Автор: Tapiero Charles Название: Risk Finance and Asset Pricing ISBN: 0470549467 ISBN-13(EAN): 9780470549469 Издательство: Wiley Рейтинг: Цена: 13613 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: * With an eye toward the future, he has crafted a comprehensive and practical book that emphasizes an intuitive approach to the financial and quantitative foundations of financial and risk engineering and its many applications to asset pricing and risk management.
Описание: The Capital Asset Pricing Model (CAPM) and the mean-variance (M-V) rule, which are based on classic expected utility theory, have been heavily criticized theoretically and empirically. The advent of behavioral economics, prospect theory and other psychology-minded approaches in finance challenges the rational investor model from which CAPM and M-V derive. Haim Levy argues that the tension between the classic financial models and behavioral economics approaches is more apparent than real. This book aims to relax the tension between the two paradigms. Specifically, Professor Levy shows that although behavioral economics contradicts aspects of expected utility theory, CAPM and M-V are intact in both expected utility theory and cumulative prospect theory frameworks. There is furthermore no evidence to reject CAPM empirically when ex-ante parameters are employed. Professionals may thus comfortably teach and use CAPM and behavioral economics or cumulative prospect theory as coexisting paradigms.
Автор: Renneboog Название: Advances In Corporate Finance & Asset Pricing ISBN: 0444527230 ISBN-13(EAN): 9780444527233 Издательство: Elsevier Science Рейтинг: Цена: 13655 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Incorporates estimation risk in portfolio choice and also covers a risk measure for retail investment products, understanding and exploiting momentum in stock returns. This book includes: Introduction - Corporate restructuring; mergers and acquisitions in Europe; and the performance of acquisitive companies in the US.
Автор: Back, Kerry E. Название: Asset Pricing and Portfolio Choice Theory ISBN: 0190241144 ISBN-13(EAN): 9780190241148 Издательство: Oxford Academ Рейтинг: Цена: 15004 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book is a textbook at the Ph.D. or Masters in Quantitative Finance level. It covers single-period, discrete-time, and continuous-time financial models. It provides introductions to many current research topics, and each chapter contains exercises.
Автор: Milne, Frank (Bank of Montreal Professor of Econom Название: Finance Theory and Asset Pricing ISBN: 0199261067 ISBN-13(EAN): 9780199261062 Издательство: Oxford Academ Рейтинг: Цена: 8856 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: A concise guide to asset pricing, this text assumes a knowledge of graduate level microeconomics. It explores the fundamental ideas underlying competitive financial asset pricing models with synthetic information.
Автор: Kellerhals B.Philipp Название: Asset Pricing / Modeling and Estimation ISBN: 3540208534 ISBN-13(EAN): 9783540208532 Издательство: Springer Рейтинг: Цена: 25244 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Asset Pricing Framework: Financial Modeling.- Estimation Principles.- Pricing Equities: Introduction and Survey.- Valuation Model.- First Empirical Results.- Implications for Investment Strategies.- Summary and Conclusions.- Pricing Fixed-Income Securities: Introduction and Survey.- Term Structure Model.- Initial Characteristic Results.- Risk Management and Derivates Pricing.- Calibration to Standard Instruments.- Summary and Conclusions.- Pricing Electricity Forwards: Introduction and Survey.- Electricity Pricing Model.- Empirical Inference.- Summary and Conclusions.- List of Symbols and Notation.- List of Tables.- List of Figures.- References.- Index.
Описание: The objective of this book is to set up an economic quantitative model for the assessment of financial market risk. The Measurement of Market Risk reviews the probabilistic modelling of so-called risk factors, which represent the uncertainty of financial markets, and discusses the issue of risk as the perception of uncertainty by individuals when faced with a decision problem. Further, the book discusses the pricing of financial instruments as a function of risk factors. Emphasis is put on options, because they exhibit a non-linear exposure to the risk factors. The core of the text is the assessment of risk for financial portfolios by way of estimating the portfolio probability distribution. A new approach, the Barycentric Discretisation with Piecewise Quadratic Approximation (BDPQA), which poses no assumptions on the risk factor distribution and accounts for the non-linearity of the price functions, is introduced.
Описание: This book presents a comprehensive discussion of the issues related to risk, volatility, value and risk management. The first half of the book examines ways to
manage risk and compute value-at-risk for exchange risk associated to debt portfolios and portfolios of equity. It also covers the Basel II framework implementation and
The effects of volatility and risk on the valuation of financial assets are further studied in detail. The second half of the book is dedicated to the banking
industry, banking competition on the credit market, banking risk and distress, market valuation, managerial risk taking, and value in the ICT activity. With its inclusion of new concepts
and recent literature, academics and risk managers will want to read this book.
Автор: Milne, Frank (Professor of Economics, Queen`s Univ Название: Finance Theory and Asset Pricing ISBN: 0198773986 ISBN-13(EAN): 9780198773986 Издательство: Oxford Academ Цена: 3614 р. Наличие на складе: Поставка под заказ.
Описание: This concise guide to financial-asset pricing theory assumes a basic knowledge of graduate-level microeconomic theory. It explores the fundamental ideas that underlie competitive financial-asset pricing models with symmetric information.
Описание: The current financial crisis started from the US real estate market and after, though the increase of risk premium requested by investors and due to the lack of liquidity of all financial markets, it became a world financial crisis. A detailed analysis during the crisis focuses attention on asset management, the real estate and public sector.
Автор: Poon, Ser-Huang Название: Asset Pricing in Discrete Time ISBN: 0199271445 ISBN-13(EAN): 9780199271443 Издательство: Oxford Academ Рейтинг: Цена: 12835 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book covers the pricing of assets, derivatives, and bonds in a discrete time, complete markets framework. It relies heavily on the existence, in a complete market, of a pricing kernel. It is primarily aimed at advanced Masters and PhD students in finance. Topics covered include CAPM, non-marketable background risks, European style contingent claims as in Black-Scholes and in cases where risk neutral valuation relationship does not exist, multi-period asset pricing under rational expectations, forward and futures contracts on assets and derivatives, and bond pricing under stochastic interest rates. All the proofs, including a discrete time proof of the Libor market model, are shown explicitly.
Автор: Wang Shouyang, Xia Yusen Название: Portfolio Selection and Asset Pricing ISBN: 3540429158 ISBN-13(EAN): 9783540429159 Издательство: Springer Рейтинг: Цена: 11879 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This monograph consists of two parts. One part is portfolio selection theory and the other part is capital asset pricing theory. For each part, a comprehensive review of the original theory, efforts to improve the theory afterwards and future works to be done are presented. Some innovative models and empirical research works are given in subsequent chapters following the review. For example, a model for portfolio selection with order of expected returns is presented in Chapter 2, the model addresses the inaccuracy in the estimation the expected returns of securities by putting the expected returns of securities as variables rather than known constant. Readers will see some new results which are very practical and interesting.
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