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Empirical dynamic asset pricing, Singleton, Kenneth J.


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Цена: 11286р.
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Автор: Singleton, Kenneth J.
Название:  Empirical dynamic asset pricing   (Кеннет Синглетойн: Эмпирическое динамическое ценообразование активов)
Издательство: Wiley
Классификация:
Финансы

ISBN: 0691122970
ISBN-13(EAN): 9780691122977
ISBN: 0-691-12297-0
ISBN-13(EAN): 978-0-691-12297-7
Обложка/Формат: Hardback
Страницы: 536
Вес: 0.86 кг.
Дата издания: 06.03.2006
Язык: ENG
Иллюстрации: 32 line illus.26 tables.
Размер: 24.03 x 16.46 x 3.78 cm
Читательская аудитория: Tertiary education (us: college)
Подзаголовок: Model specification and econometric assessment
Ссылка на Издательство: Link
Рейтинг:
Поставляется из: Англии
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.



Asset Pricing / -Discrete Time Approach-

Автор: Kariya T., Liu Regina
Название: Asset Pricing / -Discrete Time Approach-
ISBN: 1402072430 ISBN-13(EAN): 9781402072437
Издательство: Springer
Рейтинг:
Цена: 15427 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: The theory of asset pricing has grown markedly more sophisticated in the last two decades, with the application of powerful mathematical tools such as probability theory, stochastic processes and numerical analysis. The main goal of Asset Pricing -Discrete Time Approach- is to provide a systematic exposition, with practical applications, of the no-arbitrage theory for asset pricing in financial engineering in the framework of a discrete time approach. Useful as a textbook on financial asset pricing, this book will also appeal to practitioners in financial and related industries, as well as to students in MBA or graduate/advanced undergraduate programs in finance, financial engineering, financial econometrics, or financial information science.

Dynamic asset pricing theory

Автор: Duffie, Darrell
Название: Dynamic asset pricing theory
ISBN: 069109022X ISBN-13(EAN): 9780691090221
Издательство: Wiley
Рейтинг:
Цена: 6793 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: Suitable for doctoral students and researchers, this book talks about the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three restrictive assumptions: absence of arbitrage, single-agent optimality, and equilibrium.

Advanced option pricing models - an empirical approach to valuing options

Автор: Katz
Название: Advanced option pricing models - an empirical approach to valuing options
ISBN: 0071406050 ISBN-13(EAN): 9780071406055
Издательство: McGraw-Hill
Рейтинг:
Цена: 4388 р.
Наличие на складе: Поставка под заказ.

Описание: Offers a look at what constitutes option pricing theory alongwith some thoughts on projecting and assessing volatility. This book explains the arcane mathematical concepts of options pricing. It also shows traders how to design and implement models that are consistent with the distributional quirks of the underlying markets.

Pricing Credit Linked Financial Instruments / Theory and Empirical Evidence

Автор: Schmid Bernd
Название: Pricing Credit Linked Financial Instruments / Theory and Empirical Evidence
ISBN: 3540431950 ISBN-13(EAN): 9783540431954
Издательство: Springer
Цена: 7008 р.
Наличие на складе: Поставка под заказ.

Описание: Credit risk is one of the oldest forms of risk in the financial markets, and still revolutionary changes and developments are taking place in the credit markets today. This work contributes to the efforts of academics and practitioners to explain credit markets, price default related financial instruments such as defaultable fixed and floating rate debt, credit derivatives, and other securities with embedded credit risk. The whole process, from the specification of the underlying stochastic processes to the estimation of the parameters and calibration to market data is shown. The models proposed are validated in a lot of in- and out-of-sample statistical tests. Typical applications such as bond portfolio optimization under the consideration of credit risk are discussed in depth.

A Structural Framework for the Pricing of Corporate Securities / Economic and Empirical Issues

Автор: Genser Michael
Название: A Structural Framework for the Pricing of Corporate Securities / Economic and Empirical Issues
ISBN: 3540286837 ISBN-13(EAN): 9783540286837
Издательство: Springer
Рейтинг:
Цена: 8414 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: This book is the first comprehensive treatment of structural credit risk models for the simultaneous and consistent pricing of corporate securities. Through the development of a flexible economic framework based on the firm’s EBIT, the reader is taken from the economic principles of firm value models to the empirical implementation. Analytical solutions are provided if EBIT follows an arithmetic or geometric Brownian motion. In addition, numerical methods are proposed to solve more advanced economic settings or to price derivatives on corporate securities. Numerical examples make the theory easily accessible and show its ability to reproduce empirical observations. An econometric implementation guides towards practical application. Hence, the book provides a state-of-the-art exposition of corporate securities pricing for academics and practitioners alike.

Financial Asset Pricing Theory

Автор: Claus Munk
Название: Financial Asset Pricing Theory
ISBN: 0199585490 ISBN-13(EAN): 9780199585496
Издательство: Oxford Academ
Рейтинг:
Цена: 10096 р.
Наличие на складе: Поставка под заказ.

Описание: The book presents models for the pricing of financial assets such as stocks, bonds, and options. The models are formulated and analyzed using concepts and techniques from mathematics and probability theory. It presents important classic models and some recent `state-of-the-art` models that outperform the classics.

Dynamic Allocation and Pricing: A Mechanism Design Approach

Автор: Gershkov Alex, Moldovanu Benny
Название: Dynamic Allocation and Pricing: A Mechanism Design Approach
ISBN: 0262028409 ISBN-13(EAN): 9780262028400
Издательство: Wiley
Рейтинг:
Цена: 3135 р.
Наличие на складе: Поставка под заказ.

Описание:

A new approach to dynamic allocation and pricing that blends dynamic paradigms from the operations research and management science literature with classical mechanism design methods.

Dynamic allocation and pricing problems occur in numerous frameworks, including the pricing of seasonal goods in retail, the allocation of a fixed inventory in a given period of time, and the assignment of personnel to incoming tasks. Although most of these problems deal with issues treated in the mechanism design literature, the modern revenue management (RM) literature focuses instead on analyzing properties of restricted classes of allocation and pricing schemes. In this book, Alex Gershkov and Benny Moldovanu propose an approach to optimal allocations and prices based on the theory of mechanism design, adapted to dynamic settings.

Drawing on their own recent work on the topic, the authors describe a modern theory of RM that blends the elegant dynamic models from the operations research (OR), management science, and computer science literatures with techniques from the classical mechanism design literature. Illustrating this blending of approaches, they start with well-known complete information, nonstrategic dynamic models that yield elegant explicit solutions. They then add strategic agents that are privately informed and then examine the consequences of these changes on the optimization problem of the designer. Their sequential modeling of both nonstrategic and strategic logic allows a clear picture of the delicate interplay between dynamic trade-offs and strategic incentives. Topics include the sequential assignment of heterogeneous objects, dynamic revenue optimization with heterogeneous objects, revenue maximization in the stochastic and dynamic knapsack model, the interaction between learning about demand and dynamic efficiency, and dynamic models with long-lived, strategic agents.

Fixed-Income Securities: Dynamic Methods for Interest Rate Risk Pricing and Hedging

Автор: Lionel Martellini
Название: Fixed-Income Securities: Dynamic Methods for Interest Rate Risk Pricing and Hedging
ISBN: 0471495026 ISBN-13(EAN): 9780471495024
Издательство: Wiley
Рейтинг:
Цена: 9928 р.
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Описание: This work aims to provide a thorough explanation of moder methods for pricing and hedging with descriptions of the various modelling techniques that can be used to price the various securities, such as government bonds, treasury bills, and interest rate derivatives.

A Behavioral Approach To Asset Pricing Cd

Автор: Hersh Shefrin
Название: A Behavioral Approach To Asset Pricing Cd
ISBN: 0126393710 ISBN-13(EAN): 9780126393712
Издательство: Elsevier Science
Цена: 7756 р.
Наличие на складе: Невозможна поставка.

The Measurement of Market Risk / Modelling of Risk Factors, Asset Pricing, and Approximation of Portfolio Distributions

Автор: Moix Pierre-Yves
Название: The Measurement of Market Risk / Modelling of Risk Factors, Asset Pricing, and Approximation of Portfolio Distributions
ISBN: 3540421432 ISBN-13(EAN): 9783540421436
Издательство: Springer
Рейтинг:
Цена: 15427 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

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.

Asset Pricing / Modeling and Estimation

Автор: Kellerhals B.Philipp
Название: Asset Pricing / Modeling and Estimation
ISBN: 3540208534 ISBN-13(EAN): 9783540208532
Издательство: Springer
Рейтинг:
Цена: 15894 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.

Dynamic Asset Allocation with Forwards and Futures

Автор: Lioui Abraham, Poncet Patrice
Название: Dynamic Asset Allocation with Forwards and Futures
ISBN: 0387241078 ISBN-13(EAN): 9780387241074
Издательство: Springer
Рейтинг:
Цена: 15894 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: This is an advanced text on the theory of forward and futures markets which aims at providing readers with a comprehensive knowledge of how prices are established and evolve over time, what optimal strategies one can expect from the participants, what characterizes such markets and what major theoretical and practical differences distinguish futures from forward contracts. It should be of interest to students (majoring in finance with quantitative skills) academics (both theoreticians and empiricists), practitioners, and regulators.


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