 1975 with total page 584 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Preparing for the Worst by : Hrishikesh (Rick) D. Vinod
Download or read book Preparing for the Worst written by Hrishikesh (Rick) D. Vinod and published by John Wiley & Sons. This book was released on 2004-11-11 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: A timely approach to downside risk and its role in stock market investments When dealing with the topic of risk analysis, most books on investments treat downside and upside risk equally. Preparing for the Worst takes an entirely novel approach by focusing on downside risk and explaining how to incorporate it into investment decisions. Highlighting this asymmetry of the stock market, the authors describe how existing theories miss the downside and follow with explanations of how it can be included. Various techniques for calculating downside risk are demonstrated. This book presents the latest ideas in the field from the ground up, making the discussion accessible to mathematicians and statisticians interested in applications in finance, as well as to finance professionals who may not have a mathematical background. An invaluable resource for anyone wishing to explore the critical issues of finance, portfolio management, and securities pricing, this book: Incorporates Value at Risk into the theoretical discussion Uses many examples to illustrate downside risk in U.S., international, and emerging market investments Addresses downside risk arising from fraud and corruption Includes step-by-step instructions on how to implement the methods introduced in this book Offers advice on how to avoid pitfalls in calculations and computer programming Provides software use information and tips
Book Synopsis Selected Topics in Equity Portfolio Management by : Frank J. Fabozzi, CFA
Download or read book Selected Topics in Equity Portfolio Management written by Frank J. Fabozzi, CFA and published by John Wiley & Sons. This book was released on 1998-12-15 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: There are many styles, models, and factors that go into the management of an equity portfolio. The traditional manager's focus on stock picking and the resulting ad hoc nature of portfolio construction can lead to poorly defined portfolios. Thus the options between active, passive and engineered management come into play, with the ultimate objective being to establish an investment structure that will provide a return over time that compensates for the risk incurred.
Book Synopsis Security Analysis, Portfolio Management, And Financial Derivatives by : Cheng Few Lee
Download or read book Security Analysis, Portfolio Management, And Financial Derivatives written by Cheng Few Lee and published by World Scientific Publishing Company. This book was released on 2012-10-01 with total page 1190 pages. Available in PDF, EPUB and Kindle. Book excerpt: Security Analysis, Portfolio Management, and Financial Derivatives integrates the many topics of modern investment analysis. It provides a balanced presentation of theories, institutions, markets, academic research, and practical applications, and presents both basic concepts and advanced principles. Topic coverage is especially broad: in analyzing securities, the authors look at stocks and bonds, options, futures, foreign exchange, and international securities. The discussion of financial derivatives includes detailed analyses of options, futures, option pricing models, and hedging strategies. A unique chapter on market indices teaches students the basics of index information, calculation, and usage and illustrates the important roles that these indices play in model formation, performance evaluation, investment strategy, and hedging techniques. Complete sections on program trading, portfolio insurance, duration and bond immunization, performance measurements, and the timing of stock selection provide real-world applications of investment theory. In addition, special topics, including equity risk premia, simultaneous-equation approach for security valuation, and Itô's calculus, are also included for advanced students and researchers.
Book Synopsis Automated Option Trading by : Sergey Izraylevich
Download or read book Automated Option Trading written by Sergey Izraylevich and published by FT Press. This book was released on 2012 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first and only book of its kind, Automated Options Trading describes a comprehensive, step-by-step process for creating automated options trading systems. Using the authors' techniques, sophisticated traders can create powerful frameworks for the consistent, disciplined realization of well-defined, formalized, and carefully-tested trading strategies based on their specific requirements. Unlike other books on automated trading, this book focuses specifically on the unique requirements of options, reflecting philosophy, logic, quantitative tools, and valuation procedures that are completely different from those used in conventional automated trading algorithms. Every facet of the authors' approach is optimized for options, including strategy development and optimization; capital allocation; risk management; performance measurement; back-testing and walk-forward analysis; and trade execution. The authors' system reflects a continuous process of valuation, structuring and long-term management of investment portfolios (not just individual instruments), introducing systematic approaches for handling portfolios containing option combinations related to different underlying assets. With these techniques, it is finally possible to effectively automate options trading at the portfolio level. This book will be an indispensable resource for serious options traders working individually, in hedge funds, or in other institutions.
