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Produktbild: Handbook of Quantitative Finance and Risk Management
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Handbook of Quantitative Finance and Risk Management

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Beschreibung

Produktdetails

Einband

Set mit diversen Artikeln

Erscheinungsdatum

11.06.2010

Herausgeber

Cheng-Few Lee + weitere

Verlag

Springer Us

Seitenzahl

1716

Maße (L/B/H)

28,5/21,5/11,5 cm

Gewicht

5181 g

Auflage

2010

Sprache

Englisch

ISBN

978-0-387-77116-8

Beschreibung

Produktdetails

Einband

Set mit diversen Artikeln

Erscheinungsdatum

11.06.2010

Herausgeber

Verlag

Springer Us

Seitenzahl

1716

Maße (L/B/H)

28,5/21,5/11,5 cm

Gewicht

5181 g

Auflage

2010

Sprache

Englisch

ISBN

978-0-387-77116-8

Herstelleradresse

Springer-Verlag KG
Sachsenplatz 4-6
1201 Wien
AT

Email: GPSR Kontakt

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  • Produktbild: Handbook of Quantitative Finance and Risk Management
  • Overview of Quantitative Finance and Risk Management Research.- Theoretical Framework of Finance.- Investment, Dividend, Financing, and Production Policies: Theory and Implications.- Research Methods in Quantitative Finance and Risk Management.- Portfolio Theory and Investment Analysis.- Foundation of Portfolio Theory.- Risk-Aversion, Capital Asset Allocation, and Markowitz Portfolio-Selection Model.- Capital Asset Pricing Model and Beta Forecasting.- Index Models for Portfolio Selection.- Performance-Measure Approaches for Selecting Optimum Portfolios.- The Creation and Control of Speculative Bubbles in a Laboratory Setting.- Portfolio Optimization Models and Mean–Variance Spanning Tests.- Combining Fundamental Measures for Stock Selection.- On Estimation Risk and Power Utility Portfolio Selection.- International Portfolio Management: Theory and Method.- The Le Chatelier Principle in the Markowitz Quadratic Programming Investment Model: A Case of World Equity Fund Market.- Risk-Averse Portfolio Optimization via Stochastic Dominance Constraints.- Portfolio Analysis.- Portfolio Theory, CAPM and Performance Measures.- Intertemporal Equilibrium Models, Portfolio Theory and the Capital Asset Pricing Model.- Persistence, Predictability, and Portfolio Planning.- Portfolio Insurance Strategies: Review of Theory and Empirical Studies.- Security Market Microstructure: The Analysis of a Non-Frictionless Market.- Options and Option Pricing Theory.- Options Strategies and Their Applications.- Option Pricing Theory and Firm Valuation.- Applications of the Binomial Distribution to Evaluate Call Options.- Multinomial Option Pricing Model.- Two Alternative Binomial Option Pricing Model Approaches to Derive Black-Scholes Option Pricing Model.- Normal, Lognormal Distribution and Option Pricing Model.- Bivariate Option Pricing Models.- Displaced Log Normal and Lognormal American Option Pricing: A Comparison.- Itô’s Calculus and the Derivation of the Black–Scholes Option-Pricing Model.- Constant Elasticity of Variance Option Pricing Model: Integration and Detailed Derivation.- Stochastic Volatility Option Pricing Models.- Derivations and Applications of Greek Letters: Review and Integration.- A Further Analysis of the Convergence Rates and Patterns of the Binomial Models.- Estimating Implied Probabilities from Option Prices and the Underlying.- Are Tails Fat Enough to Explain Smile.- Option Pricing and Hedging Performance Under Stochastic Volatility and Stochastic Interest Rates.- Application of the Characteristic Function in Financial Research.- Asian Options.- Numerical Valuation of Asian Options with Higher Moments in the Underlying Distribution.- The Valuation of Uncertain Income Streams and the Pricing of Options.- Binomial OPM, Black-Scholes OPM and Their Relationship: Decision Tree and Microsoft Excel Approach.- Risk Management.- Combinatorial Methods for Constructing Credit Risk Ratings.- The Structural Approach to Modeling Credit Risk.- An Empirical Investigation of the Rationales for Integrated Risk-Management Behavior.- Copula, Correlated Defaults, and Credit VaR.- Unspanned Stochastic Volatilities and Interest Rate Derivatives Pricing.- Catastrophic Losses and Alternative Risk Transfer Instruments.- A Real Option Approach to the Comprehensive Analysis of Bank Consolidation Values.- Dynamic Econometric Loss Model: A Default Study of US Subprime Markets.- The Effect of Default Risk on Equity Liquidity: Evidence Based on the Panel Threshold Model.- Put Option Approach to Determine Bank Risk Premium.- Keiretsu Style Main Bank Relationships, R&D Investment, Leverage, and Firm Value: Quantile Regression Approach.- On the Feasibility of Laddering.- Stock Returns, Extreme Values, and Conditional Skewed Distribution.- Capital Structure in Asia and CEO Entrenchment.- A Generalized Model for Optimum Futures Hedge Ratio.- The Sensitivity of Corporate Bond Volatility to Macroeconomic Announcements.- Raw Material Convenience Yields and Business Cycle.- Alternative Methods to Determine Optimal Capital Structure: Theory and Application.- Actuarial Mathematics and Its Applications in Quantitative Finance.- The Prediction of Default with Outliers: Robust Logistic Regression.- Term Structure of Default-Free and Defaultable Securities: Theory and Empirical Evidence.- Liquidity Risk and Arbitrage Pricing Theory.- An Integrated Model of Debt Issuance, Refunding, and Maturity.- Theory, Methodology, and Applications.- Business Models: Applications to Capital Budgeting, Equity Value, and Return Attribution.- Dividends Versus Reinvestments in Continuous Time: A More General Model.- Segmenting Financial Services Market: An Empirical Study of Statistical and Non-parametric Methods.- Spurious Regression and Data Mining in Conditional Asset Pricing Models.- Issues Related to the Errors-in-Variables Problems in Asset Pricing Tests.- McMC Estimation of Multiscale Stochastic Volatility Models.- Regime Shifts and the Term Structure of Interest Rates.- ARM Processes and Their Modeling and Forecasting Methodology.- Alternative Econometric Methods for Information-based Equity-selling Mechanisms.- Implementation Problems and Solutions in Stochastic Volatility Models of the Heston Type.- Revisiting Volume vs. GARCH Effects Using Univariate and Bivariate GARCH Models: Evidence from U.S. Stock Markets.- Application of Fuzzy Set Theory to Finance Research: Method and Application.- Hedonic Regression Analysis in Real Estate Markets: A Primer.- Numerical Solutions of Financial Partial Differential Equations.- A Primer on the Implicit Financing Assumptions of Traditional Capital Budgeting Approaches.- Determinants of Flows into U.S.-Based International Mutual Funds.- Predicting Bond Yields Using Defensive Forecasting.- Range Volatility Models and Their Applications in Finance.- Examining the Impact of the U.S. IT Stock Market on Other IT Stock Markets.- Application of Alternative ODE in Finance and Economics Research.- Application of Simultaneous Equation in Finance Research.- The Fuzzy Set and Data Mining Applications in Accounting and Finance.- Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High-Frequency Index Returns.- Detecting Structural Instability in Financial Time Series.- The Instrument Variable Approach to Correct for Endogeneity in Finance.- Bayesian Inference of Financial Models Using MCMC Algorithms.- On Capital Structure and Entry Deterrence.- VAR Models: Estimation, Inferences, and Applications.- Signaling Models and Product Market Games in Finance: Do We Know What We Know?.- Estimation of Short- and Long-Term VaR for Long-Memory Stochastic Volatility Models.- Time Series Modeling and Forecasting of the Volatilities of Asset Returns.- Listing Effects and the Private Company Discount in Bank Acquisitions.- An ODE Approach for the Expected Discounted Penalty at Ruin in Jump Diffusion Model (Reprint).- Alternative Models for Estimating the Cost of Equity Capital for Property/Casualty Insurers.- Implementing a Multifactor Term Structure Model.- Taking Positive Interest Rates Seriously.- Positive Interest Rates and Yields: Additional Serious Considerations.- Functional Forms for Performance Evaluation: Evidence from Closed-End Country Funds.- A Semimartingale BSDE Related to theMinimal Entropy Martingale Measure.- The Density Process of theMinimal Entropy Martingale Measure in a Stochastic Volatility Model with Jumps (Reprint).- Arbitrage Detection from Stock Data: An Empirical Study.- Detecting Corporate Failure.- Genetic Programming for Option Pricing.- A Constant Elasticity of Variance (CEV) Family of Stock Price Distributions in Option Pricing, Review, and Integration.