Ebook: Handbook of Quantitative Finance and Risk Management
- Tags: Finance/Investment/Banking, Quantitative Finance, Econometrics
- Year: 2010
- Publisher: Springer US
- Edition: 1
- Language: English
- pdf
Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This three-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.
Selected entries include:
- Michael J. Brennan and Yihong Xia on "Persistence, Predictability and Portfolio Planning"
- Kenton K. Yee on "Combining Fundamental Measures for Stock Selection"
- Itzhak Venezia on "Asian Options"
- Ren-Raw Chen, Ben Logan, Oded Palmon, and Larry Shepp on "Dividends vs. Reinvestments in Continuous Time"
- Fathali Firoozi and Donald Lien on "Capital Structure and Entre Deterrence"
- Lan-Chih Ho, John Cadle, and Michael Theobald on "Portfolio Insurance Strategies – Review of Theory and Empirical Studies"
- Gurdip Bakshi, Charles Cao, and Zhiwu Chen on "Option Pricing and Hedging Performance under Stochastic Volatility and Stochastic Interest Rates"
- C.H. Ted Hong on "Dynamic Econometric Loss Model: A Default Study of US Subprime Market"
- N.K. Chidambaran on "Genetic Programming for Option Pricing"
Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This three-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.
Selected entries include:
- Michael J. Brennan and Yihong Xia on "Persistence, Predictability and Portfolio Planning"
- Kenton K. Yee on "Combining Fundamental Measures for Stock Selection"
- Itzhak Venezia on "Asian Options"
- Ren-Raw Chen, Ben Logan, Oded Palmon, and Larry Shepp on "Dividends vs. Reinvestments in Continuous Time"
- Fathali Firoozi and Donald Lien on "Capital Structure and Entre Deterrence"
- Lan-Chih Ho, John Cadle, and Michael Theobald on "Portfolio Insurance Strategies – Review of Theory and Empirical Studies"
- Gurdip Bakshi, Charles Cao, and Zhiwu Chen on "Option Pricing and Hedging Performance under Stochastic Volatility and Stochastic Interest Rates"
- C.H. Ted Hong on "Dynamic Econometric Loss Model: A Default Study of US Subprime Market"
- N.K. Chidambaran on "Genetic Programming for Option Pricing"
Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This three-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.
Selected entries include:
- Michael J. Brennan and Yihong Xia on "Persistence, Predictability and Portfolio Planning"
- Kenton K. Yee on "Combining Fundamental Measures for Stock Selection"
- Itzhak Venezia on "Asian Options"
- Ren-Raw Chen, Ben Logan, Oded Palmon, and Larry Shepp on "Dividends vs. Reinvestments in Continuous Time"
- Fathali Firoozi and Donald Lien on "Capital Structure and Entre Deterrence"
- Lan-Chih Ho, John Cadle, and Michael Theobald on "Portfolio Insurance Strategies – Review of Theory and Empirical Studies"
- Gurdip Bakshi, Charles Cao, and Zhiwu Chen on "Option Pricing and Hedging Performance under Stochastic Volatility and Stochastic Interest Rates"
- C.H. Ted Hong on "Dynamic Econometric Loss Model: A Default Study of US Subprime Market"
- N.K. Chidambaran on "Genetic Programming for Option Pricing"
Content:
Front Matter....Pages i-xxxviii
Front Matter....Pages 1-1
Theoretical Framework of Finance....Pages 3-22
Investment, Dividend, Financing, and Production Policies: Theory and Implications....Pages 23-40
Research Methods in Quantitative Finance and Risk Management....Pages 41-50
Front Matter....Pages 52-52
Foundation of Portfolio Theory....Pages 53-68
Risk-Aversion, Capital Asset Allocation, and Markowitz Portfolio-Selection Model....Pages 69-92
Capital Asset Pricing Model and Beta Forecasting....Pages 93-109
Index Models for Portfolio Selection....Pages 111-124
Performance-Measure Approaches for Selecting Optimum Portfolios....Pages 125-135
The Creation and Control of Speculative Bubbles in a Laboratory Setting....Pages 137-164
Portfolio Optimization Models and Mean–Variance Spanning Tests....Pages 165-184
Combining Fundamental Measures for Stock Selection....Pages 185-202
On Estimation Risk and Power Utility Portfolio Selection....Pages 203-219
International Portfolio Management: Theory and Method....Pages 221-234
The Le Chatelier Principle in the Markowitz Quadratic Programming Investment Model: A Case of World Equity Fund Market....Pages 235-245
Risk-Averse Portfolio Optimization via Stochastic Dominance Constraints....Pages 247-258
Portfolio Analysis....Pages 259-266
Portfolio Theory, CAPM and Performance Measures....Pages 267-281
Intertemporal Equilibrium Models, Portfolio Theory and the Capital Asset Pricing Model....Pages 283-287
Persistence, Predictability, and Portfolio Planning....Pages 289-318
Portfolio Insurance Strategies: Review of Theory and Empirical Studies....Pages 319-332
Front Matter....Pages 52-52
Security Market Microstructure: The Analysis of a Non-Frictionless Market....Pages 333-352
Front Matter....Pages 354-354
Options Strategies and Their Applications....Pages 355-375
Option Pricing Theory and Firm Valuation....Pages 377-392
Applications of the Binomial Distribution to Evaluate Call Options....Pages 393-398
Multinomial Option Pricing Model....Pages 399-408
Two Alternative Binomial Option Pricing Model Approaches to Derive Black-Scholes Option Pricing Model....Pages 409-419
Normal, Lognormal Distribution and Option Pricing Model....Pages 421-428
Bivariate Option Pricing Models....Pages 429-438
Displaced Log Normal and Lognormal American Option Pricing: A Comparison....Pages 439-446
It?’s Calculus and the Derivation of the Black–Scholes Option-Pricing Model....Pages 447-470
Constant Elasticity of Variance Option Pricing Model: Integration and Detailed Derivation....Pages 471-480
Stochastic Volatility Option Pricing Models....Pages 481-490
Derivations and Applications of Greek Letters: Review and Integration....Pages 491-503
A Further Analysis of the Convergence Rates and Patterns of the Binomial Models....Pages 505-513
Estimating Implied Probabilities from Option Prices and the Underlying....Pages 515-529
Are Tails Fat Enough to Explain Smile....Pages 531-545
Option Pricing and Hedging Performance Under Stochastic Volatility and Stochastic Interest Rates....Pages 547-574
Application of the Characteristic Function in Financial Research....Pages 575-581
Asian Options....Pages 583-586
Numerical Valuation of Asian Options with Higher Moments in the Underlying Distribution....Pages 587-603
Front Matter....Pages 354-354
The Valuation of Uncertain Income Streams and the Pricing of Options....Pages 605-616
Binomial OPM, Black-Scholes OPM and Their Relationship: Decision Tree and Microsoft Excel Approach....Pages 617-636
Front Matter....Pages 638-638
Combinatorial Methods for Constructing Credit Risk Ratings....Pages 639-664
The Structural Approach to Modeling Credit Risk....Pages 665-673
An Empirical Investigation of the Rationales for Integrated Risk-Management Behavior....Pages 675-695
Copula, Correlated Defaults, and Credit VaR....Pages 697-711
Unspanned Stochastic Volatilities and Interest Rate Derivatives Pricing....Pages 713-751
Catastrophic Losses and Alternative Risk Transfer Instruments....Pages 753-766
A Real Option Approach to the Comprehensive Analysis of Bank Consolidation Values....Pages 767-778
Dynamic Econometric Loss Model: A Default Study of US Subprime Markets....Pages 779-805
The Effect of Default Risk on Equity Liquidity: Evidence Based on the Panel Threshold Model....Pages 807-818
Put Option Approach to Determine Bank Risk Premium....Pages 819-827
Keiretsu Style Main Bank Relationships, R&D Investment, Leverage, and Firm Value: Quantile Regression Approach....Pages 829-841
On the Feasibility of Laddering....Pages 843-851
Stock Returns, Extreme Values, and Conditional Skewed Distribution....Pages 853-862
Capital Structure in Asia and CEO Entrenchment....Pages 863-872
A Generalized Model for Optimum Futures Hedge Ratio....Pages 873-882
The Sensitivity of Corporate Bond Volatility to Macroeconomic Announcements....Pages 883-913
Raw Material Convenience Yields and Business Cycle....Pages 915-931
Alternative Methods to Determine Optimal Capital Structure: Theory and Application....Pages 933-951
Front Matter....Pages 638-638
Actuarial Mathematics and Its Applications in Quantitative Finance....Pages 953-963
The Prediction of Default with Outliers: Robust Logistic Regression....Pages 965-977
Term Structure of Default-Free and Defaultable Securities: Theory and Empirical Evidence....Pages 979-1005
Liquidity Risk and Arbitrage Pricing Theory....Pages 1007-1024
An Integrated Model of Debt Issuance, Refunding, and Maturity....Pages 1025-1038
Front Matter....Pages 1040-1040
Business Models: Applications to Capital Budgeting, Equity Value, and Return Attribution....Pages 1041-1054
Dividends Versus Reinvestments in Continuous Time: A More General Model....Pages 1055-1060
Segmenting Financial Services Market: An Empirical Study of Statistical and Non-parametric Methods....Pages 1061-1066
Spurious Regression and Data Mining in Conditional Asset Pricing Models....Pages 1067-1090
Issues Related to the Errors-in-Variables Problems in Asset Pricing Tests....Pages 1091-1108
McMC Estimation of Multiscale Stochastic Volatility Models....Pages 1109-1120
Regime Shifts and the Term Structure of Interest Rates....Pages 1121-1134
ARM Processes and Their Modeling and Forecasting Methodology....Pages 1135-1149
Alternative Econometric Methods for Information-based Equity-selling Mechanisms....Pages 1151-1163
Implementation Problems and Solutions in Stochastic Volatility Models of the Heston Type....Pages 1165-1171
Revisiting Volume vs. GARCH Effects Using Univariate and Bivariate GARCH Models: Evidence from U.S. Stock Markets....Pages 1173-1181
Application of Fuzzy Set Theory to Finance Research: Method and Application....Pages 1183-1199
Hedonic Regression Analysis in Real Estate Markets: A Primer....Pages 1201-1207
Numerical Solutions of Financial Partial Differential Equations....Pages 1209-1221
A Primer on the Implicit Financing Assumptions of Traditional Capital Budgeting Approaches....Pages 1223-1233
Front Matter....Pages 1040-1040
Determinants of Flows into U.S.-Based International Mutual Funds....Pages 1235-1255
Predicting Bond Yields Using Defensive Forecasting....Pages 1257-1272
Range Volatility Models and Their Applications in Finance....Pages 1273-1281
Examining the Impact of the U.S. IT Stock Market on Other IT Stock Markets....Pages 1283-1291
Application of Alternative ODE in Finance and Economics Research....Pages 1293-1300
Application of Simultaneous Equation in Finance Research....Pages 1301-1306
The Fuzzy Set and Data Mining Applications in Accounting and Finance....Pages 1307-1331
Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High-Frequency Index Returns....Pages 1333-1344
Detecting Structural Instability in Financial Time Series....Pages 1345-1355
The Instrument Variable Approach to Correct for Endogeneity in Finance....Pages 1357-1369
Bayesian Inference of Financial Models Using MCMC Algorithms....Pages 1371-1380
On Capital Structure and Entry Deterrence....Pages 1381-1389
VAR Models: Estimation, Inferences, and Applications....Pages 1391-1398
Signaling Models and Product Market Games in Finance: Do We Know What We Know?....Pages 1399-1408
Estimation of Short- and Long-Term VaR for Long-Memory Stochastic Volatility Models....Pages 1409-1415
Time Series Modeling and Forecasting of the Volatilities of Asset Returns....Pages 1417-1426
Listing Effects and the Private Company Discount in Bank Acquisitions....Pages 1427-1443
An ODE Approach for the Expected Discounted Penalty at Ruin in Jump Diffusion Model (Reprint)....Pages 1445-1464
Alternative Models for Estimating the Cost of Equity Capital for Property/Casualty Insurers....Pages 1465-1482
Implementing a Multifactor Term Structure Model....Pages 1483-1488
Front Matter....Pages 1040-1040
Taking Positive Interest Rates Seriously....Pages 1489-1502
Positive Interest Rates and Yields: Additional Serious Considerations....Pages 1503-1522
Functional Forms for Performance Evaluation: Evidence from Closed-End Country Funds....Pages 1523-1553
A Semimartingale BSDE Related to theMinimal Entropy Martingale Measure....Pages 1555-1565
The Density Process of theMinimal Entropy Martingale Measure in a Stochastic Volatility Model with Jumps (Reprint)....Pages 1567-1575
Arbitrage Detection from Stock Data: An Empirical Study....Pages 1577-1591
Detecting Corporate Failure....Pages 1593-1606
Genetic Programming for Option Pricing....Pages 1607-1614
Back Matter....Pages 1615-1625
....Pages 1627-1716