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Three Essays On Asset Pricing And Risk Management
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Book Synopsis Three Essays on Asset Pricing and Risk Management by : Zhijiang Huang
Download or read book Three Essays on Asset Pricing and Risk Management written by Zhijiang Huang and published by . This book was released on 2007 with total page 127 pages. Available in PDF, EPUB and Kindle. Book excerpt: Three topics are studied. Firstly, we consider a general modeling framework by assigning arbitrage-free dynamics to an admissible set of forward swap rates. Connection with graph theory allows us to graphically characterize the admissible set and determine the number of distinct admissible models. Three specifications of pratical interests, namely co-terminal, co-initial and co-sliding swap market models, are identified. In particular, ctSMM enjoys the same degreee of tractability as LMM, and we propose a fast and robuste calibration scheme for it. Secondly, we derive analytical approximations by solving the PDE mapping between implied volatility and local volatility using two methods, namely local expansion and global iteration methods. Numerical studies show that these approximations are indeed quite accurate and the best among the existing ones. Lastly, we develop an accurate and efficient scheme to compute the tail probability or VaR of a collateralized loan portfolio owned by a bank.
Book Synopsis Three Essays in Asset Pricing by : Selale Tuzel
Download or read book Three Essays in Asset Pricing written by Selale Tuzel and published by . This book was released on 2005 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Asset Pricing by : Yongli Zhang
Download or read book Three Essays on Asset Pricing written by Yongli Zhang and published by ProQuest. This book was released on 2007 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt: G models without a monetary perspective are difficult to capture the dynamics of the real interest rates in the data of the US economy.
Book Synopsis Three Essays on Asset Pricing by : Zhi Da
Download or read book Three Essays on Asset Pricing written by Zhi Da and published by . This book was released on 2006 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Asset Pricing by : Emmanuel Leclercq
Download or read book Three Essays on Asset Pricing written by Emmanuel Leclercq and published by . This book was released on 2014 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays in Asset Pricing Theory by : Lionel Martellini
Download or read book Three Essays in Asset Pricing Theory written by Lionel Martellini and published by . This book was released on 2000 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Asset Pricing by : Lei Zhao
Download or read book Three Essays on Asset Pricing written by Lei Zhao and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using more stringent test assets and more formal model diagnostic tools, the first essay demonstrates the importance of higher-order comoment risks in asset pricing by assessing the performance of the most commonly used asset pricing models with and without these risks incorporated. Specifically, we find that higher-order comoment risks help the Fama and French serial pricing kernels to be closer to the admissible pricing kernel and that the newly developed Fama and French five-factor model (Fama and French, 2015), when augmented by the quadratic and cubic terms of the market return and with momentum incorporated, requires the least adjustment to be admissible.
Download or read book Three Essays on Asset Pricing written by and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Asset Allocation and Asset Pricing by : Chen Cao
Download or read book Three Essays on Asset Allocation and Asset Pricing written by Chen Cao and published by . This book was released on 2013 with total page 137 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Financial Economics and Risk Managment by : Zhaowei Wang
Download or read book Three Essays on Financial Economics and Risk Managment written by Zhaowei Wang and published by . This book was released on 2014 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This dissertation mainly focuses on asset pricing and risk management in financial markets"--Abstract.
Book Synopsis Three Essays on Asset Pricing by : Anya Khanthavit
Download or read book Three Essays on Asset Pricing written by Anya Khanthavit and published by . This book was released on 1992 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Asset Pricing by : Sunil Kenath Panikkath
Download or read book Three Essays on Asset Pricing written by Sunil Kenath Panikkath and published by . This book was released on 2001 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays in Asset Pricing and Portfolio Choice by : Mahmoud Botshekan
Download or read book Three Essays in Asset Pricing and Portfolio Choice written by Mahmoud Botshekan and published by . This book was released on 2012 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Asset Pricing by : Denada Ibrushi
Download or read book Three Essays on Asset Pricing written by Denada Ibrushi and published by . This book was released on 2018 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Asset Pricing and Behavioral Finance by : Cheng Peng
Download or read book Three Essays on Asset Pricing and Behavioral Finance written by Cheng Peng and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Asset Pricing and Portfolio Allocation by : Zhe Zhang
Download or read book Three Essays on Asset Pricing and Portfolio Allocation written by Zhe Zhang and published by . This book was released on 2004 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on International Asset Pricing by : David Tat-Chee Ng
Download or read book Three Essays on International Asset Pricing written by David Tat-Chee Ng and published by . This book was released on 2000 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt:
