Author: Alan Robert JungPublisher:
ISBN:
Category :
Languages : en
Pages : 432
Book Description
Essays in Intertemporal Portfolio Optimization with Transactions Costs
Author: Alan Robert JungThree Essays in Asset Pricing Theory
Author: Lionel MartelliniDissertation Abstracts International
Author: Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 568
Book Description
SIAM Journal on Control and Optimization
Author: Society for Industrial and Applied MathematicsPublisher:
ISBN:
Category : Control theory
Languages : en
Pages : 800
Book Description
Optimal Investment-consumption Models with Constraints
Author: Thaleia ZariphopoulouPublisher:
ISBN:
Category : Investments
Languages : en
Pages : 136
Book Description
Adventures In Financial Data Science: The Empirical Properties Of Financial And Economic Data (Second Edition)
Author: Graham L GillerPublisher: World Scientific
ISBN: 9811251827
Category : Business & Economics
Languages : en
Pages : 512
Book Description
This book provides insights into the true nature of financial and economic data, and is a practical guide on how to analyze a variety of data sources. The focus of the book is on finance and economics, but it also illustrates the use of quantitative analysis and data science in many different areas. Lastly, the book includes practical information on how to store and process data and provides a framework for data driven reasoning about the world.The book begins with entertaining tales from Graham Giller's career in finance, starting with speculating in UK government bonds at the Oxford Post Office, accidentally creating a global instant messaging system that went 'viral' before anybody knew what that meant, on being the person who forgot to hit 'enter' to run a hundred-million dollar statistical arbitrage system, what he decoded from his brief time spent with Jim Simons, and giving Michael Bloomberg a tutorial on Granger Causality.The majority of the content is a narrative of analytic work done on financial, economics, and alternative data, structured around both Dr Giller's professional career and some of the things that just interested him. The goal is to stimulate interest in predictive methods, to give accurate characterizations of the true properties of financial, economic and alternative data, and to share what Richard Feynman described as 'The Pleasure of Finding Things Out.'
Computational Methods in Financial Engineering
Author: Erricos KontoghiorghesPublisher: Springer Science & Business Media
ISBN: 3540779582
Category : Business & Economics
Languages : en
Pages : 425
Book Description
Computational models and methods are central to the analysis of economic and financial decisions. Simulation and optimisation are widely used as tools of analysis, modelling and testing. The focus of this book is the development of computational methods and analytical models in financial engineering that rely on computation. The book contains eighteen chapters written by leading researchers in the area on portfolio optimization and option pricing; estimation and classification; banking; risk and macroeconomic modelling. It explores and brings together current research tools and will be of interest to researchers, analysts and practitioners in policy and investment decisions in economics and finance.
Continuous-time Methods and Market Microstructure
Author: Andrew Wen-Chuan LoPublisher: Edward Elgar Publishing
ISBN:
Category : Business & Economics
Languages : en
Pages : 680
Book Description
Presents a selection of the most important articles in the field of financial econometrics. Starting with a review of the philosophical background, this collection covers such topics as the random walk hypothesis, long-memory processes, asset pricing, arbitrage pricing theory, variance bounds tests, term structure models, and more.
Dynamic Asset Pricing Theory
Author: Darrell DuffiePublisher: Princeton University Press
ISBN: 1400829208
Category : Business & Economics
Languages : en
Pages : 488
Book Description
This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, single-agent optimality, and equilibrium. These results are unified with two key concepts, state prices and martingales. Technicalities are given relatively little emphasis, so as to draw connections between these concepts and to make plain the similarities between discrete and continuous-time models. Readers will be particularly intrigued by this latest edition's most significant new feature: a chapter on corporate securities that offers alternative approaches to the valuation of corporate debt. Also, while much of the continuous-time portion of the theory is based on Brownian motion, this third edition introduces jumps--for example, those associated with Poisson arrivals--in order to accommodate surprise events such as bond defaults. Applications include term-structure models, derivative valuation, and hedging methods. Numerical methods covered include Monte Carlo simulation and finite-difference solutions for partial differential equations. Each chapter provides extensive problem exercises and notes to the literature. A system of appendixes reviews the necessary mathematical concepts. And references have been updated throughout. With this new edition, Dynamic Asset Pricing Theory remains at the head of the field.
Handbook of the Economics of Finance
Author: G. ConstantinidesPublisher: Elsevier
ISBN: 0080495087
Category : Business & Economics
Languages : en
Pages : 698
Book Description
Volume 1B covers the economics of financial markets: the saving and investment decisions; the valuation of equities, derivatives, and fixed income securities; and market microstructure.