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Author: Mr.A. Javier Hamann Publisher: International Monetary Fund ISBN: 1451961774 Category : Business & Economics Languages : en Pages : 28
Book Description
This paper examines the comovement in emerging market bond returns and disentangles the influence of external and domestic factors. The conceptual framework, set in the context of asset allocation, allows us to describe the channels through which shocks originating in a particular emerging or mature market are transmitted across countries and markets. We show that using a simple measure of cross-country correlations together with the commonly used average correlation coefficient can be more informative during episodes of heightened market instability. Data for the period 1997-2008 are analyzed for evidence of true contagion and common external shocks.
Author: Mr.A. Javier Hamann Publisher: International Monetary Fund ISBN: 1451961774 Category : Business & Economics Languages : en Pages : 28
Book Description
This paper examines the comovement in emerging market bond returns and disentangles the influence of external and domestic factors. The conceptual framework, set in the context of asset allocation, allows us to describe the channels through which shocks originating in a particular emerging or mature market are transmitted across countries and markets. We show that using a simple measure of cross-country correlations together with the commonly used average correlation coefficient can be more informative during episodes of heightened market instability. Data for the period 1997-2008 are analyzed for evidence of true contagion and common external shocks.
Author: Robert A. Jarrow Publisher: ISBN: Category : Derivative securities Languages : en Pages : 472
Book Description
Written by a number of authors, this text is aimed at market practitioners and applies the latest stochastic volatility research findings to the analysis of stock prices. It includes commentary and analysis based on real-life situations.
Author: John C. Cox Publisher: Prentice Hall ISBN: Category : Business & Economics Languages : en Pages : 518
Book Description
Includes the first published detailed description of option exchange operations, the first published treatment using only elementary mathematics and the first step-by-step procedure for implementing the Black-Scholes formula in actual trading.
Author: John Hull Publisher: Pearson Higher Education AU ISBN: 1486013686 Category : Business & Economics Languages : en Pages : 577
Book Description
This first Australasian edition of Hull’s bestselling Fundamentals of Futures and Options Markets was adapted for the Australian market by a local team of respected academics. Important local content distinguishes the Australasian edition from the US edition, including the unique financial instruments commonly traded on the Australian securities and derivatives markets and their surrounding conventions. In addition, the inclusion of Australasian and international business examples makes this text the most relevant and useful resource available to Finance students today. Hull presents an accessible and student-friendly overview of the topic without the use of calculus and is ideal for those with a limited background in mathematics. Packed with numerical examples and accounts of real-life situations, this text effectively guides students through the material while helping them prepare for the working world. For undergraduate and post-graduate courses in derivatives, options and futures, financial engineering, financial mathematics, and risk management.
Author: Jian Chen Publisher: Springer ISBN: 9811074283 Category : Business & Economics Languages : en Pages : 163
Book Description
This book mainly addresses the general equilibrium asset pricing method in two aspects: option pricing and variance risk premium. First, volatility smile and smirk is the famous puzzle in option pricing. Different from no arbitrage method, this book applies the general equilibrium approach in explaining the puzzle. In the presence of jump, investors impose more weights on the jump risk than the volatility risk, and as a result, investors require more jump risk premium which generates a pronounced volatility smirk. Second, based on the general equilibrium framework, this book proposes variance risk premium and empirically tests its predictive power for international stock market returns.
Author: Thanasis Stengos Publisher: MDPI ISBN: 3038979643 Category : Business & Economics Languages : en Pages : 224
Book Description
The present Special Issue collects a number of new contributions both at the theoretical level and in terms of applications in the areas of nonparametric and semiparametric econometric methods. In particular, this collection of papers that cover areas such as developments in local smoothing techniques, splines, series estimators, and wavelets will add to the existing rich literature on these subjects and enhance our ability to use data to test economic hypotheses in a variety of fields, such as financial economics, microeconomics, macroeconomics, labor economics, and economic growth, to name a few.
Author: Jeroen F. J. De Munnik Publisher: Routledge ISBN: 113477592X Category : Business & Economics Languages : en Pages : 195
Book Description
The increased volatility of interest rates during recent years and the corresponding introduction of a variety of interest rate derivative securities like bond options, futures and embedded options in mortgages, underlines the need for a comprehensive financial theory to determine values of fixed income instruments and derivative securities consistently. This book provides: * a detailed overview and classification of the different approaches to value interest rate dependent securities * a comparison of the numerical approaches to value complex securities * an empirical examination for the Dutch Fixed Income Market of some well-known interest rate models which demonstrates recent improvements to describe interest rate movements in relation to contingent claim valuation.
Author: Frank J. Fabozzi Publisher: Irwin Professional Publishing ISBN: Category : Business & Economics Languages : en Pages : 680
Book Description
Provides detailed information about the investment characteristics of fixed-income options and other option-like vehicles, how they are priced, how they can be employed in investment management and the analysis of securities with embedded options.
Author: Mr.A. Javier Hamann
Author: Mr.A. Javier Hamann
Author: 
Author: Robert A. Jarrow
Author: John C. Cox
Author: John Hull
Author: Jian Chen
Author: Thanasis Stengos
Author: Jeroen F. J. De Munnik
Author: Vasant Naik
Author: Frank J. Fabozzi