Download or read book Encyclopedia of Financial Models written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2012-10-15 with total page 3180 pages. Available in PDF, EPUB and Kindle. Book excerpt: An essential reference dedicated to a wide array of financial models, issues in financial modeling, and mathematical and statistical tools for financial modeling The need for serious coverage of financial modeling has never been greater, especially with the size, diversity, and efficiency of modern capital markets. With this in mind, the Encyclopedia of Financial Models, 3 Volume Set has been created to help a broad spectrum of individuals—ranging from finance professionals to academics and students—understand financial modeling and make use of the various models currently available. Incorporating timely research and in-depth analysis, the Encyclopedia of Financial Models is an informative 3-Volume Set that covers both established and cutting-edge models and discusses their real-world applications. Edited by Frank Fabozzi, this set includes contributions from global financial experts as well as academics with extensive consulting experience in this field. Organized alphabetically by category, this reliable resource consists of three separate volumes and 127 entries—touching on everything from asset pricing and bond valuation models to trading cost models and volatility—and provides readers with a balanced understanding of today's dynamic world of financial modeling. Frank Fabozzi follows up his successful Handbook of Finance with another major reference work, The Encyclopedia of Financial Models Covers the two major topical areas: asset valuation for cash and derivative instruments, and portfolio modeling Fabozzi explores the critical background tools from mathematics, probability theory, statistics, and operations research needed to understand these complex models Organized alphabetically by category, this book gives readers easy and quick access to specific topics sorted by an applicable category among them Asset Allocation, Credit Risk Modeling, Statistical Tools 3 Volumes onlinelibrary.wiley.com Financial models have become increasingly commonplace, as well as complex. They are essential in a wide range of financial endeavors, and this 3-Volume Set will help put them in perspective.

Download or read book Implementing Models in Quantitative Finance Methods and Cases written by Gianluca Fusai and published by Springer Science & Business Media. This book was released on 2007-12-20 with total page 606 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book puts numerical methods in action for the purpose of solving practical problems in quantitative finance. The first part develops a toolkit in numerical methods for finance. The second part proposes twenty self-contained cases covering model simulation, asset pricing and hedging, risk management, statistical estimation and model calibration. Each case develops a detailed solution to a concrete problem arising in applied financial management and guides the user towards a computer implementation. The appendices contain "crash courses" in VBA and Matlab programming languages.

Download or read book Encyclopedia of Financial Models Volume III written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2012-09-20 with total page 1060 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volume 3 of the Encyclopedia of Financial Models The need for serious coverage of financial modeling has never been greater, especially with the size, diversity, and efficiency of modern capital markets. With this in mind, the Encyclopedia of Financial Models has been created to help a broad spectrum of individuals—ranging from finance professionals to academics and students—understand financial modeling and make use of the various models currently available. Incorporating timely research and in-depth analysis, Volume 3 of the Encyclopedia of Financial Models covers both established and cutting-edge models and discusses their real-world applications. Edited by Frank Fabozzi, this volume includes contributions from global financial experts as well as academics with extensive consulting experience in this field. Organized alphabetically by category, this reliable resource consists of forty-four informative entries and provides readers with a balanced understanding of today’s dynamic world of financial modeling. Volume 3 covers Mortgage-Backed Securities Analysis and Valuation, Operational Risk, Optimization Tools, Probability Theory, Risk Measures, Software for Financial Modeling, Stochastic Processes and Tools, Term Structure Modeling, Trading Cost Models, and Volatility Emphasizes both technical and implementation issues, providing researchers, educators, students, and practitioners with the necessary background to deal with issues related to financial modeling The 3-Volume Set contains coverage of the fundamentals and advances in financial modeling and provides the mathematical and statistical techniques needed to develop and test financial models Financial models have become increasingly commonplace, as well as complex. They are essential in a wide range of financial endeavors, and the Encyclopedia of Financial Models will help put them in perspective.

Download or read book Financial Optimization written by Hercules Vladimirou and published by . This book was released on 2007 with total page 450 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Journal of Derivatives written by and published by . This book was released on 2007 with total page 788 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book NBER Reporter written by National Bureau of Economic Research and published by . This book was released on 2002 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Modeling Residential Mortgage Performance with Random Utility Models written by Carolina Márquez Guerrero and published by . This book was released on 2007 with total page 378 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book High frequency Contagion Between the Exchange Rates and Stock Prices written by Yuko Hashimoto and published by . This book was released on 2004 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This paper analyzes the co-movement of the exchange rates and the stock prices from the viewpoint of contagion among the eight countries in the region during the period of Asian currency crisis, 1997-1999. Ito and Hashimoto (2002; NBER working paper) proposed a new definition of high-frequency contagion using daily exchange rate data. This paper extends the idea to include the stock market origins that are separately identified for the exchange rate and the stock price. Then contagion is defined not only among the exchange rates and stock prices separately, but also between an exchange rate and a stock price of the same country or of different countries. One of the motivations is the following observation. Hong Kong successfully defended the peg to the U.S. dollar throughout the Asian currency crisis period. However, the Hong Kong stock market was affected by the decline in currencies of neighboring countries most notably in October 1997. We use a friction model and a Tobit model to analyze the impact of a negative shock in one asset price to others. The difference between mildly-affected countries and severely-affected countries is analyzed; categories of large declines in the exchange rates (or stock prices) are made differentiated; and whether the stock prices were increasing or decreasing is distinguished. It is found, among others, that there was, in general the contagion between the exchange rates and stock prices; that the stock prices in Hong Kong were found to suffer from contagious effects from the decline in the Asian currencies; and that Indonesian, Korean and Thai currency depreciation and Hong Kong stock price declines had impacts on other currencies and stock prices in the region during the crisis period"--NBER website

Download or read book International Banking and Financial Market Developments written by and published by . This book was released on 2006 with total page 908 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Factor prices and Factor Substitution in U S Firms Manufacturing Affiliates Abroad written by Maria Borga and published by . This book was released on 2004 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Using confidential individual firm data from the Bureau of Economic Analysis survey of U.S. firms' manufacturing operations abroad, we investigate the determinants of capital intensity in affiliate operations. Host country labor cost, the scale of host country production, and the capital intensity of the parent firm's production in the United States, are all significant influences. The parent's capital intensity is the strongest and most consistent determinant of affiliate capital intensity. Affiliates that export are more sensitive to these factors in their choice of factor proportions than affiliates that sell only in their host countries"--NBER website

Download or read book Soft Information Hard Shell written by William N. Goetzmann and published by . This book was released on 2004 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: "There is a growing literature on the differential impact of soft' vs. hard' information on organizational structure and behavior. This study is an attempt to empirically quantify the value of soft information, using a data-base on the market for screenplays. Script quality is difficult to estimate without subjective evaluation. Therefore soft information should be an integral part of the pricing of these intellectual assets. In our empirical analysis, we find that hard information' (reputation) variables as well as soft information' proxies are priced. Screenplays with high soft information content are priced significantly lower than high concept' harder information'- type scripts. We also follow the screenplays to production, and find that buyers seem to be able to forecast the success of a script, paying more for screenplays resulting in more successful films. In other words, high concept' (harder information) screenplays sell for more and result in more successful movies"--National Bureau of Economic Research web site.

Download or read book Information Diffusion Effects in Infivudual Investors Common Stock Purchases written by Zoran Ivković and published by . This book was released on 2004 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Political Pressure Deflection written by James E. Anderson and published by . This book was released on 2004 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Much economic policy is deliberately shifted away from direct political processes to administrative processes --- political pressure deflection. Pressure deflection poses a puzzle to standard political economy models which suggest that having policies to ̀sell' is valuable to politicians. The puzzle is solved here by showing that incumbents will favor pressure deflection since it can deter viability of a challenger, essentially like entry deterrence. U.S. trade policy since 1934 provides a prime example, especially antidumping law and its evolution"--NBER website

Download or read book Consumption wealth Comovement of the Wrong Sign written by James J. Choi and published by . This book was released on 2004 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic theory predicts that an unexpected wealth windfall should increase consumption shortly after the windfall is received. We test this prediction using administrative records on over 40,000 401(k) accounts. Contrary to theory, we estimate a negative short-run marginal propensity to consume out of idiosyncratic 401(k) capital gains shocks. These results cannot be interpreted as standard intertemporal substitution, since the idiosyncratic returns that we study do not predict future returns. Instead, our findings imply that many investors are influenced by a positive feedback effect, through which higher recent returns encourage higher short-run saving. Like any other animal, 401(k) participants appear to increase behaviors that have been associated with high rewards in the past.

Download or read book Access to Care Provider Choice and Racial Disparities in Infant Mortality written by Anna Aizer and published by . This book was released on 2004 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Financial sector FDI and Host Countries written by Linda S. Goldberg and published by . This book was released on 2004 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Reviews the main findings and policy themes of FDI research, with a primary focus on the host country implications of FDI for emerging market economies." - abstract.

Download or read book What Promotes Japen to Intervene in the Forex Market a New Approach to a Reaction Function written by Takatoshi Itō and published by . This book was released on 2004 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This paper analyzes and estimates the reaction function of the Japanese monetary authorities in deciding when to intervene in the foreign exchange (forex) markets, using daily Japanese intervention data from April 1, 1991 to December 31, 2002. This paper is the first in estimating the reaction function of the monetary authorities in the forex market intervention with following new methods. First, a theoretical friction model is presented to describe the intervention as cost-minimizing behavior. Second, the ordered probit analysis, which is consistent with the theoretical model, was carried out to predict authorities' reaction function. The regime change from frequent, small-size intervention before June 1995 and infrequent, large-size intervention after June 1995 is established and estimations are conducted for two different regimes separately. Third, a noise-to-signal ratio is applied in selecting the optimal cutoff point in estimated ordered probit function to use the model for predicting interventions. Major findings are as follows: (1) There was a regime change in June 1995 from small-scale frequent interventions to large-scale infrequent interventions; (2) the first half of the sample period had lower friction costs than the second half of the sample period; (3) Judging from the model and data, the optimum cutoff was higher in the first half than the second half"--NBER website