|
Showing 1 - 7 of
7 matches in All Departments
Asset pricing theory yields deep insights into crucial market
phenomena such as stock market bubbles. Now in a newly revised and
updated edition, this textbook guides the reader through this
theory and its applications to markets. The new edition features
new results on state dependent preferences, a characterization of
market efficiency and a more general presentation of
multiple-factor models using only the assumptions of no arbitrage
and no dominance. Taking an innovative approach based on
martingales, the book presents advanced techniques of mathematical
finance in a business and economics context, covering a range of
relevant topics such as derivatives pricing and hedging, systematic
risk, portfolio optimization, market efficiency, and equilibrium
pricing models. For applications to high dimensional statistics and
machine learning, new multi-factor models are given. This new
edition integrates suicide trading strategies into the
understanding of asset price bubbles, greatly enriching the overall
presentation and further strengthening the book's underlying theme
of economic bubbles. Written by a leading expert in risk
management, Continuous-Time Asset Pricing Theory is the first
textbook on asset pricing theory with a martingale approach. Based
on the author's extensive teaching and research experience on the
topic, it is particularly well suited for graduate students in
business and economics with a strong mathematical background.
This self-contained volume brings together a collection of chapters
by some of the most distinguished researchers and practitioners in
the fields of mathematical finance and financial engineering.
Presenting state-of-the-art developments in theory and practice,
the Festschrift is dedicated to Dilip B. Madan on the occasion of
his 60th birthday. Specific topics covered include: * Theory and
application of the Variance-Gamma process * L?vy process driven
fixed-income and credit-risk models, including CDO pricing *
Numerical PDE and Monte Carlo methods * Asset pricing and
derivatives valuation and hedging * It? formulas for fractional
Brownian motion * Martingale characterization of asset price
bubbles * Utility valuation for credit derivatives and portfolio
management Advances in Mathematical Finance is a valuable resource
for graduate students, researchers, and practitioners in
mathematical finance and financial engineering. Contributors: H.
Albrecher, D. C. Brody, P. Carr, E. Eberlein, R. J. Elliott, M. C.
Fu, H. Geman, M. Heidari, A. Hirsa, L. P. Hughston, R. A. Jarrow,
X. Jin, W. Kluge, S. A. Ladoucette, A. Macrina, D. B. Madan, F.
Milne, M. Musiela, P. Protter, W. Schoutens, E. Seneta, K. Shimbo,
R. Sircar, J. van der Hoek, M.Yor, T. Zariphopoulou
Yielding new insights into important market phenomena like asset
price bubbles and trading constraints, this is the first textbook
to present asset pricing theory using the martingale approach (and
all of its extensions). Since the 1970s asset pricing theory has
been studied, refined, and extended, and many different approaches
can be used to present this material. Existing PhD-level books on
this topic are aimed at either economics and business school
students or mathematics students. While the first mostly ignore
much of the research done in mathematical finance, the second
emphasizes mathematical finance but does not focus on the topics of
most relevance to economics and business school students. These
topics are derivatives pricing and hedging (the
Black-Scholes-Merton, the Heath-Jarrow-Morton, and the reduced-form
credit risk models), multiple-factor models, characterizing
systematic risk, portfolio optimization, market efficiency, and
equilibrium (capital asset and consumption) pricing models. This
book fills this gap, presenting the relevant topics from
mathematical finance, but aimed at Economics and Business School
students with strong mathematical backgrounds.
This Gedenkschrift for Peter Carr, our dear friend and colleague
who suddenly left us on March 1, 2022, was organized to honor the
life and lasting contributions of Peter to Quantitative Finance. A
group of Peter's co-authors and professional friends contributed
chapters for this Gedenkschrift shortly after his passing. The
papers were received by September 15, 2022 and some were presented
at the Peter Carr Gedenkschrift Conference held at the Robert H
Smith School of Business on November 11, 2022. The contributed
papers cover a wide range of topics corresponding to the vast range
of Peter's interests. Each paper represents new research results in
recognition of Peter's scholarly activities. The book serves as an
important marker for the research knowledge existing at the time of
the Gedenkschrift's publication on a number of topics within
quantitative finance. It reflects the diverse interactions between
mathematics and finance and illustrates, for those interested, the
breadth and depth of this development. The book also presents a
collection of tributes to Peter from family and friends including
those made at his Memorial Service on March 19, 2022. The result is
hopefully a more complete testament to a personal and professional
life well lived, and unexpectedly cut short.
'The book is an ideal complement to existing monographs on
financial risk management. The reader will benefit from a standard
background in no-arbitrage pricing. A tour of risk types and risk
management principles is presented in a terse, no-fuss manner.
Plenty of pointers to additional literature are given, allowing the
interested reader to go deeper into any of the topics
presented.'Newsletter of the Bachelier Finance Society The Economic
Foundations of Risk Management presents the theory, the practice,
and applies this knowledge to provide a forensic analysis of some
well-known risk management failures. By doing so, this book
introduces a unified framework for understanding how to manage the
risk of an individual's or corporation's or financial institution's
assets and liabilities. The book is divided into five parts. The
first part studies the markets and the assets and liabilities that
trade therein. Markets are differentiated based on whether they are
competitive or not, frictionless or not (and the type of friction),
and actively traded or not. Assets are divided into two types:
primary assets and financial derivatives. The second part studies
models for determining the risks of the traded assets. Models
provided include the Black-Scholes-Merton, the Heath-Jarrow-Morton,
and the reduced form model for credit risk. Liquidity risk,
operational risk, and trading constraint models are also contained
therein. The third part studies the conceptual solution to an
individual's, firm's, and bank's risk management problem. This
formulation involves solving a complex dynamic programming problem
that cannot be applied in practice. Consequently, Part IV
investigates how risk management is actually done in practice via
the use of diversification, static hedging, and dynamic hedging.
Finally, Part V applies these collective insights to six case
studies, which are famous risk management failures. These are Penn
Square Bank, Metallgesellschaft, Orange County, Barings Bank, Long
Term Capital Management, and Washington Mutual. The credit crisis
is also discussed to understand how risk management failed for many
institutions and why.
This book is a collection of original papers by Robert Jarrow that
contributed to significant advances in financial economics. Divided
into three parts, Part I concerns option pricing theory and its
foundations. The papers here deal with the famous
Black-Scholes-Merton model, characterizations of the American put
option, and the first applications of arbitrage pricing theory to
market manipulation and liquidity risk.Part II relates to pricing
derivatives under stochastic interest rates. Included is the paper
introducing the famous Heath-Jarrow-Morton (HJM) model, together
with papers on topics like the characterization of the difference
between forward and futures prices, the forward price martingale
measure, and applications of the HJM model to foreign currencies
and commodities.Part III deals with the pricing of financial
derivatives considering both stochastic interest rates and the
likelihood of default. Papers cover the reduced form credit risk
model, in particular the original Jarrow and Turnbull model, the
Markov model for credit rating transitions, counterparty risk, and
diversifiable default risk.
'The book is an ideal complement to existing monographs on
financial risk management. The reader will benefit from a standard
background in no-arbitrage pricing. A tour of risk types and risk
management principles is presented in a terse, no-fuss manner.
Plenty of pointers to additional literature are given, allowing the
interested reader to go deeper into any of the topics
presented.'Newsletter of the Bachelier Finance Society The Economic
Foundations of Risk Management presents the theory, the practice,
and applies this knowledge to provide a forensic analysis of some
well-known risk management failures. By doing so, this book
introduces a unified framework for understanding how to manage the
risk of an individual's or corporation's or financial institution's
assets and liabilities. The book is divided into five parts. The
first part studies the markets and the assets and liabilities that
trade therein. Markets are differentiated based on whether they are
competitive or not, frictionless or not (and the type of friction),
and actively traded or not. Assets are divided into two types:
primary assets and financial derivatives. The second part studies
models for determining the risks of the traded assets. Models
provided include the Black-Scholes-Merton, the Heath-Jarrow-Morton,
and the reduced form model for credit risk. Liquidity risk,
operational risk, and trading constraint models are also contained
therein. The third part studies the conceptual solution to an
individual's, firm's, and bank's risk management problem. This
formulation involves solving a complex dynamic programming problem
that cannot be applied in practice. Consequently, Part IV
investigates how risk management is actually done in practice via
the use of diversification, static hedging, and dynamic hedging.
Finally, Part V applies these collective insights to six case
studies, which are famous risk management failures. These are Penn
Square Bank, Metallgesellschaft, Orange County, Barings Bank, Long
Term Capital Management, and Washington Mutual. The credit crisis
is also discussed to understand how risk management failed for many
institutions and why.
|
You may like...
Loot
Nadine Gordimer
Paperback
(2)
R398
R330
Discovery Miles 3 300
Loot
Nadine Gordimer
Paperback
(2)
R398
R330
Discovery Miles 3 300
|