Transfer Pricing Methods: An Applications Guide, Robert Feinschreiber
Автор: Ross Stephen Название: Core principles and applications of Corporate Finance, global edition ISBN: 0071221166 ISBN-13(EAN): 9780071221160 Издательство: McGraw-Hill Рейтинг: Цена: 5224 р. Наличие на складе: Есть (1 шт.) Описание: Conveys important corporate finance concepts and applications. This text distills the subject of corporate finance down to its core, while also maintaining a decidedly modern approach.
Автор: Singleton, Kenneth J. Название: Empirical dynamic asset pricing ISBN: 0691122970 ISBN-13(EAN): 9780691122977 Издательство: Wiley Рейтинг: Цена: 11286 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Focuses on the interplay between model specification, data collection, and econometric testing of dynamic asset pricing models. This book includes the econometric methods used in analyzing financial time-series models, and the goodness-of-fit of preference-based and no-arbitrage models of equity returns and the term structure of interest rates.
Описание: An essential guide to credit derivatives Credit derivatives has become one of the fastest-growing areas of interest in global derivatives and risk management. Credit Derivatives takes the reader through an in-depth explanation of an investment tool that has been increasingly used to manage credit risk in banking and capital markets. Anson discusses everything from the basics of why credit risk is important to accounting and tax implications of credit derivatives. Key topics covered in this essential guidebook include: credit swaps; credit forwards; credit linked notes; and credit derivative pricing models. Anson also discusses the implications of credit risk management as well as credit derivative regulation. Using charts, examples, basic investment theory, and elementary mathematics, Credit Derivatives illustrates the real-world practice and applications of credit derivatives products. Mark J. P. Anson (Sacramento, CA) is the Chief Investment Officer at Calpers. Frank J. Fabozzi (New Hope, PA) is a Fellow of the International Center for Finance at Yale University. Moorad Choudhry (Surrey, UK) is a Vice President in Structured Finance Services with JP Morgan Chase Bank in London. Ren-Raw Chen is an Assistant and Associate Professor at the Rutgers University Faculty of Management.
Описание: This book offers an advanced introduction to the models of credit risk valuation. It concentrates on firm-value and reduced-form approaches and their applications in practice. Additionally, the book includes new models for valuing derivative securities with credit risk, focussing on options and forward contracts subject to counterparty default risk, but also treating options on credit-risky bonds and credit derivatives. The text provides detailed descriptions of the state-of-the-art martingale methods and advanced numerical implementations based on multi-variate trees used to price derivative credit risk. Numerical examples illustrate the effects of credit risk on the prices of financial derivatives.
Описание: The book will look at major, state of the art calibration methods used in the analysis and pricing of financial derivatives using Mathematica, Matlab and C++.
Using practical examples and market data, it will enable the reader to understand and apply major calibration, estimation and numerical tools required to analyze, risk manage and price
complex derivative instruments.
Описание: The Das Swaps & Financial Derivatives Library - Third Edition Revised is the successor to Swaps & Financial Derivatives, which was first published in 1989 (as Swap Financing). A second edition was published in 1994 (as Swaps & Financial Derivatives - Second Edition (in most of the world) and Swaps & Derivative Financing - Second Edition (in the USA). The changes in the market since the publication of the second edition have necessitated this third edition. The Das Swaps & Financial Derivatives Library - Third Edition Revised incorporates extensive new material in all sections to update existing areas of coverage. In addition, several new chapters covering areas of market development have been included. This has resulted in a significant expansion in the size of the text.
Описание: Describes the principles of model building in financial engineering and explains those models as designs and working implementations for Java-based applications. This book presents a series of packaged classes to address a range of financial applications.
Описание: In this book, the authors investigate structural aspects of no arbitrage pricing of contingent claims and applications of the general pricing theory in the context of incomplete markets. A quasi-closed form pricing equation in terms of artificial probabilities is derived for arbitrary payoff structures. Moreover, a comparison between continuous and discrete models is presented, highlighting the major similarities and key differences. As applications, two sources of market incompleteness are considered, namely stochastic volatility and stochastic liquidity. Firstly, the general theory discussed before is applied to the pricing of power options in a stochastic volatility model. Secondly, the issue of liquidity risk is considered by focusing on the aspect of how asset price dynamics are affected by the trading strategy of a large investor.
Описание: Asset pricing models play a central role in finance and economic theory and applications. This book introduces a structural theory to evaluate these asset pricing models and throws light on the existence of Equity Premium Puzzle.
Описание: Praise for Global Asset Allocation "In the critical field of global portfolio optimization, this volume is not only a technical tour de force, but also provides excellent access to state-of-the-art concepts for practitioners. It represents an important resource for those who manage institutional and individual portfolios as it is for those who want the latest applied research in international finance." Ingo Walter, Charles Simon Professor of Applied Business Economics & Sidney Homer Director, New York University Salomon Center Stern School of Business, New York University "The authors apply modern statistical modeling of time-varying risk and return to the study of global asset allocation. They offer empirical results and methodologies that shed light on the benefits of international diversification." Prof. Bruno Solnik, Finance and Economics Department, HEC Paris "This book presents an amazing variety of empirical findings on stock and bond returns in many national markets. Combining economic intuition and econometric rigor, the academic scholar and the portfolio manager will find a treasure of important insights and get very valuable advice for global asset allocation." Prof. Gunter Franke, Universitat Konstanz, Fachbereich Wirtschaftswissenschaften
Описание: Models, Methods, Concepts and Applications of the Analytic Hierarchy Process is a volume dedicated to selected applications of the Analytic Hierarchy Process (AHP) focused on three themes: economics, the social sciences, and the linking of measurement with human values. (1) The AHP offers economists a substantially different approach to dealing with economic problems through ratio scales. The main mathematical models on which economics has based its quantitative thinking up to now are utility theory, which uses interval scales, and linear programming. We hope that the variety of examples included here can perhaps stimulate researchers in economics to try applying this new approach. (2) The second theme is concerned with the social sciences. The AHP offers psychologists and political scientists the methodology to quantify and derive measurements for intangibles. We hope that the examples included in this book will encourage them to examine the methods of AHP in terms of the problems they seek to solve. (3) The third theme is concerned with providing people in the physical and engineering sciences with a quantitative method to link hard measurement to human values. In such a process one needs to interpret what the measurements mean. A number is useless until someone understands what it means. It can have different meanings in different problems. Ten dollars are plenty to satisfy one's hunger but are useless by themselves in buying a new car. Such measurements are only indicators of the state of a system, but do not relate to the values of the human observers of that system. AHP methods can help resolve the conflicts between hard measurement data and human values.
Описание: This book provides a compendium to recent work in empirical banking. It follows the structure in "The Microeconomics of Banking" by Xavier Freixas and Jean Charles Rochet in arranging the relevant methodologies, applications and results to achieve a coherent synthesis between available theory and supporting empirics.
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