Financial Informatics: An Information-Based Approach to Asset Pricing, Dorje Brody, Lane Hughston, Andrea Macrina
Автор: Campbell John Y. Название: Financial Decisions and Markets: A Course in Asset Pricing ISBN: 0691160805 ISBN-13(EAN): 9780691160801 Издательство: Wiley Рейтинг: Цена: 12672.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание:
From the field's leading authority, the most authoritative and comprehensive advanced-level textbook on asset pricing
Financial Decisions and Markets is a graduate-level textbook that provides a broad overview of the field of asset pricing. John Campbell, one of the field's most respected authorities, introduces students to leading theories of portfolio choice, their implications for asset prices, and empirical patterns of risk and return in financial markets. Campbell emphasizes the interplay of theory and evidence, as theorists respond to empirical puzzles by developing models with new testable implications. Increasingly these models make predictions not only about asset prices but also about investors' financial positions, and they often draw on insights from behavioral economics.
After a careful introduction to single-period models, Campbell develops multiperiod models with time-varying discount rates, reviews the leading approaches to consumption-based asset pricing, and integrates the study of equities and fixed-income securities. He discusses models with heterogeneous agents who use financial markets to share their risks, but also may speculate against one another on the basis of different beliefs or private information. Campbell takes a broad view of the field, linking asset pricing to related areas, including financial econometrics, household finance, and macroeconomics. The textbook works in discrete time throughout, and does not require stochastic calculus. Problems are provided at the end of each chapter to challenge students to develop their understanding of the main issues in financial economics.
The most comprehensive and balanced textbook on asset pricing available, Financial Decisions and Marketswill be an essential resource for all graduate students in finance and related fields.
Integrated treatment of asset pricing theory and empirical evidence
Emphasis on investors' decisions
Broad view linking the field to areas including financial econometrics, household finance, and macroeconomics
Topics treated in discrete time, with no requirement for stochastic calculus
Solutions manual for problems available to professors
Автор: Saunders, Anthony Cornett, Marcia Название: Ise financial institutions management: a risk management approach ISBN: 1260571475 ISBN-13(EAN): 9781260571479 Издательство: McGraw-Hill Рейтинг: Цена: 7446.00 р. 10637.00-30% Наличие на складе: Есть (1 шт.) Описание: Saunders and Cornett's Financial Institutions Management: A Risk Management Approach provides an innovative approach that focuses on managing return and risk in modern financial institutions. The central theme is that the risks faced by financial institutions managers and the methods and markets through which these risks are managed are becoming increasingly similar whether an institution is chartered as a commercial bank, a savings bank, an investment bank, or an insurance company. Although the traditional nature of each sector's product activity is analyzed, a greater emphasis is placed on new areas of activities such as asset securitization, off-balance-sheet banking, and international banking.
Автор: Munk Claus Название: Financial Asset Pricing Theory ISBN: 0198716451 ISBN-13(EAN): 9780198716457 Издательство: Oxford Academ Рейтинг: Цена: 8870.00 р. Наличие на складе: Есть у поставщика 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 analysed 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.
Автор: Dener & Young (Sandy) Min Название: Financial Management Information Systems And Open Budget Data ISBN: 1464800839 ISBN-13(EAN): 9781464800832 Издательство: Mare Nostrum (Eurospan) Рейтинг: Цена: 3465.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This study is the first attempt to explore the effects of Financial Management Information Systems on publishing open budget data and improving budget transparency, and develop some guidelines on relevant aspects. The findings of the study are expected to provide a comprehensive view of the current government practices.
Описание: Introduction.- The Signal-based Framework.- A Signal-based Heterogeneous Agent Network.- Putting Signal-based Model to Work.- Conclusion.
Автор: Kian Guan Lim Название: Theory and Econometrics of Financial Asset Pricing ISBN: 3110673851 ISBN-13(EAN): 9783110673852 Издательство: Walter de Gruyter Рейтинг: Цена: 10218.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание:
This book will provide a firm foundation in the understanding of financial economics applied to asset pricing. It carries the real world perspective of how the market works, including behavioral biases, and also wraps that understanding in the context of a rigorous economics framework of investors’ risk preferences, underlying price dynamics, rational choice in the large, and market equilibrium other than inexplicable irrational bubbles. It concentrates on analyses of stock, credit, and option pricing. Existing highly cited finance models in pricing of these assets are covered in detail, and theory is accompanied by rigorous applications of econometrics. Econometrics contain elucidations of both the statistical theory as well as the practice of data analyses. Linear regression methods and some nonlinear methods are also covered.
The contribution of this book, and at the same time, its novelty, is in employing materials in probability theory, economics optimization, econometrics, and data analyses together to provide a rigorous and sharp intellect for investment and financial decision-making. Mistakes are often made with far too often sweeping pragmatism without deeply knowing the underpinnings of how the market economics works. This book is written at a level that is both academically rigorous for university courses in investment, derivatives, risk management, as well as not too mathematically deep so that finance and banking graduate professionals can have a real journey into the frontier financial economics thinking and rigorous data analytical findings.
Автор: Tolley George, Nielson Mark Название: Information Costs and the Economics of Asset Pricing ISBN: 0943893135 ISBN-13(EAN): 9780943893136 Издательство: Gazelle Book Services Рейтинг: Цена: 6647.00 р. Наличие на складе: Поставка под заказ.
Описание: An explanation of asset pricing is developed based on aggregating the portfolio choices of individual investors. Recognition is given to investor information costs. Portfolio risk is lowered by increasing the number of securities an investor holds, giving Markowitz-type diversification gains. Investigation costs required for any additional security raises costs. Investigation costs are pushed to the point where the marginal gain from diversifying to one more security just offsets the marginal loss from spreading information costs over an additional security. The same comparison of marginal cost and marginal gain of adding a security applies to each security being considered for inclusion. The result is that every security in the portfolio chosen by the investor is of identical riskiness. Investors sort to securities of their individual desired level of riskiness. Each investor holds only a small fraction of the total number of securities. They are in competition to buy the total supply of securities. Prices must be such that the market for all securities clears. As investors jockey for position in holding securities of varying riskiness, they will make bids only against those who have chosen securities of a similar risk level, since investors who have different risk preferences will be competing for securities of a different riskiness. While the investors will be ranked with riskier securities commanding higher returns, there are many ways of ranking securities in such an order. The impasse between competing investors is broken by the relative change in slope i.e. the relative change in rise in riskiness, or change as given by the second derivative of the risk-return relation as riskiness increases. Market stability requires that the second derivative of the market risk relation is negative. The demand parameters of individual investors must be brought in, in such a way as to conform to the risk return slope conditions for the risk return relation, and these need to be related to the supply conditions for securities to ensure that demand and supply for securities at each level of security riskiness are equal. The derivative of the slope of the risk return relation is equal to the absolute value of the ratio of density of supply to density of demand at that level of riskiness. Expected return r is expected return on the least risky security r0 plus the integral of the slope dr/dR from that of the least risky security up to that of the security in question: r=r0+R0?R{(dr/dR)0+R0?R -j(R)/h(dr/dR)dR]dR}dR This result is for the case where investors differ in risk aversion but their information cost functions are identical, as may be reasonable where brokers and other intermediary investors draw on similar pools of security analysts. The case of investors with dissimilar information cost functions is briefly considered as a prelude to explaining security market fluctuations and disequilibria. The next part of the study embeds the asset pricing explanation of this book in a Lucas-type macroeconomic model. The asset pricing explanation developed in this book still applies, subject to the proviso that the least risky security held by any investor conforms to the Euler equation for optimal saving. The effects of risk on saving are explored, bringing out that the saving decision of the household is an endogenous choice. Next the relation of the explanation of asset prices in this book to consumption capm is explored. In consumption capm every investor holds every asset, whereas in this book each investor holds only a few assets. Our explanation encounters no equity-premium puzzle. Using historical U.S. data, we make a preliminary estimate of the long run risk return relation for the U.S. It has common sense appeal and paves the way for more refined estimation.
Описание: Provides a comprehensive overview of business analytics, for those who have either a technical background (quantitative methods) or a practitioner business background. The book provides a comprehensive primer and overview of the field (and related fields), and discusses the field as it applies to financial institutions.
Описание: Provides a comprehensive overview of business analytics, for those who have either a technical background (quantitative methods) or a practitioner business background. The book provides a comprehensive primer and overview of the field (and related fields), and discusses the field as it applies to financial institutions.
Описание: During the 1980s and 1990s, theoretical research in financial economics significantly advanced our understanding of the informational aspects of price processes. This book provides a detailed and up-to-date survey of this important body of literature.
Автор: Claus Munk Название: Financial Asset Pricing Theory ISBN: 0199585490 ISBN-13(EAN): 9780199585496 Издательство: Oxford Academ Рейтинг: Цена: 20196.00 р. Наличие на складе: Есть у поставщика 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.
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