Author: Robert S. GoldsteinPublisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
On the Term Structure of Interest Rates in the Presence of Reflecting and Absorbing Boundaries
Author: Robert S. GoldsteinDynamic 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.
Some Models of the Term Structure of Interest Rates
Author: Robert Sterling GoldsteinPublisher:
ISBN:
Category :
Languages : en
Pages : 194
Book Description
Handbook of Quantitative Finance and Risk Management
Author: Cheng-Few LeePublisher: Springer Science & Business Media
ISBN: 0387771174
Category : Business & Economics
Languages : en
Pages : 1700
Book Description
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 two-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.
Advances in Quantitative Analysis of Finance and Accounting
Author: Cheng F. LeePublisher: World Scientific
ISBN: 9812772820
Category : Business & Economics
Languages : en
Pages : 376
Book Description
Annotation. Advances in Quantitative Analysis of Finance and Accounting is an annual publication to disseminate developments in the quantitative analysis of finance and accounting. The publication is a forum for statistical and quantitative analyses of issues in finance and accounting as well as applications of quantitative methods to problems in financial management, financial accounting, and business management. The objective is to promote interaction between academic research in finance and accounting and applied research in the financial community and the accounting profession. The papers in this volume cover a wide range of topics including earnings management, management compensation, option theory and application, debt management and interest rate theory, and portfolio diversification.
Financial Derivatives
Author: Jamil BazPublisher: Cambridge University Press
ISBN: 9780521815109
Category : Business & Economics
Languages : en
Pages : 358
Book Description
Publisher Description
Zero Bound, Option-implied PDFs, and Term Structure Models
Author: Don H. KimIs Bank-centered Corporate Governance Worth It?
Author: Robert GoldsteinPublisher:
ISBN:
Category : Banks and banking
Languages : en
Pages : 422
Book Description
Property-casualty Insurance Guaranty Funds and Insurer Vulnerability to Misfortune
Author: Deon StricklandPublisher:
ISBN:
Category : Economics
Languages : en
Pages : 512
Book Description
Author: