Download or read book Pricing Corporate Securities as Contingent Claims written by Kenneth D. Garbade and published by MIT Press. This book was released on 2001 with total page 442 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bringing together developments from the past 30years in contingent valuation, this book examines the relative value of securities in a corporation's capital structure, including debt of different priorities, convertible debt, common stock, and warrants.
Download or read book Pricing Derivative Securities written by T. W. Epps and published by World Scientific. This book was released on 2007 with total page 644 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents techniques for valuing derivative securities at a level suitable for practitioners, students in doctoral programs in economics and finance, and those in masters-level programs in financial mathematics and computational finance. It provides the necessary mathematical tools from analysis, probability theory, the theory of stochastic processes, and stochastic calculus, making extensive use of examples. It also covers pricing theory, with emphasis on martingale methods. The chapters are organized around the assumptions made about the dynamics of underlying price processes. Readers begin with simple, discrete-time models that require little mathematical sophistication, proceed to the basic Black-Scholes theory, and then advance to continuous-time models with multiple risk sources. The second edition takes account of the major developments in the field since 2000. New topics include the use of simulation to price American-style derivatives, a new one-step approach to pricing options by inverting characteristic functions, and models that allow jumps in volatility and Markov-driven changes in regime. The new chapter on interest-rate derivatives includes extensive coverage of the LIBOR market model and an introduction to the modeling of credit risk. As a supplement to the text, the book contains an accompanying CD-ROM with user-friendly FORTRAN, C++, and VBA program components.
Download or read book Pricing Derivative Securities written by Eliezer Z. Prisman and published by Academic Press. This book was released on 2000-09-14 with total page 788 pages. Available in PDF, EPUB and Kindle. Book excerpt: CD-ROM contains: MAPLE student version 5.0; online version of text; MATLAB GUI; IDEAL software (embedded in online text).
Download or read book Securities Pricing written by Thomas J. McCool and published by DIANE Publishing. This book was released on 2002 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: Examines the progress that the securities industry (SI) has made toward the implementation of decimal pricing (DP) for U.S. stocks. The U.S. equity markets are the only major equity markets that still use fractional pricing. Some have projected significant savings to investors following implementation of DP. This report addresses these questions: what were the reasons that the Nasdaq market was not ready for the July 3, 2000, implementation date & how NASD's DP preparations compared with those of the NYSE; how SEC approached oversight of the SI's implement. of DP & how this compared with its Year 2000 effort; & what challenges remain regarding implementing DP.
Download or read book Securities Pricing written by United States. General Accounting Office and published by . This book was released on 2000 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Bond Pricing and Yield Curve Modeling written by Riccardo Rebonato and published by . This book was released on 2018-06-07 with total page 781 pages. Available in PDF, EPUB and Kindle. Book excerpt: Rebonato provides an authoritative, clear, and up-to-date explanation of the cutting-edge innovations in affine modeling for government bonds, and provides readers with the precise tools to develop their own models. This book combines precise theory with up-to-date empirical evidence to build, with the minimum mathematical sophistication required for the task, a critical understanding of what drives the government bond market.
Download or read book Valuation Of Equity Securities History Theory And Application written by Geoffrey Poitras and published by World Scientific Publishing Company. This book was released on 2010-12-21 with total page 765 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive and rigorous treatment of academic and practitioner approaches to equity security valuation. Guided by historical and philosophical insights, conventional academic wisdom surrounding the ergodic properties of stochastic processes is challenged. In addition, the implications of a general stochastic interpretation of equity security valuation are provided. Valuation of Equity Securities will also be a good reference source for students and professionals interested in the theoretical and practical applications of equity securities.
Download or read book Brazilian Derivatives and Securities written by Marcos C. S. Carreira and published by Springer. This book was released on 2016-07-11 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Brazilian financial markets operate in a very different way to G7 markets. Key differences include onshore and offshore markets, exponential rates, business days day-counts, and price formation from the futures markets (instead of the cash markets). This book provides a quantitative, applied guide to the offshore and onshore Brazilian markets, with a focus on the financial instruments unique to the region. It offers a comprehensive introduction to the key financial 'archaeology' in the Brazil context, exploring interest rates, FX and inflation and key differences from G7 market finance. It explores the core industry investment banking business in detail, from FX to interest rates and cash and inflation. Finally it introduces the region's unique financial instruments, as well as their pricing and risk management needs. Covering both introductory and complex topics, this book provides existing practitioners in Brazil, as well as those interested in becoming involved in these markets, everything they need to understand the market dynamics, risks, pricing and calibration of curves for all products currently available.
Download or read book Financial Derivatives Pricing Selected Works Of Robert Jarrow written by Robert A Jarrow and published by World Scientific. This book was released on 2008-10-08 with total page 609 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk.Part II relates to pricing derivatives under stochastic interest rates. Included is the paper introducing the famous Heath-Jarrow-Morton (HJM) model, together with papers on topics like the characterization of the difference between forward and futures prices, the forward price martingale measure, and applications of the HJM model to foreign currencies and commodities.Part III deals with the pricing of financial derivatives considering both stochastic interest rates and the likelihood of default. Papers cover the reduced form credit risk model, in particular the original Jarrow and Turnbull model, the Markov model for credit rating transitions, counterparty risk, and diversifiable default risk.
Download or read book Fundamentals Of Institutional Asset Management written by Frank J Fabozzi and published by World Scientific. This book was released on 2020-10-12 with total page 616 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides the fundamentals of asset management. It takes a practical perspective in describing asset management. Besides the theoretical aspects of investment management, it provides in-depth insights into the actual implementation issues associated with investment strategies. The 19 chapters combine theory and practice based on the experience of the authors in the asset management industry. The book starts off with describing the key activities involved in asset management and the various forms of risk in managing a portfolio. There is then coverage of the different asset classes (common stock, bonds, and alternative assets), collective investment vehicles, financial derivatives, common stock analysis and valuation, bond analytics, equity beta strategies (including smart beta), equity alpha strategies (including quantitative/systematic strategies), bond indexing and active bond portfolio strategies, and multi-asset strategies. The methods of using financial derivatives (equity derivatives, interest rate derivatives, and credit derivatives) in managing the risks of a portfolio are clearly explained and illustrated.
Download or read book Pricing Convertible Bonds written by Kevin B. Connolly and published by Wiley. This book was released on 1998-10-15 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Convertible Bonds (CB) market is growing all the time. To date, over one trillion dollars worth of CBs are in circulation. Corporations are finding this source of fund-raising more and more attractive. And for different reasons, the buyers are finding CBs increasingly attractive investment vehicles. There are few works on the subject of pricing convertible bonds. Most books discussing derivative products cover all details of pricing futures and options in minute detail. Convertible bonds and warrants are usually mentioned as an after thought in the latter chapters. This is the first book to address the very complex issue of pricing convertible bonds. Kevin Connolly, Researcher of complex volatility trading for Refco Overseas Ltd. and Lecturer at City University Business School and London Guildhall University, has put together an excellent treatment of pricing convertible bonds, delving into topics such as: * Returns distributions and associated descriptive statistics * Modeling the share price process * The basic convertible bond model * Introducing the complications * Convertible bond sensitivities * Using equity warrant models to price CBs * Refix clauses Fund managers, hedge players/traders, undergraduates and postgraduates will find this book invaluable. Easy to understand software on Microsoft Excel spreadsheets is also supplied.
Download or read book Bond Pricing and Portfolio Analysis written by Olivier de La Grandville and published by MIT Press. This book was released on 2003-01-24 with total page 486 pages. Available in PDF, EPUB and Kindle. Book excerpt: Makes accessible the most important methodological advances in bond evaluation from the past twenty years.
Download or read book Investing in Fixed Income Securities written by Gary Strumeyer and published by John Wiley & Sons. This book was released on 2012-07-02 with total page 386 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investors who've primarily purchased equity securities in the past have been looking for more secure investment alternatives; namely, fixed income securities. This book demystifies the sometimes daunting fixed income market, through a user-friendly, sophisticated, yet not overly mathematical format. Investing in Fixed Income Securities covers a wide range of topics, including the different types of fixed income securities, their characteristics, the strategies necessary to manage a diversified portfolio, bond pricing concepts, and more, so you can make the most informed investment decisions possible.
Download or read book Bond Pricing and Yield Curve Modeling written by Riccardo Rebonato and published by Cambridge University Press. This book was released on 2018-06-07 with total page 781 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book, well-known expert Riccardo Rebonato provides the theoretical foundations (no-arbitrage, convexity, expectations, risk premia) needed for the affine modeling of the government bond markets. He presents and critically discusses the wealth of empirical findings that have appeared in the literature of the last decade, and introduces the 'structural' models that are used by central banks, institutional investors, sovereign wealth funds, academics, and advanced practitioners to model the yield curve, to answer policy questions, to estimate the magnitude of the risk premium, to gauge market expectations, and to assess investment opportunities. Rebonato weaves precise theory with up-to-date empirical evidence to build, with the minimum mathematical sophistication required for the task, a critical understanding of what drives the government bond market.
Download or read book The Common Cents Stock Pricing Act of 1997 written by United States. Congress. House. Committee on Commerce. Subcommittee on Finance and Hazardous Materials and published by . This book was released on 1997 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Fixed Income Securities written by Lionel Martellini and published by John Wiley & Sons. This book was released on 2005-09-27 with total page 662 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook will be designed for fixed-income securities courses taught on MSc Finance and MBA courses. There is currently no suitable text that offers a 'Hull-type' book for the fixed income student market. This book aims to fill this need. The book will contain numerous worked examples, excel spreadsheets, with a building block approach throughout. A key feature of the book will be coverage of both traditional and alternative investment strategies in the fixed-income market, for example, the book will cover the modern strategies used by fixed-income hedge funds. The text will be supported by a set of PowerPoint slides for use by the lecturer First textbook designed for students written on fixed-income securities - a growing market Contains numerous worked examples throughout Includes coverage of important topics often omitted in other books i.e. deriving the zero yield curve, deriving credit spreads, hedging and also covers interest rate and credit derivatives
Download or read book Difficult Art of Eliciting Long Run Inflation Expectations from Government Bond Prices written by Carlos Enrique Zarazaga and published by DIANE Publishing. This book was released on 2010-11 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: Central banks are always concerned with keeping long-run inflation expectations well anchored at some implicit or explicit low target inflation rate. To that end, they are constantly on the lookout for indicators that can gauge those expectations accurately. One such indicator frequently reported in the specialized financial press and by central banks around the world is constructed with the forward rates technique, which exploits price differentials between government bonds of various maturities. This report examines the theory behind those indicators and assesses the extent to which they can be trusted in practice. Charts and tables.
