Download or read book Term Structure Models of Interest Rates with Jump diffusion Information written by Koji Kusuda and published by . This book was released on 2003 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Advanced Fixed Income Valuation Tools written by Narasimhan Jegadeesh and published by John Wiley & Sons. This book was released on 1999-12-28 with total page 438 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presenting the most advanced thinking on the topic, this book covers the latest valuation models and techniques. It addresses essential topics such as the subtleties of fixed-income mathematics, new approaches to modeling term structures, and the applications of fixed-income valuation on credit risk, mortgages, munis, and indexed bonds.
Download or read book Term Structure Models written by Damir Filipovic and published by Springer Science & Business Media. This book was released on 2009-07-28 with total page 259 pages. Available in PDF, EPUB and Kindle. Book excerpt: Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathematics of term-structure models in continuous time. It includes practical aspects for fixed-income markets such as day-count conventions, duration of coupon-paying bonds and yield curve construction; arbitrage theory; short-rate models; the Heath-Jarrow-Morton methodology; consistent term-structure parametrizations; affine diffusion processes and option pricing with Fourier transform; LIBOR market models; and credit risk. The focus is on a mathematically straightforward but rigorous development of the theory. Students, researchers and practitioners will find this volume very useful. Each chapter ends with a set of exercises, that provides source for homework and exam questions. Readers are expected to be familiar with elementary Itô calculus, basic probability theory, and real and complex analysis.
Download or read book Interbank Interest Rates and the Risk Premium written by Henri Pagès and published by . This book was released on 1999 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Nonlinear Modelling of High Frequency Financial Time Series written by Christian L. Dunis and published by John Wiley & Sons. This book was released on 1998-07-09 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nonlinear Modelling of High Frequency Financial Time Series Edited by Christian Dunis and Bin Zhou In the competitive and risky environment of today's financial markets, daily prices and models based upon low frequency price series data do not provide the level of accuracy required by traders and a growing number of risk managers. To improve results, more and more researchers and practitioners are turning to high frequency data. Nonlinear Modelling of High Frequency Financial Time Series presents the latest developments and views of leading international researchers and market practitioners, in modelling high frequency data in finance. Combining both nonlinear modelling and intraday data for financial markets, the editors provide a fascinating foray into this extremely popular discipline. This book evolves around four major themes. The first introductory section focuses on high frequency financial data. The second part examines the exact nature of the time series considered: several linearity tests are presented and applied and their modelling implications assessed. The third and fourth parts are dedicated to modelling and forecasting these financial time series.
Download or read book Forecasting Financial Markets written by Christian Dunis and published by John Wiley & Sons. This book was released on 1996-10-07 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt: Today? s financial markets are characterised by a large number of participants, with different appetites for risk, different time horizons, different motivations and reactions to unexpected news. The mathematical techniques and models used in the forecasting of financial markets have therefore grown ever more sophisticated as traders, analysts and investors seek to gain an edge on their competitors. Written by leading international researchers and practitioners, this book focuses on three major themes of today? s state of the art financial research: modelling with high frequency data, the information content of volatility markets, and applications of neural networks and genetic algorithms to financial time series. Forecasting Financial Markets includes empirical applications to present the very latest thinking on these complex techniques, including: High frequency exchange rates Intraday volatility Autocorrelation and variance ratio tests Conditional volatility GARCH processes Chaotic systems Nonlinearity Stochastic and EXPAR models Artificial neural networks Genetic algorithms
Download or read book New Methods in Fixed Income Modeling written by Mehdi Mili and published by Springer. This book was released on 2018-08-18 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents new approaches to fixed income modeling and portfolio management techniques. Taking into account the latest mathematical and econometric developments in finance, it analyzes the hedging securities and structured instruments that are offered by banks, since recent research in the field of fixed incomes and financial markets has raised awareness for changes in market risk management strategies. The book offers a valuable resource for all researchers and practitioners interested in the theory behind fixed income instruments, and in their applications in financial portfolio management.
Download or read book A Transaction Cost Approach to Strategic Alliances in Telecommunications written by David Camino and published by . This book was released on 1996 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Liquidity Premium in Equity Pricing Under a Continuous Auction System written by G. Rubio and published by . This book was released on 1996 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Bayesian Unmasking in Linear Models written by Ana Justel and published by . This book was released on 1996 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Inflation and Inequality Bias in the Presence of Bulk Purchases for Food and Drinks written by Daniel Peña Sánchez de Rivera and published by . This book was released on 1995 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Reexamining the Adoption of the Marketing Concept written by Jaime Rivera Camino and published by . This book was released on 1996 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Automatic Modelling of Daily Series of Economic Activity written by Antoni Espasa and published by . This book was released on 1996 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: El objetivo de este estudio son aquellas series temporales relacionadas directa o indirectamente con la actividad económica y que están basadas en modelos estocásticos. Algunos ejemplos de las series que han tenido interés para este trabajo han sido: consumo de productos energéticos, variables de agregados monetarios, niveles de polución, ventas en grandes compañías, ocupación de transportes...Además en el último apartado se incluye un modelo de programación automática para el análisis de dichas series.
Download or read book The Impact of Regulatory Controls on Industry Structure written by Praveen Kujal and published by . This book was released on 1996 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: Se estudia el desarrollo histórico del proceso regulador en la India y sus consecuencias sobre la estructura de mercado, centrándose para ello en la producción industrial de coches y motos.
Download or read book The Effectiveness of Organization wide Compensation Strategies in Technology Intensive Firms written by Ma. Dolores Saura and published by . This book was released on 1996 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: Estudio que examina la estrategia de compensación formulada e implementada por grandes empresas tecnológicas y su relativa efectividad, para lo que se toma coma muestra los resultados de 173 compañias.
Download or read book Mathematical Models of Financial Derivatives written by Yue-Kuen Kwok and published by Springer Science & Business Media. This book was released on 2008-07-10 with total page 541 pages. Available in PDF, EPUB and Kindle. Book excerpt: This second edition, now featuring new material, focuses on the valuation principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are analysed, emphasising aspects of pricing, hedging and practical usage. This second edition features additional emphasis on the discussion of Ito calculus and Girsanovs Theorem, and the risk-neutral measure and equivalent martingale pricing approach. A new chapter on credit risk models and pricing of credit derivatives has been added. Up-to-date research results are provided by many useful exercises.
Download or read book A Fast Method to Compute Orthogonal Loadings Partial Least Squares written by Constantinos Goutis and published by . This book was released on 1995 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
