Download or read book The Derivatives Sourcebook written by Terence Lim and published by Now Publishers Inc. This book was released on 2006 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Derivatives Sourcebook is a citation study and classification system that organizes the many strands of the derivatives literature and assigns each citation to a category. Over 1800 research articles are collected and organized into a simple web-based searchable database. We have also included the 1997 Nobel lectures of Robert Merton and Myron Scholes as a backdrop to this literature.

Download or read book The Oxford Handbook of Quantitative Asset Management written by Bernd Scherer and published by Oxford University Press. This book was released on 2012 with total page 530 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores the current state of the art in quantitative investment management across seven key areas. Chapters by academics and practitioners working in leading investment management organizations bring together major theoretical and practical aspects of the field.

Download or read book Fundamentals of Investments written by Gordon J. Alexander and published by Pearson Educación. This book was released on 2001 with total page 824 pages. Available in PDF, EPUB and Kindle. Book excerpt: This introduction provides a clear framework for understanding and analyzing securities, and covers the major institutional features and theories of investing. While the book presents a thorough discussion of investments, the authors keep the material practical, relevant, and easy to understand. The latest developments in investments are brought to life through the use of tables, graphs, and illustrations that incorporate current market information and academic research. An international content deals directly with international securities and securities markets throughout the book--along with currency management and interest rate parity. Up-to-date "Money Matters" articles reflect the latest real-world developments and are provided throughout each chapter to give readers a sense of how practitioners deal with various investment issues and use techniques. Other coverage includes an array of investment tools--presented through discussions on stocks, bonds, and other securities such as options and futures. A guide to reviewing, forecasting, and monitoring--for individuals preparing to make investments or take the CFA exam.

Download or read book The Modern Theory of Financial Reporting written by Lawrence David Brown and published by Business Publications, Incorporated. This book was released on 1987 with total page 474 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Modern Portfolio Theory written by Jack Clark Francis and published by John Wiley & Sons. This book was released on 2013-01-18 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt: A through guide covering Modern Portfolio Theory as well as the recent developments surrounding it Modern portfolio theory (MPT), which originated with Harry Markowitz's seminal paper "Portfolio Selection" in 1952, has stood the test of time and continues to be the intellectual foundation for real-world portfolio management. This book presents a comprehensive picture of MPT in a manner that can be effectively used by financial practitioners and understood by students. Modern Portfolio Theory provides a summary of the important findings from all of the financial research done since MPT was created and presents all the MPT formulas and models using one consistent set of mathematical symbols. Opening with an informative introduction to the concepts of probability and utility theory, it quickly moves on to discuss Markowitz's seminal work on the topic with a thorough explanation of the underlying mathematics. Analyzes portfolios of all sizes and types, shows how the advanced findings and formulas are derived, and offers a concise and comprehensive review of MPT literature Addresses logical extensions to Markowitz's work, including the Capital Asset Pricing Model, Arbitrage Pricing Theory, portfolio ranking models, and performance attribution Considers stock market developments like decimalization, high frequency trading, and algorithmic trading, and reveals how they align with MPT Companion Website contains Excel spreadsheets that allow you to compute and graph Markowitz efficient frontiers with riskless and risky assets If you want to gain a complete understanding of modern portfolio theory this is the book you need to read.

Download or read book Accounting Research Directory written by Lawrence David Brown and published by Manchester University Press. This book was released on 1985 with total page 440 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Deferred Compensation Risk and Company Value written by Chenyang Wei and published by DIANE Publishing. This book was released on 2010-10 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: There have been suggestions that companies pay top executives with deferred compensation (DC), a type of incentive known as inside debt. Recent SEC disclosure reforms greatly increased the transparency of DC. The authors investigate stockholder and bondholder reactions to companies¿ initial reports of their CEOs¿ inside debt positions in early 2007, when new disclosure rules took effect. They find that bond prices rise, equity prices fall, and the volatility of both securities drops upon disclosures by firms whose CEOs have sizable defined benefit pensions or DC. The results indicate a reduction in firm risk, a transfer of value from equity toward debt, and an overall destruction of enterprise value when a CEO¿s DC holdings are large. Charts and tables.

Download or read book Empirical Investigation Into the Stock Market Reactions to Corporate Earnings Reports written by Hay Young Chung and published by . This book was released on 1987 with total page 388 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Foreign Currency Option Pricing and Properties of Ex ante Exchange Rate Variability Changes written by Fatih Akin and published by . This book was released on 1992 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Option Price Calibration Around Earning Announcement Dates Using Modified Variance Gamma Models written by and published by . This book was released on 2007 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Option Trading and Earnings News Dissemination written by Kaushik I. Amin and published by . This book was released on 1993 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Spreads Depths and the Impact of Earnings Information written by Charles M. C. Lee and published by . This book was released on 1992 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book option trading and earnings news dissemination written by kaushik i. amin and charles m.c. lee and published by . This book was released on 1993 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Quarterly Journal of Business and Economics written by and published by . This book was released on 2000 with total page 612 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Corporate Risk Governance written by Mr. Gaizka Ormazabal Sanchez and published by Stanford University. This book was released on 2011 with total page 185 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation comprises three papers on the governance of corporate risk: 1. The first paper investigates the role of organizational structures aimed at monitoring corporate risk. Proponents of risk-related governance structures, such as risk committees or Enterprise Risk Management (ERM) programs, assert that risk monitoring adds value by ensuring that corporate risks are managed. An alternative view is that such governance structures are nothing more than window-dressing created in response to regulatory or public pressure. Consistent with the former view, I find that, in the period between 2000 and 2006, firms with more observable risk oversight structures exhibit lower equity and credit risk than firms with fewer or no observable risk oversight structures. I also provide evidence that firms with more observable risk oversight structures experienced higher returns during the worst days of the 2007-2008 financial crisis and were less susceptible to market fluctuations than firms with fewer or no observable risk oversight structures. Finally, I find that firms without observable risk oversight structures experienced higher abnormal returns to recent legislative events relating to risk management than firms with observable risk oversight structures. 2. The most common empirical measure of managerial risk-taking incentives is equity portfolio vega (Vega), which is measured as the dollar change in a manager's equity portfolio for a 0.01 change in the standard deviation of stock returns. However, Vega exhibits at least three undesirable features. First, Vega is expressed as a dollar change. This implicitly assumes that managers with identical Vega have the same incentives regardless of differences in their total equity and other wealth. Second, the small change in the standard deviation of returns used to calculate Vega (i.e., 0.01) yields a very local approximation of managerial risk-taking incentives. If an executive's expected payoff is highly nonlinear over the range of potential stock price and volatility outcomes, a local measure of incentives is unlikely to provide a valid assessment of managerial incentives. Third, Vega is measured as the partial derivative of the manager's equity portfolio with respect to return volatility. This computation does not consider that this partial derivative also varies with changes in stock price. The second paper develops and tests a new measure of managerial risk-taking equity incentives that adjusts for differences in managerial wealth, considers more global changes in price and volatility, and explicitly considers the impact of stock price and volatility changes. We find that our new measure exhibits higher explanatory power and is more robust to model specification than Vegafor explaining a wide range of measures of risk-taking behavior. 3. The third paper examines the relation between shareholder monitoring and managerial risk-taking incentives. We develop a stylized model to show that shareholder monitoring mitigates the effect of contractual risk-taking incentives on the manager's actions. Consistent with the model, we find empirically that the positive association between the CEO's contractual risk-taking incentives and risk-taking behavior decreases with the level of shareholder monitoring. Furthermore, consistent with the board anticipating and optimally responding to shareholder monitoring, boards of firms exposed to more intense monitoring design compensation contracts that provide higher incentives to take risks. Overall, our results suggest that, when evaluating risk-taking incentives provided by a compensation contract, it is important to account for the firm's monitoring environment.

Download or read book Options Markets written by John C. Cox and published by Prentice Hall. This book was released on 1985 with total page 518 pages. Available in PDF, EPUB and Kindle. Book excerpt: Includes the first published detailed description of option exchange operations, the first published treatment using only elementary mathematics and the first step-by-step procedure for implementing the Black-Scholes formula in actual trading.

Download or read book Journal of International Money and Finance written by and published by . This book was released on 1992 with total page 652 pages. Available in PDF, EPUB and Kindle. Book excerpt: