Download or read book Financial Asset Pricing Theory written by Claus Munk and published by Oxford University Press, USA. This book was released on 2013-04-18 with total page 598 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book presents models for the pricing of financial assets such as stocks, bonds, and options. The models are formulated and analyzed using concepts and techniques from mathematics and probability theory. It presents important classic models and some recent 'state-of-the-art' models that outperform the classics.
Download or read book The Economics and Finance of Commodity Price Shocks written by Mikidadu Mohammed and published by Routledge. This book was released on 2021-11-25 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt: The behaviour of commodity prices never ceases to marvel economists, financial analysts, industry experts, and policymakers. Unexpected swings in commodity prices used to occur infrequently but have now become a permanent feature of global commodity markets. This book is about modelling commodity price shocks. It is intended to provide insights into the theoretical, conceptual, and empirical modelling of the underlying causes of global commodity price shocks. Three main objectives motivated the writing of this book. First, to provide a variety of modelling frameworks for documenting the frequency and intensity of commodity price shocks. Second, to evaluate existing approaches used for forecasting large movements in future commodity prices. Third, to cover a wide range and aspects of global commodities including currencies, rare–hard–lustrous transition metals, agricultural commodities, energy, and health pandemics. Some attempts have already been made towards modelling commodity price shocks. However, most tend to narrowly focus on a subset of commodity markets, i.e., agricultural commodities market and/or the energy market. In this book, the author moves the needle forward by operationalizing different models, which allow researchers to identify the underlying causes and effects of commodity price shocks. Readers also learn about different commodity price forecasting models. The author presents the topics to readers assuming less prior or specialist knowledge. Thus, the book is accessible to industry analysts, researchers, undergraduate and graduate students in economics and financial economics, academic and professional economists, investors, and financial professionals working in different sectors of the commodity markets. Another advantage of the book’s approach is that readers are not only exposed to several innovative modelling techniques to add to their modelling toolbox but are also exposed to diverse empirical applications of the techniques presented.
Download or read book Handbook of the Economics of Finance written by G. Constantinides and published by Elsevier. This book was released on 2003-11-04 with total page 698 pages. Available in PDF, EPUB and Kindle. Book excerpt: Arbitrage, State Prices and Portfolio Theory / Philip h. Dybvig and Stephen a. Ross / - Intertemporal Asset Pricing Theory / Darrell Duffle / - Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance / Wayne E. Ferson / - Consumption-Based Asset Pricing / John y Campbell / - The Equity Premium in Retrospect / Rainish Mehra and Edward c. Prescott / - Anomalies and Market Efficiency / William Schwert / - Are Financial Assets Priced Locally or Globally? / G. Andrew Karolyi and Rene M. Stuli / - Microstructure and Asset Pricing / David Easley and Maureen O'hara / - A Survey of Behavioral Finance / Nicholas Barberis and Richard Thaler / - Derivatives / Robert E. Whaley / - Fixed-Income Pricing / Qiang Dai and Kenneth J. Singleton.
Download or read book Pricing the Planet s Future written by Christian Gollier and published by Princeton University Press. This book was released on 2013 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: Today, the judge, the citizen, the politician, and the entrepreneur are concerned with the sustainability of our development.
Download or read book Asset Prices Booms and Recessions written by Willi Semmler and published by Springer Science & Business Media. This book was released on 2011-06-15 with total page 327 pages. Available in PDF, EPUB and Kindle. Book excerpt: The financial market melt-down of the years 2007-2009 has posed great challenges for studies on financial economics. This financial economics text focuses on the dynamic interaction of financial markets and economic activity. The financial market to be studied here encompasses the money and bond market, credit market, stock market and foreign exchange market; economic activity includes the actions and interactions of firms, banks, households, governments and countries. The book shows how economic activity affects asset prices and the financial market, and how asset prices and financial market volatility and crises impact economic activity. The book offers extensive coverage of new and advanced topics in financial economics such as the term structure of interest rates, credit derivatives and credit risk, domestic and international portfolio theory, multi-agent and evolutionary approaches, capital asset pricing beyond consumption-based models, and dynamic portfolio decisions. Moreover a completely new section of the book is dedicated to the recent financial market meltdown of the years 2007-2009. Emphasis is placed on empirical evidence relating to episodes of financial instability and financial crises in the U.S. and in Latin American, Asian and Euro-area countries. Overall, the book explains what researchers and practitioners in the financial sector need to know about the financial-real interaction, and what practitioners and policy makers need to know about the financial market.
Download or read book Microfoundations of Financial Economics written by Yvan Lengwiler and published by Princeton University Press. This book was released on 2006-05-07 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook takes the reader from the level of microeconomics principles through to modern asset pricing theory. Yvan Lengwiler elegantly links together issues that have in the past been the territory of general economic theorists on the one hand, and financial economists on the other. In a sequence of carefully explained steps, the reader learns how the first welfare theorem is used in asset pricing theory. The book then moves on to explore Radner economies and von Neumann-Morgenstern decision theory, and this section culminates in Wilson's mutuality principle and the consumption-based CAPM. This is then put into a dynamic setting, and term structure models are introduced. The empirical shortcomings of the standard asset pricing models are extensively discussed, as is research from the last twenty years aimed at bringing theory in line with reality. The reader is brought up to date on the latest areas of concern, such as habit formation, the consequences of heterogeneity, demographic effects, changing tax regimes, market frictions, and the implications of prospect theory for asset pricing. Aimed at masters or Ph.D. students specializing in financial economics, the book can also be used as a supplementary text for students of macroeconomics at this advanced level and will be of interest to finance professionals with a background in economics and mathematics. It includes problems (with solutions), and an accompanying website provides supporting material for lecturers.
Download or read book Handbook of the Economics of Finance written by George M Constantinides and published by North-Holland. This book was released on 2003-12-30 with total page 694 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volume 1B covers the economics of financial markets: the saving and investment decisions; the valuation of equities, derivatives, and fixed income securities; and market microstructure.
Download or read book HANDBOOK OF THE ECONOMICS OF FINANCE written by and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Pricing and Price Regulation written by D. Bös and published by Elsevier. This book was released on 2015-12-04 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: This clear, precisely written text presents an important branch of the modern, micro-economically based theory of industrial organization and of public finance, utilizing calculus only. Answers are provided to some pertinent economic questions, such as the pricing policies of vote-seeking politicians, of empire-building bureaucrats and of out-put-maximizing and energy-saving public utilities. These policies are compared with the welfare economic benchmark rules e.g. on marginal cost pricing and Ramsey pricing. Great significance is attached to price regulation. The book elucidates the recent replacement of rate of return regulation by price-cap regulation. It also explains why many simple rules like yardstick regulation fail to achieve optimal prices, which shows how complicated it is to induce managers to truthfully reveal their private information. How this can be achieved properly is shown in various principal-agent models on regulation with uncertain costs, uncertain demand and with soft budget constraints.
Download or read book The Economics of Food Price Volatility written by Jean-Paul Chavas and published by University of Chicago Press. This book was released on 2014-10-14 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The conference was organized by the three editors of this book and took place on August 15-16, 2012 in Seattle."--Preface.
Download or read book Business Economics and Finance with MATLAB GIS and Simulation Models written by Patrick L. Anderson and published by CRC Press. This book was released on 2004-07-27 with total page 499 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book takes recent theoretical advances in Finance and Economics and shows how they can be implemented in the real world. It presents tactics for using mathematical and simulation models to solve complex tasks of forecasting income, valuing businesses, predicting retail sales, and evaluating markets and tax and regulatory problems. Busine
Download or read book Neoclassical Finance written by Stephen A. Ross and published by Princeton University Press. This book was released on 2009-04-11 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: Neoclassical Finance provides a concise and powerful account of the underlying principles of modern finance, drawing on a generation of theoretical and empirical advances in the field. Stephen Ross developed the no arbitrage principle, tying asset pricing to the simple proposition that there are no free lunches in financial markets, and jointly with John Cox he developed the related concept of risk-neutral pricing. In this book Ross makes a strong case that these concepts are the fundamental pillars of modern finance and, in particular, of market efficiency. In an efficient market prices reflect the information possessed by the market and, as a consequence, trading schemes using commonly available information to beat the market are doomed to fail. By stark contrast, the currently popular stance offered by behavioral finance, fueled by a number of apparent anomalies in the financial markets, regards market prices as subject to the psychological whims of investors. But without any appeal to psychology, Ross shows that neoclassical theory provides a simple and rich explanation that resolves many of the anomalies on which behavioral finance has been fixated. Based on the inaugural Princeton Lectures in Finance, sponsored by the Bendheim Center for Finance of Princeton University, this elegant book represents a major contribution to the ongoing debate on market efficiency, and serves as a useful primer on the fundamentals of finance for both scholars and practitioners.
Download or read book Interest and Prices written by Michael Woodford and published by Princeton University Press. This book was released on 2011-12-12 with total page 805 pages. Available in PDF, EPUB and Kindle. Book excerpt: With the collapse of the Bretton Woods system, any pretense of a connection of the world's currencies to any real commodity has been abandoned. Yet since the 1980s, most central banks have abandoned money-growth targets as practical guidelines for monetary policy as well. How then can pure "fiat" currencies be managed so as to create confidence in the stability of national units of account? Interest and Prices seeks to provide theoretical foundations for a rule-based approach to monetary policy suitable for a world of instant communications and ever more efficient financial markets. In such a world, effective monetary policy requires that central banks construct a conscious and articulate account of what they are doing. Michael Woodford reexamines the foundations of monetary economics, and shows how interest-rate policy can be used to achieve an inflation target in the absence of either commodity backing or control of a monetary aggregate. The book further shows how the tools of modern macroeconomic theory can be used to design an optimal inflation-targeting regime--one that balances stabilization goals with the pursuit of price stability in a way that is grounded in an explicit welfare analysis, and that takes account of the "New Classical" critique of traditional policy evaluation exercises. It thus argues that rule-based policymaking need not mean adherence to a rigid framework unrelated to stabilization objectives for the sake of credibility, while at the same time showing the advantages of rule-based over purely discretionary policymaking.
Download or read book Modern Financial Markets written by David W. Blackwell and published by John Wiley & Sons. This book was released on 2006-12-18 with total page 516 pages. Available in PDF, EPUB and Kindle. Book excerpt: Throughout this concise, accessible book, readers will quickly learn the fundamental concepts of managerial finance while discovering how things really work. The material is explained using an intuitive theoretical context, providing them with a richer understanding of the material and better insights into solving problems. Finance concepts are covered in a common sense manner and the use of mathematical jargon is minimized. The unifying theme for the book is the concept of valuation since it is the most fundamental concept in finance. The authors define and discuss value in terms of net present value (NPV).
Download or read book The Paradox of Asset Pricing written by Peter Bossaerts and published by Princeton University Press. This book was released on 2005-01-17 with total page 186 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asset pricing theory abounds with elegant mathematical models. The logic is so compelling that the models are widely used in policy, from banking, investments, and corporate finance to government. To what extent, however, can these models predict what actually happens in financial markets? In The Paradox of Asset Pricing, a leading financial researcher argues forcefully that the empirical record is weak at best. Peter Bossaerts undertakes the most thorough, technically sound investigation in many years into the scientific character of the pricing of financial assets. He probes this conundrum by modeling a decidedly volatile phenomenon that, he says, the world of finance has forgotten in its enthusiasm for the efficient markets hypothesis--speculation. Bossaerts writes that the existing empirical evidence may be tainted by the assumptions needed to make sense of historical field data or by reanalysis of the same data. To address the first problem, he demonstrates that one central assumption--that markets are efficient processors of information, that risk is a knowable quantity, and so on--can be relaxed substantially while retaining core elements of the existing methodology. The new approach brings novel insights to old data. As for the second problem, he proposes that asset pricing theory be studied through experiments in which subjects trade purposely designed assets for real money. This book will be welcomed by finance scholars and all those math--and statistics-minded readers interested in knowing whether there is science beyond the mathematics of finance. This book provided the foundation for subsequent journal articles that won two prestigious awards: the 2003 Journal of Financial Markets Best Paper Award and the 2004 Goldman Sachs Asset Management Best Research Paper for the Review of Finance.
Download or read book Handbook of the Economics of Finance written by George M. Constantinides and published by . This book was released on 2013 with total page 798 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Principles of Commodity Economics and Finance written by Daniel P. Ahn and published by MIT Press. This book was released on 2019-04-09 with total page 229 pages. Available in PDF, EPUB and Kindle. Book excerpt: A rigorous but practical introduction to the economic, financial, and political principles underlying commodity markets. Commodities have become one of the fastest growing asset classes of the last decade and the object of increasing attention from investors, scholars, and policy makers. Yet existing treatments of the topic are either too theoretical, ignoring practical realities, or largely narrative and nonrigorous. This book bridges the gap, striking a balance between theory and practice. It offers a solid foundation in the economic, financial, and political principles underlying commodities markets. The book, which grows out of courses taught by the author at Columbia and Johns Hopkins, can be used by graduate students in economics, finance, and public policy, or as a conceptual reference for practitioners. After an introduction to basic concepts and a review of the various types of commodities—energy, metals, agricultural products—the book delves into the economic and financial dynamics of commodity markets, with a particular focus on energy. The text covers fundamental demand and supply for resources, the mechanics behind commodity financial markets, and how they motivate investment decisions around both physical and financial portfolio exposure to commodities, and the evolving political and regulatory landscape for commodity markets. Additional special topics include geopolitics, financial regulation, and electricity markets. The book is divided into thematic modules that progress in complexity. Text boxes offer additional, related material, and numerous charts and graphs provide further insight into important concepts.
