Download or read book An Alternative Dynamic Asset Pricing Model written by Sung-Sup Choi and published by . This book was released on 1991 with total page 398 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Alternative Dynamic Capital Asset Pricing Models written by Chiung-Min Tsai and published by . This book was released on 2005 with total page 282 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Dynamic Asset Pricing Theory written by Darrell Duffie and published by Princeton University Press. This book was released on 2010-01-27 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Dynamic Asset Allocation with Forwards and Futures written by Abraham Lioui and published by Springer Science & Business Media. This book was released on 2005-12-06 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is an advanced text on the theory of forward and futures markets which aims at providing readers with a comprehensive knowledge of how prices are established and evolve in time, what optimal strategies one can expect the participants to follow, whether they pertain to arbitrage, speculation or hedging, what characterizes such markets and what major theoretical and practical differences distinguish futures from forward contracts. It should be of interest to students (MBAs majoring in finance with quantitative skills and PhDs in finance and financial economics), academics (both theoreticians and empiricists), practitioners, and regulators. Standard textbooks dealing with forward and futures markets generally focus on the description of the contracts, institutional details, and the effective (as opposed to theoretically optimal) use of these instruments by practitioners. The theoretical analysis is often reduced to the (undoubtedly important) cash-and-carry relationship and the computation of the simple, static, minimum variance hedge ratio. This book proposes an alternative approach of these markets from the perspective of dynamic asset allocation and asset pricing theory within an inter-temporal framework that is in line with what has been done many years ago for options markets.
Download or read book Dynamic Asset Pricing Theory written by Darrell Duffie and published by . This book was released on 2005-01-01 with total page 486 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 Multi-Period Settings Under Uncertainty. The Asset Pricing Results Are Based On 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.This Special Low-Priced Edition Is For Sale In India, Bangladesh, Bhutan, Maldives, Nepal, Myanmar, Pakistan And Sri Lanka Only.
Download or read book Empirical Dynamic Asset Pricing written by Kenneth J. Singleton and published by Princeton University Press. This book was released on 2009-12-13 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by one of the leading experts in the field, this book focuses on the interplay between model specification, data collection, and econometric testing of dynamic asset pricing models. The first several chapters provide an in-depth treatment of the econometric methods used in analyzing financial time-series models. The remainder explores the goodness-of-fit of preference-based and no-arbitrage models of equity returns and the term structure of interest rates; equity and fixed-income derivatives prices; and the prices of defaultable securities. Singleton addresses the restrictions on the joint distributions of asset returns and other economic variables implied by dynamic asset pricing models, as well as the interplay between model formulation and the choice of econometric estimation strategy. For each pricing problem, he provides a comprehensive overview of the empirical evidence on goodness-of-fit, with tables and graphs that facilitate critical assessment of the current state of the relevant literatures. As an added feature, Singleton includes throughout the book interesting tidbits of new research. These range from empirical results (not reported elsewhere, or updated from Singleton's previous papers) to new observations about model specification and new econometric methods for testing models. Clear and comprehensive, the book will appeal to researchers at financial institutions as well as advanced students of economics and finance, mathematics, and science.
Download or read book Alternative Capital Asset Pricing Models written by Attiya Y. Javed and published by . This book was released on 2000 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Empirical Dynamic Asset Pricing written by Kenneth J. Singleton and published by . This book was released on 2008 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Empirical Dynamic Asset Pricing written by Kenneth J. Singleton and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Dynamic Asset Pricing Model with Asymmetric Information written by Jürgen Dennert and published by . This book was released on 1990 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Dynamic Asset pricing Models written by Andrew Wen-Chuan Lo and published by Edward Elgar Publishing. This book was released on 2007 with total page 680 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Dynamic Asset Pricing Models with Nonparametric Expectations written by Peter Woehrmann and published by Tectum Verlag DE. This book was released on 2002 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Test of Alternative International Asset Pricing Models written by Maria G. Vassalou and published by . This book was released on 1994 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Real Options in a Dynamic Asset Pricing Model with Stochastic Prices and Interest Rates written by Bjarne Munkerod and published by . This book was released on 1999 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
Download or read book Tests of Alternative International Asset Pricing Models written by Maria Vassalou and published by . This book was released on 1995 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Alternative Test of the Capital Asset Pricing Model written by Pao Lun Cheng and published by Burnaby, B.C. : Department of Economics and Commerce, Simon Fraser University. This book was released on 1978 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
