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Author: Greg N. Gregoriou
Publisher: CRC Press
Published: 2009-04-08
Total Pages: 654
ISBN-13: 1420099558
DOWNLOAD EBOOKUp-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel
Author: Svetlozar T. Rachev
Publisher: John Wiley & Sons
Published: 2011-02-08
Total Pages: 316
ISBN-13: 0470937262
DOWNLOAD EBOOKAn in-depth guide to understanding probability distributions and financial modeling for the purposes of investment management In Financial Models with Lévy Processes and Volatility Clustering, the expert author team provides a framework to model the behavior of stock returns in both a univariate and a multivariate setting, providing you with practical applications to option pricing and portfolio management. They also explain the reasons for working with non-normal distribution in financial modeling and the best methodologies for employing it. The book's framework includes the basics of probability distributions and explains the alpha-stable distribution and the tempered stable distribution. The authors also explore discrete time option pricing models, beginning with the classical normal model with volatility clustering to more recent models that consider both volatility clustering and heavy tails. Reviews the basics of probability distributions Analyzes a continuous time option pricing model (the so-called exponential Lévy model) Defines a discrete time model with volatility clustering and how to price options using Monte Carlo methods Studies two multivariate settings that are suitable to explain joint extreme events Financial Models with Lévy Processes and Volatility Clustering is a thorough guide to classical probability distribution methods and brand new methodologies for financial modeling.
Author: James H. Stock
Publisher: Prentice Hall
Published: 2015
Total Pages: 0
ISBN-13: 9780133486872
DOWNLOAD EBOOKFor courses in Introductory Econometrics Engaging applications bring the theory and practice of modern econometrics to life. Ensure students grasp the relevance of econometrics with Introduction to Econometrics-the text that connects modern theory and practice with motivating, engaging applications. The Third Edition Update maintains a focus on currency, while building on the philosophy that applications should drive the theory, not the other way around. This program provides a better teaching and learning experience-for you and your students. Here's how: Personalized learning with MyEconLab-recommendations to help students better prepare for class, quizzes, and exams-and ultimately achieve improved comprehension in the course. Keeping it current with new and updated discussions on topics of particular interest to today's students. Presenting consistency through theory that matches application. Offering a full array of pedagogical features. Note: You are purchasing a standalone product; MyEconLab does not come packaged with this content. If you would like to purchase both the physical text and MyEconLab search for ISBN-10: 0133595420 ISBN-13: 9780133595420. That package includes ISBN-10: 0133486877 /ISBN-13: 9780133486872 and ISBN-10: 0133487679/ ISBN-13: 9780133487671. MyEconLab is not a self-paced technology and should only be purchased when required by an instructor.
Author: Harold L. Vogel
Publisher: Springer
Published: 2018-08-16
Total Pages: 508
ISBN-13: 3319715283
DOWNLOAD EBOOKEconomists broadly define financial asset price bubbles as episodes in which prices rise with notable rapidity and depart from historically established asset valuation multiples and relationships. Financial economists have for decades attempted to study and interpret bubbles through the prisms of rational expectations, efficient markets, and equilibrium, arbitrage, and capital asset pricing models, but they have not made much if any progress toward a consistent and reliable theory that explains how and why bubbles (and crashes) evolve and can also be defined, measured, and compared. This book develops a new and different approach that is based on the central notion that bubbles and crashes reflect urgent short-side rationing, which means that, as such extreme conditions unfold, considerations of quantities owned or not owned begin to displace considerations of price.
Author: Riccardo Rebonato
Publisher: John Wiley & Sons
Published: 2005-07-08
Total Pages: 864
ISBN-13: 0470091401
DOWNLOAD EBOOKIn Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. With both practical and theoretical applications, this is a thorough update of the highly successful Volatility & Correlation – with over 80% new or fully reworked material and is a must have both for practitioners and for students. The new and updated material includes a critical examination of the ‘perfect-replication’ approach to derivatives pricing, with special attention given to exotic options; a thorough analysis of the role of quadratic variation in derivatives pricing and hedging; a discussion of the informational efficiency of markets in commonly-used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for interest-rate smiles and equity/FX options. The book is split into four parts. Part I deals with a Black world without smiles, sets out the author’s ‘philosophical’ approach and covers deterministic volatility. Part II looks at smiles in equity and FX worlds. It begins with a review of relevant empirical information about smiles, and provides coverage of local-stochastic-volatility, general-stochastic-volatility, jump-diffusion and Variance-Gamma processes. Part II concludes with an important chapter that discusses if and to what extent one can dispense with an explicit specification of a model, and can directly prescribe the dynamics of the smile surface. Part III focusses on interest rates when the volatility is deterministic. Part IV extends this setting in order to account for smiles in a financially motivated and computationally tractable manner. In this final part the author deals with CEV processes, with diffusive stochastic volatility and with Markov-chain processes. Praise for the First Edition: “In this book, Dr Rebonato brings his penetrating eye to bear on option pricing and hedging.... The book is a must-read for those who already know the basics of options and are looking for an edge in applying the more sophisticated approaches that have recently been developed.” —Professor Ian Cooper, London Business School “Volatility and correlation are at the very core of all option pricing and hedging. In this book, Riccardo Rebonato presents the subject in his characteristically elegant and simple fashion...A rare combination of intellectual insight and practical common sense.” —Anthony Neuberger, London Business School
Author: Johannes Voit
Publisher: Springer Science & Business Media
Published: 2013-06-29
Total Pages: 227
ISBN-13: 3662044234
DOWNLOAD EBOOKA careful examination of the interaction between physics and finance. It takes a look at the 100-year-long history of co-operation between the two fields and goes on to provide new research results on capital markets - taken from the field of statistical physics. The random walk model, well known in physics, is one good example of where the two disciplines meet. In the world of finance it is the basic model upon which the Black-Scholes theory of option pricing and hedging has been built. The underlying assumptions are discussed using empirical financial data and analogies to physical models such as fluid flows, turbulence, or superdiffusion. On this basis, new theories of derivative pricing and risk control can be formulated.
Author: Hersh Shefrin
Publisher: Elsevier
Published: 2008-05-19
Total Pages: 636
ISBN-13: 0080482244
DOWNLOAD EBOOKBehavioral finance is the study of how psychology affects financial decision making and financial markets. It is increasingly becoming the common way of understanding investor behavior and stock market activity. Incorporating the latest research and theory, Shefrin offers both a strong theory and efficient empirical tools that address derivatives, fixed income securities, mean-variance efficient portfolios, and the market portfolio. The book provides a series of examples to illustrate the theory. The second edition continues the tradition of the first edition by being the one and only book to focus completely on how behavioral finance principles affect asset pricing, now with its theory deepened and enriched by a plethora of research since the first edition
Author: Dr GangineniDhanaiah
Publisher: Archers & Elevators Publishing House
Published:
Total Pages:
ISBN-13: 9386501899
DOWNLOAD EBOOKAuthor: Carol Alexander
Publisher: John Wiley & Sons
Published: 2009-02-09
Total Pages: 503
ISBN-13: 0470997885
DOWNLOAD EBOOKWritten by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. It rests on the basic knowledge of financial mathematics and statistics gained from Volume I, of factor models, principal component analysis, statistical models of volatility and correlation and copulas from Volume II and, from Volume III, knowledge of pricing and hedging financial instruments and of mapping portfolios of similar instruments to risk factors. A unifying characteristic of the series is the pedagogical approach to practical examples that are relevant to market risk analysis in practice. 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: Parametric linear value at risk (VaR)models: normal, Student t and normal mixture and their expected tail loss (ETL); New formulae for VaR based on autocorrelated returns; Historical simulation VaR models: how to scale historical VaR and volatility adjusted historical VaR; Monte Carlo simulation VaR models based on multivariate normal and Student t distributions, and based on copulas; Examples and case studies of numerous applications to interest rate sensitive, equity, commodity and international portfolios; Decomposition of systematic VaR of large portfolios into standard alone and marginal VaR components; Backtesting and the assessment of risk model risk; Hypothetical factor push and historical stress tests, and stress testing based on VaR and ETL.
Author: Van-Nam Huynh
Publisher: Springer
Published: 2014-12-15
Total Pages: 486
ISBN-13: 3319134493
DOWNLOAD EBOOKThis edited book contains several state-of-the-art papers devoted to econometrics of risk. Some papers provide theoretical analysis of the corresponding mathematical, statistical, computational, and economical models. Other papers describe applications of the novel risk-related econometric techniques to real-life economic situations. The book presents new methods developed just recently, in particular, methods using non-Gaussian heavy-tailed distributions, methods using non-Gaussian copulas to properly take into account dependence between different quantities, methods taking into account imprecise ("fuzzy") expert knowledge, and many other innovative techniques. This versatile volume helps practitioners to learn how to apply new techniques of econometrics of risk, and researchers to further improve the existing models and to come up with new ideas on how to best take into account economic risks.
