Download or read book Method of Moments Tests of Contingent Claims Asset Pricing Models written by Peter Bossaerts and published by . This book was released on 1988 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Generalized Method of Moments Tests of Contingent Claims Asset Pricing Models written by Pierre Hillion and published by . This book was released on 1989 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Generalized method of moments tests of contigent claims asset pricing models written by Pierre Hillion and published by . This book was released on 1989 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Statistical Tests of Contingent Claims Asset pricing Models written by Andrew Wen-Chuan Lo and published by . This book was released on 1984 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Systemic Contingent Claims Analysis written by Mr.Andreas A. Jobst and published by International Monetary Fund. This book was released on 2013-02-27 with total page 93 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macroprudential policy and surveillance (MPS) efforts are aimed establishing a regulatory framework that helps mitigate the risk from systemic linkages with a view towards enhancing the resilience of the financial sector. This paper presents a forward-looking framework ("Systemic CCA") to measure systemic solvency risk based on market-implied expected losses of financial institutions with practical applications for the financial sector risk management and the system-wide capital assessment in top-down stress testing. The suggested approach uses advanced contingent claims analysis (CCA) to generate aggregate estimates of the joint default risk of multiple institutions as a conditional tail expectation using multivariate extreme value theory (EVT). In addition, the framework also helps quantify the individual contributions to systemic risk and contingent liabilities of the financial sector during times of stress.
Download or read book Generalized Method of Moments Estimation written by Laszlo Matyas and published by Cambridge University Press. This book was released on 1999-04-13 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt: The generalized method of moments (GMM) estimation has emerged as providing a ready to use, flexible tool of application to a large number of econometric and economic models by relying on mild, plausible assumptions. The principal objective of this volume is to offer a complete presentation of the theory of GMM estimation as well as insights into the use of these methods in empirical studies. It is also designed to serve as a unified framework for teaching estimation theory in econometrics. Contributors to the volume include well-known authorities in the field based in North America, the UK/Europe, and Australia. The work is likely to become a standard reference for graduate students and professionals in economics, statistics, financial modeling, and applied mathematics.
Download or read book Simulation based Econometric Methods written by Christian Gourieroux and published by Oxford University Press. This book was released on 1996 with total page 185 pages. Available in PDF, EPUB and Kindle. Book excerpt: High speed computing has enabled a new generation of statistical econometrics to become available. The simulation of problems that previously were too unwieldy to solve because of large integrals is now possible.
Download or read book Advanced Fixed Income Analysis written by Moorad Choudhry and published by Elsevier. This book was released on 2015-08-28 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: Each new chapter of the Second Edition covers an aspect of the fixed income market that has become relevant to investors but is not covered at an advanced level in existing textbooks. This is material that is pertinent to the investment decisions but is not freely available to those not originating the products. Professor Choudhry’s method is to place ideas into contexts in order to keep them from becoming too theoretical. While the level of mathematical sophistication is both high and specialized, he includes a brief introduction to the key mathematical concepts. This is a book on the financial markets, not mathematics, and he provides few derivations and fewer proofs. He draws on both his personal experience as well as his own research to bring together subjects of practical importance to bond market investors and analysts. Presents practitioner-level theories and applications, never available in textbooks Focuses on financial markets, not mathematics Covers relative value investing, returns analysis, and risk estimation
Download or read book Generalized Method of Moments Estimation of Heath Jarrow Morton Models of Interest rate Contingent Claims written by Peter Albert Abken and published by . This book was released on 1994 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book New Research in Financial Markets written by Bruno Biais and published by Oxford University Press, USA. This book was released on 2001 with total page 388 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text reflects research by European scholars into financial economics. Topics include asset pricing in perfect markets, take-over bids, and the interplay between banks and financial markets.
Download or read book Empirical Testing of Real Option Pricing Models written by Laura J. Quigg and published by . This book was released on 1992 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Bond and Money Markets written by Moorad Choudhry and published by Butterworth-Heinemann. This book was released on 2003-07-04 with total page 1152 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Bond and Money Markets is an invaluable reference to all aspects of fixed income markets and instruments. It is highly regarded as an introduction and an advanced text for professionals and graduate students.Features comprehensive coverage of: * Government and Corporate bonds, Eurobonds, callable bonds, convertibles * Asset-backed bonds including mortgages and CDOs * Derivative instruments including futures, swaps, options, structured products* Interest-rate risk, duration analysis, convexity, and the convexity bias * The money markets, repo markets, basis trading, and asset/liability management * Term structure models, estimating and interpreting the yield curve * Portfolio management and strategies,total return framework, constructing bond indices * A stand alone reference book on interest rate swaps, the money markets, financial market mathematics, interest-rate futures and technical analysis * Includes introductory coverage of very specialised topics (for which one previously required several texts) such as VaR, Asset & liability management and credit derivatives * Combines accessible style with advanced level topics
Download or read book Finite Sample Properties of Methods of Moments in Latent Variable Tests of Asset Pricing Models written by Wayne Ferson and published by London : Research and Publications, Western Business School, University of Western Ontario. This book was released on 1990 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Complex Times written by Robert L. Kimmel and published by . This book was released on 2010 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many applications in continuous-time financial economics require conditional moments or contingent claims prices, but such expressions are known in closed-form for only a few specific models. Power series (in the time variable) for these quantities are easily derived, but often fail to converge, even for very short time horizons. We characterize a large class of continuous-time non-affine conditional moment and contingent claim pricing problems with solutions that are analytic in the time variable, and that therefore can be represented by convergent power series. The ability to approximate solutions accurately and in closed-form simplifies the estimation of latent variable models, since the state vector must be extracted from observed quantities for many different parameter vectors during a typical estimation procedure.
Download or read book Journal of Banking Finance written by and published by . This book was released on 1995 with total page 1028 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Encyclopedia of Finance written by Cheng-Few Lee and published by Springer Nature. This book was released on 2022-09-12 with total page 2746 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Encyclopedia of Finance comprehensively covers the broad spectrum of terms and topics relating finance from asset pricing models to option pricing models to risk management and beyond. This third edition is comprised of over 1,300 individual definitions, chapters, appendices and is the most comprehensive and up-to-date resource in the field, integrating the most current terminology, research, theory, and practical applications. It includes 200 new terms and essays; 25 new chapters and four new appendices. Showcasing contributions from an international array of experts, the revised edition of this major reference work is unparalleled in the breadth and depth of its coverage.
Download or read book Analysing and Interpreting the Yield Curve written by Moorad Choudhry and published by John Wiley & Sons. This book was released on 2019-04-15 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understand and interpret the global debt capital markets Now in a completely updated and expanded edition, this is a technical guide to the yield curve, a key indicator of the global capital markets and the understanding and accurate prediction of which is critical to all market participants. Being able to accurately and timely predict the shape and direction of the curve permits practitioners to consistently outperform the market. Analysing and Interpreting the Yield Curve, 2nd Edition describes what the yield curve is, explains what it tells participants, outlines the significance of certain shapes that the curve assumes and, most importantly, demonstrates what factors drive it and how it is modelled and used. Covers the FTP curve, the multi-currency curve, CSA, OIS-Libor and 3-curve models Gets you up to speed on the secured curve Describes application of theoretical versus market curve relative value trading Explains the concept of the risk-free rate Accessible demonstration of curve interpolation best-practice using cubic spline, Nelson-Siegel and Svensson 94 models This advanced text is essential reading for traders, asset managers, bankers and financial analysts, as well as graduate students in banking and finance.
