Essays on Pricing Models in Economics and Finance PDF Download

Author: Anchada Charoenrook
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 290

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Author: Roberto Dieci
Publisher: Springer
ISBN: 3319074709
Category : Business & Economics
Languages : en
Pages : 384

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Book Description
This book reflects the state of the art on nonlinear economic dynamics, financial market modelling and quantitative finance. It contains eighteen papers with topics ranging from disequilibrium macroeconomics, monetary dynamics, monopoly, financial market and limit order market models with boundedly rational heterogeneous agents to estimation, time series modelling and empirical analysis and from risk management of interest-rate products, futures price volatility and American option pricing with stochastic volatility to evaluation of risk and derivatives of electricity market. The book illustrates some of the most recent research tools in these areas and will be of interest to economists working in economic dynamics and financial market modelling, to mathematicians who are interested in applying complexity theory to economics and finance and to market practitioners and researchers in quantitative finance interested in limit order, futures and electricity market modelling, derivative pricing and risk management.

Author: George M Frankfurter
Publisher: World Scientific
ISBN: 9814475017
Category : Political Science
Languages : en
Pages : 238

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Book Description
The current literature on financial economics is dominated by neoclassical dogma and, supposedly, the notion of value-neutrality. However, the failure of neoclassical economics to deal with real financial phenomena suggests that this might be too simplistic of an approach.This book consists of a collection of essays dealing with financial markets' imperfections, and the inability of neoclassical economics to deal with such imperfections. Its central argument is that financial economics, as based on the tenets of neoclassical economics, cannot answer or solve the real-life problems that people face. It also shows the direct relationship between economics and politics — something that is usually denied in academic models, given that science is supposed to be value-neutral. In this thought-provoking and avant-garde book, the author not only exposes what has gone wrong, but also suggests reforms to both the academic and the political-economic systems that might help make markets fair rather than efficient. Drawing on interdisciplinary fields, this book will appeal to readers who are interested in finance, economics, business, the political economy and philosophy.

Author: Gian Italo Bischi
Publisher: Springer
ISBN: 9783642426766
Category : Business & Economics
Languages : en
Pages : 0

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Book Description
The essays in this special volume survey some of the most recent advances in the global analysis of dynamic models for economics, finance and the social sciences. They deal in particular with a range of topics from mathematical methods as well as numerous applications including recent developments on asset pricing, heterogeneous beliefs, global bifurcations in complementarity games, international subsidy games and issues in economic geography. A number of stochastic dynamic models are also analysed. The book is a collection of essays in honour of the 60th birthday of Laura Gardini.​

Author: Kyu Ho Kang
Publisher:
ISBN:
Category : Electronic dissertations
Languages : en
Pages : 108

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Book Description
In my dissertation, I focus on theoretical asset pricing models and the development of Bayesian econometric methods to estimate them, particularly in the area of bond pricing. The first essay theoretically and empirically examines structural changes in a dynamic term-structure model of zero-coupon bond yields. To do this, we develop a new arbitrage-free one latent and two macro-economics factor affine model to price default-free bonds when all model parameters are subject to change at unknown time points. The bonds in our set-up can be priced straightforwardly once the change-point model is formulated as a specific unidirectional Markov process. We consider five versions of our general model - with 0, 1, 2, 3 and 4 change-points - to a collection of 16 yields measured quarterly over the period 1972:I to 2007:IV. Our empirical approach to inference is fully Bayesian with priors set up to reflect the assumption of a positive term-premium. The use of Bayesian techniques is particularly relevant because the models are high-dimensional and non-linear, and because it is more straightforward to compare our different change-point models from the Bayesian perspective. Our estimation results indicate that the model with 3 change-points is most supported by the data and that the breaks occurred in 1980:II, 1985:IV and 1995:II. These dates correspond (in turn) to the time of a change in monetary policy, the onset of what is termed the great moderation, and the start of technology driven period of economic growth. We also utilize the Bayesian framework to derive the out-of-sample predictive densities of the term-structure. We find that the forecasting performance of the 3 change-point model is substantially better than that of the other models we examine. In the second essay, we develop and estimate a model of the term structure of interest rates within the context of a Dynamic Stochastic General Equilibrium model. The model features multiple monetary policy and volatility regimes. We estimate this model by Bayesian methods. Our estimation results reveal that U.S. monetary policy has become ``more active'' since 1995:Q2, that during this period, the average term premium has fallen, and that the price of regime shift risk is always significantly positive over time. These findings highlight the important role that general equilibrium modeling can play in understanding the complex dynamics of the term structure.

Author: Gian Italo Bischi
Publisher: Springer Science & Business Media
ISBN: 3642040233
Category : Business & Economics
Languages : en
Pages : 384

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Book Description
Over the last two decades there has been a great deal of research into nonlinear dynamic models in economics, finance and the social sciences. This book contains twenty papers that range over very recent applications in these areas. Topics covered include structural change and economic growth, disequilibrium dynamics and economic policy as well as models with boundedly rational agents. The book illustrates some of the most recent research tools in this area and will be of interest to economists working in economic dynamics and to mathematicians interested in seeing ideas from nonlinear dynamics and complexity theory applied to the economic sciences.

Author: Ronald C. Heynen
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 228

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Author: Stephen Owen
Publisher:
ISBN:
Category :
Languages : en
Pages :

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In recent years there has been wide-scale access to improved statistical estimation techniques and the implementation of such techniques in financial economics. In this dissertation, I provide two brief overviews of the evolution of linear factor models in asset pricing and machine learning in finance. I then provide four research essays that implement machine learning in financial economic research settings. The first essay revisits tests of the conditional Capital Asset Pricing Model in an international context using multivariate generalized autoregressive conditional heteroskedasticity techniques. The second essay studies the use of hierarchical clustering in mean-variance optimal portfolio management. The third essay proposes a novel paragraph embedding technique that leverages the question-and-answer structure of earnings announcement calls to model the similarity between documents. The fourth and final essay studies the impact that dodgy managers have on idiosyncratic security performance.

Author: George M. Constantinides
Publisher: Elsevier
ISBN: 0080495079
Category : Business & Economics
Languages : en
Pages : 654

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Book Description
Volume 1A covers corporate finance: how businesses allocate capital - the capital budgeting decision - and how they obtain capital - the financing decision. Though managers play no independent role in the work of Miller and Modigliani, major contributions in finance since then have shown that managers maximize their own objectives. To understand the firm's decisions, it is therefore necessary to understand the forces that lead managers to maximize the wealth of shareholders.

Author: Rita Biswas
Publisher: Emerald Group Publishing
ISBN: 178973391X
Category : Business & Economics
Languages : en
Pages : 190

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Book Description
This volume, dedicated to John W. Kensinger, explores a variety of topics in financial economics, including firm growth, investment risks, and the profitability of the banking industry. With its global perspective, Essays in Financial Economics is a valuable addition to the bookshelf of any researcher in finance.