This book describes the inferential and modeling advantages that this distribution, together with its generalizations and modifications, offers. The exposition systematically unfolds with many examples, tables, illustrations, and exercises. A comprehensive index and extensive bibliography also make this book an ideal text for a senior undergraduate and graduate seminar on statistical distributions, or for a short half-term academic course in statistics, applied probability, and finance.

In many areas of finance and stochastics, significant advances have been made since this field of research was opened by Black, Scholes and Merton in 1973. Advances in Finance and Stochastics contains a collection of original articles by a number of highly distinguished authors on research topics that are currently in the focus of interest of both academics and practitioners. The topics span risk management, portfolio theory and multi-asset derivatives, market imperfections, interest-rate modelling and exotic options.

In recent years, we've been rocked by a series of economic jolts, and all of them seemed to revolve around finance. And the most recent, the American mortgage meltdown, has sent shock waves around the world. Managed by the Markets, which won the 2010 George R. Terry Book Award, offers an illuminating account of how finance has replaced manufacturing at the center of the American economy over the past three decades, explaining how the new finance-centered system works, how we got here, and what challenges lay ahead.
Since the early 1980s, Gerald F. Davis shows, finance and financial considerations have increasingly taken center stage, dramatically reshaping American society. Corporations now have an overriding focus on creating shareholder value, while their personnel practices no longer provide secure employment, economic mobility, health insurance, or retirement benefits. Instead, employees must become shareholding free-agents, left to their own fate. Banking has shifted from the traditional role of taking in deposits and making loans to the widespread use of "securitization," turning loans (such as mortgages or corporate debt) into bonds owned by institutional investors. The financial services industry is both more concentrated among large banks and mutual funds, yet more spread out among under-regulated specialists such as mortgage finance companies and hedge funds. And states increasingly act as "vendors" in a global marketplace of law, emulating firms such as Nike, hiring contractors to do much of the work of government.
As a result, individuals and households find their welfare tied to the stock market and the mortgage market as never before. And the turbulence of recent years starkly underscores the dangers of depending too much on financial markets. Written in the spirit of C. Wright Mills' penetrating The PowerElite and White Collar, this brilliant study provides an invaluable map of the finance-driven American society.

The continuing U.S. Government's debt ceiling crisis is an anomaly characterized by a dysfunctional Congress that previously approved the budgetary expenditures for a multitude of government programs that now requires that same body to approve raising the ceiling to pay for those same program expenditures. The U.S. Treasury then dutifully raises the necessary cash to pay these bills and maturing debt through selling (auctioning) an ample supply of various marketable debt securities (bills, notes, bonds and TIPS) through Treasury's "Fast Money Tree." Treasury's goal is to sell or auction its securities at the lowest possible cost to the taxpayer in order to finance the U.S. government's operations and make up the difference between government revenues (taxes, fees, etc.), and the actual program costs. To accomplish this essential mission, Treasury sells (through approximately 280-300 auctions each year) approximately $7 to $8 trillion in marketable debt in the global financial markets to 21 Primary Dealers and over 200 other entities that include foreign central banks and hundreds of thousands of retail investors through a remarkably fast, efficient, and robust electronic system - the Treasury Automated Auction System ("TAAPS"), which I refer to as the "Fast Money Tree." Simply put, Republicans want to decrease government borrowing and spending without raising taxes to stimulate economic growth, and Democrats want to also decrease government borrowing and spending, while increasing revenues (e.g., taxes on the very wealthy and ensuring that everyone pay their fair share of taxes. This book also argues for a sensible balance between spending cuts and increased revenues in order to promote economic growth. In any case, the "Fast Money Tree" must persist in carrying out its essential mission to raise the cash needed so the U.S. Government's essential government operations can continue unabated.

This collection of conference papers presents a contemporary insight into key trends impacting on the global financial sector post crisis and highlights new policy and research areas affecting banks and other financial institutions. The four main themes are: financial crises, credit activity, capital markets and risk management.

Forecasting-the art and science of predicting future outcomes-has become a crucial skill in business and economic analysis. This volume introduces the reader to the tools, methods, and techniques of forecasting, specifically as they apply to financial and investing decisions. With an emphasis on "earnings per share" (eps), the author presents a data-oriented text on financial forecasting, understanding financial data, assessing firm financial strategies (such as share buybacks and R&D spending), creating efficient portfolios, and hedging stock portfolios with financial futures. The opening chapters explain how to understand economic fluctuations and how the stock market leads the general economic trend; introduce the concept of portfolio construction and how movements in the economy influence stock price movements; and introduce the reader to the forecasting process, including exponential smoothing and time series model estimations. Subsequent chapters examine the composite index of leading economic indicators (LEI); review financial statement analysis and mean-variance efficient portfolios; and assess the effectiveness of analysts' earnings forecasts. Using data from such firms as Intel, General Electric, and Hitachi, Guerard demonstrates how forecasting tools can be applied to understand the business cycle, evaluate market risk, and demonstrate the impact of global stock selection modeling and portfolio construction.

This book explores how the recent development of Muslim countries as a group has fallen far short of non-Muslim countries, which, some have concluded, may be a result of Islamic teachings. The authors examine Muslim countries over time, viewing their progression on the Islamicity scale. They assess why some countries have done better than others, and to derive useful policy recommendations to improve political, social, human, governance and economic performance.

This volume, in the series "Advances in Financial Economics," discusses such topics as the global variation in financial ratios, trading costs of target firms around corporate takeovers, and economic activity measures in nonlinear asset pricing.

The global financial crisis has changed finance and the global economy forever. The debate over its causes and consequences has only just begun. This book brings together VoxEU.org columns written during the height of the storm from June to December 2008, offering a glimpse of history in the making through the eyes of some of the world's leading economists. To help place individual contributions within this historical sequence, an appendix updates the timeline of events from our June publication up to December 2008. Another appendix provides a glossary of technical terms. The columns are grouped under three headings: / How did the crisis spread around the world? / How has the crisis upended traditional thinking about financial economics? / How should we fix the economy and financial system?

Nominal yields on government debt in several countries have fallen very near their zero lower bound (ZLB), causing a liquidity trap and limiting the capacity to stimulate economic growth. This book provides a comprehensive reference to ZLB structure modeling in an applied setting.

Since 1990, major banking and current crises have occurred in many countries throughout the world - including Mexico and Latin America in 1994-95, East Asia in 1997-98, and Russia and Brazil in 1998 - with large costs both to the individual countries experiencing the crises and to other nations. As a result, considerable effort has been expended by economists and policymakers to identify the causes of these crises and to design programs with the aim both of preventing similar crises from occurring in the future, and of minimizing the costs when these do occur. These studies have cut across national boundaries, being undertaken by individual researchers and organizations in particular countries, as well as by international institutions. This book collects the papers and discussants' comments presented at a conference co-sponsored by the Federal Reserve Bank of Chicago and the Bank for International Settlements in Basel, Switzerland, and held in Chicago, in early October 1999. The purpose of the conference was to identify and discuss the lessons to be learned from these crises. Topics discussed included reviews of the crises in the individual countries and regions; analyses of the policy responses, both by the affected countries and by official international institutions; what has been learned from these crises; deposit insurance reform; the design of bank capital regulation; the role of bank supervision and regulation; and the future of official international financial institutions, such as the International Monetary Fund and the World Bank. The conference participants included a broad range of academic, industry, and regulatory experts from more than twenty-five countries. Because of the timeliness of the conference and the wide-ranging expertise of the participants, the papers in this book should be of significant interest both to students of financial crises and to domestic and international policymakers.

This textbook offers an easily understandable introduction to the fundamental concepts of financial mathematics and financial engineering. The author presents and discusses the basic concepts of financial engineering and illustrates how to trade and to analyze financial products with numerous examples. Special attention is given to the valuation of basic financial derivatives. In the final section of the book, the author introduces the Wiener Stock Price Model and the basic principles of Black-Scholes theory. The book’s aim is to introduce readers to the basic techniques of modern financial mathematics in a way that is intuitive and easy to follow, and to provide financial mathematicians with insights into practical requirements when applying financial mathematical techniques in the real world. 

This book argues that the 2007/08 financial crisis revealed fundamental flaws in how the financial sector had evolved over the previous three decades. While access to financial services has improved, the total stock of debt in the global economy has risen to more than twice the size of global GDP. Financial services now play a far bigger role in all economies, developed and developing, than in the 1960s. This development has produced few, if any, worthwhile benefits. The book concludes that the largely deregulated financial sector needs to be radically reformed. The first of these reforms would be to establish the pre-eminence of the public interest in how financial services operate. The second would involve breaking up financial institutions that have become much too big. Third, the phenomenon of financialization needs to be regulated and controlled. Finally, all countries need to work- both nationally and internationally- towards a more democratized, more robust, and less laissez faire system of socially progressive financial sector regulation to make it subservient to the needs of society rather than the other way round. This Palgrave Pivot will be of interest to economists, financiers and banking specialists, interested in an informed debate on the causes and consequences of the 2007/2008 financial crisis.

The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. A discussion of historical estimation of the instantaneous correlation matrix and of rank reduction has been added, and a LIBOR-model consistent swaption-volatility interpolation technique has been introduced.

The old sections devoted to the smile issue in the LIBOR market model have been enlarged intoseveral new chapters. New sections on local-volatility dynamics, and on stochastic volatility models have been added, with a thorough treatment of the recently developed uncertain-volatility approach. Examples of calibrations to real market data are now considered.

The fast-growing interest for hybrid products has led tonew chapters. A special focus here is devoted to the pricing of inflation-linked derivatives.

The three final new chapters of this second edition are devoted to credit. Since Credit Derivatives are increasingly fundamental, and since in the reduced-form modeling framework much of the technique involved is analogous to interest-rate modeling, Credit Derivatives -- mostly Credit Default Swaps (CDS), CDS Options and Constant Maturity CDS - are discussed, building on the basic short rate-models and market models introduced earlier for the default-free market. Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments.

Self-contained chapters on the most important applications and methodologies in finance, which can easily be used for the reader’s research or as a reference for courses on empirical finance. Each chapter is reproducible in the sense that the reader can replicate every single figure, table, or number by simply copy-pasting the code we provide. A full-fledged introduction to machine learning with tidymodels based on tidy principles to show how factor selection and option pricing can benefit from Machine Learning methods. Chapter 2 on accessing & managing financial data shows how to retrieve and prepare the most important datasets in the field of financial economics: CRSP and Compustat. The chapter also contains detailed explanations of the most important data characteristics. Each chapter provides exercises that are based on established lectures and exercise classes and which are designed to help students to dig deeper. The exercises can be used for self-studying or as source of inspiration for teaching exercises.

The mix of debt and equity called capital structure, representing major claims against a corporation's assets, has been the subject of a long debate focusing on its determination, evaluation, and accounting. Riahi-Belkaoui uses both theoretical and contingency approaches to examine the question of whether capital structure really can be determined. Using a bond rating model he looks at the evaluation of capital structure and the resolution of issues pertaining to equity and liabilities and their contribution to the quality of capital structure reports. The book will be of special value to corporate financial officers and to graduate students and their teachers in accounting and finance.

Riahi-Belkaoui presents, first, the popular theories underlying the potential optimality of capital structure, the most popular of which is based on agency costs, asymmetric information, product/input market interactions and corporate control considerations. He then examines the same problem, first under a contingency of diversification and then a contingency of multinationality and investment opportunity. Since the evolution of capital structure rests on the ratings of a corporation's bonds, Riahi-Belkaoui offers a model that can be used for the prediction of industrial bond ratings. He concludes with an examination for equity and accounting for long-term liabilities.

In the post-Bretton Woods era, the advent of ever-expanding capital markets beyond national borders led to a series of financial reforms in many industrial economies. In comparing reform cases across different time periods in the United States, Japan, and Germany, Sara Konoe stresses the role of dynamic interactions between institutions and political contexts in determining reform paths. In non-crisis periods, regulatory fragmentation is utilized by financial sectors to pursue their demands for liberalization, though those in self-regulating or monopolized markets resist the agenda of liberalization. A time of crisis empowers reformers to restructure the financial regulatory structure and markets and enables the tightening of regulation. By drawing out key implications for global politics, Konoe sheds light on what types of reform dynamics come into play in the formation of global financial governance while considering the impact of regional-level institutionalization in the EU and EMU.

A non-technical introduction to the question of modeling with time-varying parameters, using the beta coefficient from Financial Economics as the main example. After a brief introduction to this coefficient for those not versed in finance, the book presents a number of rather well known tests for constant coefficients and then performs these tests on data from the Stockholm Exchange. The Kalman filter is then introduced and a simple example is used to demonstrate the power of the filter. The filter is then used to estimate the market model with time-varying betas. The book concludes with further examples of how the Kalman filter may be used in estimation models used in analyzing other aspects of finance. Since both the programs and the data used in the book are available for downloading, the book is especially valuable for students and other researchers interested in learning the art of modeling with time varying coefficients.

This book reflects the current state of discussion about agricultural and rural finance in developing and transition countries. It provides insight into specific themes, such as commodity value chains, farm banking and risk management in agricultural banking, structured finance, crop insurance, mobile banking and how to increase effectiveness in rural finance. Case studies illustrate various aspects of agricultural and rural finance in developing economies. The book is based on one of the yearly financial Sector Development Symposia held by the KfW Development Bank.

Financial intermediaries supply derivatives to their customers when they can hedge the exposures from these transactions. A static hedge is typically employed by arranging an offsetting transaction with a different customer or a dynamic hedge by trading in the underlying derivatives. There is however a broad range of uncertain exposures where intermediaries tend not to offer derivatives or risk management products, as they are unable to hedge the resulting exposures. Baron and Lange suggest a parimutuel auction system adapted from the betting industry as a solution to this problem. They introduce the parimutuel mechanism and the modifications required to apply the mechanism to the capital markets. The PDCA auction and its mechanics are analyzed and finally the mathematics behind the system are described and illustrated. MARKET 1: Investment professionals; Portfolio Managers; Hedge Fund Managers; Financial Engineers; Corporate finance staff; Senior Managers; Risk Managers; Consultants; Trading and Sales Staff; Quantitative Analysts; Credit Analysts; Regulators MARKET 2: MBA courses

This is the seventh volume in a series which examines advances in the quantitative analysis of finance and accounting.