Download or read book What Determines U S Swap Spreads written by Ádám Kóbor and published by World Bank Publications. This book was released on 2005 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: References p. 45-47.
Download or read book Market Microstructure and Nonlinear Dynamics written by Gilles Dufrénot and published by Springer. This book was released on 2014-07-14 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses market microstructure environment within the context of the global financial crisis. In the first part, the market microstructure theory is recalled and the main microstructure models and hypotheses are discussed. The second part focuses on the main effects of the financial downturn through an examination of market microstructure dynamics. In particular, the effects of market imperfections and the limitations associated with microstructure models are discussed. Finally, the new regulations and recent developments for financial markets that aim to improve the market microstructure are discussed. Well-known experts on the subject contribute to the chapters in the book. A must-read for academic researchers, students and quantitative practitioners.
Download or read book Swing Pricing and Fragility in Open end Mutual Funds written by Dunhong Jin and published by International Monetary Fund. This book was released on 2019-11-01 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: How to prevent runs on open-end mutual funds? In recent years, markets have observed an innovation that changed the way open-end funds are priced. Alternative pricing rules (known as swing pricing) adjust funds’ net asset values to pass on funds’ trading costs to transacting shareholders. Using unique data on investor transactions in U.K. corporate bond funds, we show that swing pricing eliminates the first-mover advantage arising from the traditional pricing rule and significantly reduces redemptions during stress periods. The positive impact of alternative pricing rules on fund flows reverses in calm periods when costs associated with higher tracking error dominate the pricing effect.
Download or read book Research in Finance written by John W. Kensinger and published by Emerald Group Publishing. This book was released on 2010-03-23 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: Offers insights into economic systems as packages containing multiple real options where the rational exercise of these options then shapes the outcomes from the system. This title also includes chapters that explore the use of commodities like oil as a means of improving the diversification of portfolios containing equities.
Download or read book Financial Markets and the Macroeconomy written by Carl Chiarella and published by Routledge. This book was released on 2009-06-02 with total page 513 pages. Available in PDF, EPUB and Kindle. Book excerpt: This important new book from a group of Keynesian, but nonetheless technically-oriented economists explores one of the dominant paradigms in financial economics: the ‘intertemporal general equilibrium approach’.
Download or read book Yield Curve Modeling and Forecasting written by Francis X. Diebold and published by Princeton University Press. This book was released on 2013-01-15 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing financial risk, allocating portfolios, structuring fiscal debt, conducting monetary policy, and valuing capital goods. Unfortunately, most yield curve models tend to be theoretically rigorous but empirically disappointing, or empirically successful but theoretically lacking. In this book, Francis Diebold and Glenn Rudebusch propose two extensions of the classic yield curve model of Nelson and Siegel that are both theoretically rigorous and empirically successful. The first extension is the dynamic Nelson-Siegel model (DNS), while the second takes this dynamic version and makes it arbitrage-free (AFNS). Diebold and Rudebusch show how these two models are just slightly different implementations of a single unified approach to dynamic yield curve modeling and forecasting. They emphasize both descriptive and efficient-markets aspects, they pay special attention to the links between the yield curve and macroeconomic fundamentals, and they show why DNS and AFNS are likely to remain of lasting appeal even as alternative arbitrage-free models are developed. Based on the Econometric and Tinbergen Institutes Lectures, Yield Curve Modeling and Forecasting contains essential tools with enhanced utility for academics, central banks, governments, and industry.
Download or read book Economic Dynamics Radicalizing the Monetary Domain written by Margaret Ngaruiya, Mongare. G. Kemunto, Mahad Mohamed and published by AJPO Journals USA LLC. This book was released on 2023-10-11 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt: TOPICS IN THE BOOK Effects of Economic Growth on Bond Prices Effect of Exchange Rates on Bonds Prices: A Survey of Bonds Listed at the Nairobi Securities Exchange Effect of Macroeconomic Factors on Bond Prices: A Survey of Bonds Listed at the Nairobi Securities Exchange Influence of Inflation on Bond Prices: A Survey of Bonds Listed at the Nairobi Securities Residential Housing Demand in Nairobi; A Hedonic Pricing Approach Determinants of Labour Demand, A Case of Mogadishu City, Somalia
Download or read book Interest Rate Models Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds written by A. Berkelaar and published by Springer. This book was released on 2009-11-30 with total page 401 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edited volume contains essential readings for financial analysts and market practitioners working at Central Banks and Sovereign Wealth Funds. It presents the reader with state-of-the-art methods that are directly implementable, and industry 'best-practices' as followed by leading institutions in their field.
Download or read book Riskfree rate dynamics written by Michel van der Wel. and published by Rozenberg Publishers. This book was released on 2008 with total page 155 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal Financial Decision Making under Uncertainty written by Giorgio Consigli and published by Springer. This book was released on 2016-10-17 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: The scope of this volume is primarily to analyze from different methodological perspectives similar valuation and optimization problems arising in financial applications, aimed at facilitating a theoretical and computational integration between methods largely regarded as alternatives. Increasingly in recent years, financial management problems such as strategic asset allocation, asset-liability management, as well as asset pricing problems, have been presented in the literature adopting formulation and solution approaches rooted in stochastic programming, robust optimization, stochastic dynamic programming (including approximate SDP) methods, as well as policy rule optimization, heuristic approaches and others. The aim of the volume is to facilitate the comprehension of the modeling and methodological potentials of those methods, thus their common assumptions and peculiarities, relying on similar financial problems. The volume will address different valuation problems common in finance related to: asset pricing, optimal portfolio management, risk measurement, risk control and asset-liability management. The volume features chapters of theoretical and practical relevance clarifying recent advances in the associated applied field from different standpoints, relying on similar valuation problems and, as mentioned, facilitating a mutual and beneficial methodological and theoretical knowledge transfer. The distinctive aspects of the volume can be summarized as follows: Strong benchmarking philosophy, with contributors explicitly asked to underline current limits and desirable developments in their areas. Theoretical contributions, aimed at advancing the state-of-the-art in the given domain with a clear potential for applications The inclusion of an algorithmic-computational discussion of issues arising on similar valuation problems across different methods. Variety of applications: rarely is it possible within a single volume to consider and analyze different, and possibly competing, alternative optimization techniques applied to well-identified financial valuation problems. Clear definition of the current state-of-the-art in each methodological and applied area to facilitate future research directions.
Download or read book What Determines U S Swap Spreads written by 3/4dm̀ Kb̤or and published by World Bank Publications. This book was released on with total page 60 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 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 Developments in Macro Finance Yield Curve Modelling written by Jagjit S. Chadha and published by Cambridge University Press. This book was released on 2014-02-06 with total page 571 pages. Available in PDF, EPUB and Kindle. Book excerpt: State-of-the-art research from academics and policymakers on the role of and challenges to monetary policy during the ongoing financial crisis.
Download or read book Mathematics of Finance written by George Yin and published by American Mathematical Soc.. This book was released on 2004 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contains papers based on talks given at the first AMS-IMS-SIAM Joint Summer Research Conference on Mathematics of Finance held at Snowbird. This book includes such topics as modeling, estimation, optimization, control, and risk assessment and management. It is suitable for students interested in mathematical finance.
Download or read book Transmission Channels of Financial Shocks to Stock Bond and Asset Backed Markets written by Massimo Guidolin and published by Springer. This book was released on 2015-11-12 with total page 215 pages. Available in PDF, EPUB and Kindle. Book excerpt: Researchers, policymakers and commentators have long debated the patterns through which adverse shocks in a few markets may quickly spread to a range of apparently disconnected financial markets causing widespread losses and turmoil. This book uses modern linear and non-linear econometric methods to characterize how shocks to the yield of risky fixed income securities, such as sub-prime asset-backed or low-credit rating sovereign bonds, are transmitted to the yields in other markets. These include equity and corporate bond markets as well as relatively risk-free fixed income securities, such as highly rated asset-backed securities and sovereign bonds from core Eurozone countries. The authors analyse and compare the results from linear and non-linear models to identify and assess four distinct contagion channels characterizing both US and European financial markets. These include the correlated information, risk premium, flight-to-liquidity, and flight-to quality channels. The results of this study support the theory that both investors and policy-makers ought to pay special attention to liquidity and commonalities in the perceptions of the probabilities of default, as channels through which financial shocks propagate.
Download or read book State space Models with Regime Switching written by Chang-Jin Kim and published by Mit Press. This book was released on 1999 with total page 297 pages. Available in PDF, EPUB and Kindle. Book excerpt: Both state-space models and Markov switching models have been highly productive paths for empirical research in macroeconomics and finance. This book presents recent advances in econometric methods that make feasible the estimation of models that have both features. One approach, in the classical framework, approximates the likelihood function; the other, in the Bayesian framework, uses Gibbs-sampling to simulate posterior distributions from data.The authors present numerous applications of these approaches in detail: decomposition of time series into trend and cycle, a new index of coincident economic indicators, approaches to modeling monetary policy uncertainty, Friedman's "plucking" model of recessions, the detection of turning points in the business cycle and the question of whether booms and recessions are duration-dependent, state-space models with heteroskedastic disturbances, fads and crashes in financial markets, long-run real exchange rates, and mean reversion in asset returns.
Download or read book Regime shifts Risk Premiums in the Term Structure and Business Cycle written by Ravi Bansal and published by . This book was released on 2003 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
