Dynamic Choice And Asset Markets

Dynamic Choice And Asset Markets Book in PDF, ePub and Kindle version is available to download in english. Read online anytime anywhere directly from your device. Click on the download button below to get a free pdf file of Dynamic Choice And Asset Markets book. This book definitely worth reading, it is an incredibly well-written.

Dynamic Choice and Asset Markets

Sumru Altug,Pamela Labadie
Dynamic Choice and Asset Markets Book PDF

Author : Sumru Altug,Pamela Labadie
Publisher : Unknown
Page : 396 pages
File Size : 50,7 Mb
Release : 1994
Category : Business & Economics
ISBN : UOM:39015054090058

Get Book

Dynamic Choice and Asset Markets by Sumru Altug,Pamela Labadie Pdf

This book provides thorough models that analyze pricing and costs of all commodities. It considers the consumers' risks and opportunities. The authors begin with the theoretical background and develop the topics by integrating real-world, testable implications. Dynamic Choice and Asset Markets will be of value to students of finance and macroeconomics as well as researchers and economists using asset pricing models.

Dynamic Asset Allocation with Forwards and Futures

Abraham Lioui,Patrice Poncet
Dynamic Asset Allocation with Forwards and Futures Book PDF

Author : Abraham Lioui,Patrice Poncet
Publisher : Springer Science & Business Media
Page : 268 pages
File Size : 48,9 Mb
Release : 2005-12-06
Category : Business & Economics
ISBN : 9780387241067

Get Book

Dynamic Asset Allocation with Forwards and Futures by Abraham Lioui,Patrice Poncet Pdf

This book is an advanced text on the theory of forward and futures markets which aims at providing readers with a comprehensive knowledge of how prices are established and evolve in time, what optimal strategies one can expect the participants to follow, whether they pertain to arbitrage, speculation or hedging, what characterizes such markets and what major theoretical and practical differences distinguish futures from forward contracts. It should be of interest to students (MBAs majoring in finance with quantitative skills and PhDs in finance and financial economics), academics (both theoreticians and empiricists), practitioners, and regulators. Standard textbooks dealing with forward and futures markets generally focus on the description of the contracts, institutional details, and the effective (as opposed to theoretically optimal) use of these instruments by practitioners. The theoretical analysis is often reduced to the (undoubtedly important) cash-and-carry relationship and the computation of the simple, static, minimum variance hedge ratio. This book proposes an alternative approach of these markets from the perspective of dynamic asset allocation and asset pricing theory within an inter-temporal framework that is in line with what has been done many years ago for options markets.

Dynamic Asset Pricing Theory

Darrell Duffie
Dynamic Asset Pricing Theory Book PDF

Author : Darrell Duffie
Publisher : Princeton University Press
Page : 488 pages
File Size : 50,8 Mb
Release : 2010-01-27
Category : Business & Economics
ISBN : 9781400829200

Get Book

Dynamic Asset Pricing Theory by Darrell Duffie Pdf

This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, single-agent optimality, and equilibrium. These results are unified with two key concepts, state prices and martingales. Technicalities are given relatively little emphasis, so as to draw connections between these concepts and to make plain the similarities between discrete and continuous-time models. Readers will be particularly intrigued by this latest edition's most significant new feature: a chapter on corporate securities that offers alternative approaches to the valuation of corporate debt. Also, while much of the continuous-time portion of the theory is based on Brownian motion, this third edition introduces jumps--for example, those associated with Poisson arrivals--in order to accommodate surprise events such as bond defaults. Applications include term-structure models, derivative valuation, and hedging methods. Numerical methods covered include Monte Carlo simulation and finite-difference solutions for partial differential equations. Each chapter provides extensive problem exercises and notes to the literature. A system of appendixes reviews the necessary mathematical concepts. And references have been updated throughout. With this new edition, Dynamic Asset Pricing Theory remains at the head of the field.

Asset Prices, Booms and Recessions

Willi Semmler
Asset Prices Booms and Recessions Book PDF

Author : Willi Semmler
Publisher : Springer Science & Business Media
Page : 327 pages
File Size : 54,8 Mb
Release : 2011-06-15
Category : Business & Economics
ISBN : 9783642206801

Get Book

Asset Prices, Booms and Recessions by Willi Semmler Pdf

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.

Asset Pricing for Dynamic Economies

Sumru Altug,Pamela Labadie
Asset Pricing for Dynamic Economies Book PDF

Author : Sumru Altug,Pamela Labadie
Publisher : Cambridge University Press
Page : 702 pages
File Size : 43,7 Mb
Release : 2008-09-11
Category : Business & Economics
ISBN : 9781139474368

Get Book

Asset Pricing for Dynamic Economies by Sumru Altug,Pamela Labadie Pdf

This introduction to general equilibrium modelling takes an integrated approach to the analysis of macroeconomics and finance. It provides students, practitioners, and policymakers with an easily accessible set of tools that can be used to analyze a wide range of economic phenomena. Key features: • Provides a consistent framework for understanding dynamic economic models • Introduces key concepts in finance in a discrete time setting • Develops simple recursive approach for analyzing a variety of problems in a dynamic, stochastic environment • Sequentially builds up the analysis of consumption, production, and investment models to study their implications for allocations and asset prices • Reviews business cycle analysis and the business cycle implications of monetary and international models • Covers latest research on asset pricing in overlapping generations models and on models with borrowing constraints and transaction costs • Includes end-of-chapter exercises allowing readers to monitor their understanding of each topic Online resources are available at www.cambridge.org/altug_labadie

Strategic Asset Allocation

John Y. Campbell,Luis M. Viceira
Strategic Asset Allocation Book PDF

Author : John Y. Campbell,Luis M. Viceira
Publisher : OUP Oxford
Page : 272 pages
File Size : 48,8 Mb
Release : 2002-01-03
Category : Business & Economics
ISBN : 9780191606915

Get Book

Strategic Asset Allocation by John Y. Campbell,Luis M. Viceira Pdf

Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.

Empirical Dynamic Asset Pricing

Kenneth J. Singleton
Empirical Dynamic Asset Pricing Book PDF

Author : Kenneth J. Singleton
Publisher : Princeton University Press
Page : 496 pages
File Size : 51,9 Mb
Release : 2009-12-13
Category : Business & Economics
ISBN : 9781400829231

Get Book

Empirical Dynamic Asset Pricing by Kenneth J. Singleton Pdf

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.

The Behavioral and Social Sciences

National Research Council,Division of Behavioral and Social Sciences and Education,Commission on Behavioral and Social Sciences and Education,Committee on Basic Research in the Behavioral and Social Sciences
The Behavioral and Social Sciences Book PDF

Author : National Research Council,Division of Behavioral and Social Sciences and Education,Commission on Behavioral and Social Sciences and Education,Committee on Basic Research in the Behavioral and Social Sciences
Publisher : National Academies Press
Page : 301 pages
File Size : 46,8 Mb
Release : 1988-02-01
Category : Science
ISBN : 9780309037495

Get Book

The Behavioral and Social Sciences by National Research Council,Division of Behavioral and Social Sciences and Education,Commission on Behavioral and Social Sciences and Education,Committee on Basic Research in the Behavioral and Social Sciences Pdf

This volume explores the scientific frontiers and leading edges of research across the fields of anthropology, economics, political science, psychology, sociology, history, business, education, geography, law, and psychiatry, as well as the newer, more specialized areas of artificial intelligence, child development, cognitive science, communications, demography, linguistics, and management and decision science. It includes recommendations concerning new resources, facilities, and programs that may be needed over the next several years to ensure rapid progress and provide a high level of returns to basic research.

Dynamic Hedging

Nassim Nicholas Taleb
Dynamic Hedging Book PDF

Author : Nassim Nicholas Taleb
Publisher : John Wiley & Sons
Page : 536 pages
File Size : 40,7 Mb
Release : 1997-01-14
Category : Business & Economics
ISBN : 0471152803

Get Book

Dynamic Hedging by Nassim Nicholas Taleb Pdf

Destined to become a market classic, Dynamic Hedging is the only practical reference in exotic options hedgingand arbitrage for professional traders and money managers Watch the professionals. From central banks to brokerages to multinationals, institutional investors are flocking to a new generation of exotic and complex options contracts and derivatives. But the promise of ever larger profits also creates the potential for catastrophic trading losses. Now more than ever, the key to trading derivatives lies in implementing preventive risk management techniques that plan for and avoid these appalling downturns. Unlike other books that offer risk management for corporate treasurers, Dynamic Hedging targets the real-world needs of professional traders and money managers. Written by a leading options trader and derivatives risk advisor to global banks and exchanges, this book provides a practical, real-world methodology for monitoring and managing all the risks associated with portfolio management. Nassim Nicholas Taleb is the founder of Empirica Capital LLC, a hedge fund operator, and a fellow at the Courant Institute of Mathematical Sciences of New York University. He has held a variety of senior derivative trading positions in New York and London and worked as an independent floor trader in Chicago. Dr. Taleb was inducted in February 2001 in the Derivatives Strategy Hall of Fame. He received an MBA from the Wharton School and a Ph.D. from University Paris-Dauphine.

Dynamic Macroeconomic Analysis

Sumru Altug,Jagjit S. Chadha,Charles Nolan
Dynamic Macroeconomic Analysis Book PDF

Author : Sumru Altug,Jagjit S. Chadha,Charles Nolan
Publisher : Cambridge University Press
Page : 604 pages
File Size : 46,5 Mb
Release : 2003-11-20
Category : Business & Economics
ISBN : 0521826683

Get Book

Dynamic Macroeconomic Analysis by Sumru Altug,Jagjit S. Chadha,Charles Nolan Pdf

This collection of essays applies modern micro-founded macroeconomic models to some of the most important economic policy questions facing monetary and macroeconomic policymakers. Key issues surveyed include: consumption investment; growth and business cycles; the role of government; asset pricing; the interaction of monetary and fiscal policy; open-economy issues; stabilization policy and general equilibrium analysis of emerging market crises. The book includes specially commissioned chapters from recognized authorities.

A Model of Intertemporal Asset Prices Under Asymmetric Information

Jiang Wang,Sloan School of Management
A Model of Intertemporal Asset Prices Under Asymmetric Information Book PDF

Author : Jiang Wang,Sloan School of Management
Publisher : Franklin Classics
Page : 78 pages
File Size : 47,9 Mb
Release : 2018-10-16
Category : Electronic
ISBN : 0343457601

Get Book

A Model of Intertemporal Asset Prices Under Asymmetric Information by Jiang Wang,Sloan School of Management Pdf

This work has been selected by scholars as being culturally important and is part of the knowledge base of civilization as we know it. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. To ensure a quality reading experience, this work has been proofread and republished using a format that seamlessly blends the original graphical elements with text in an easy-to-read typeface. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.

Financial Econometrics

Christian Gourieroux,Joann Jasiak
Financial Econometrics Book PDF

Author : Christian Gourieroux,Joann Jasiak
Publisher : Princeton University Press
Page : 529 pages
File Size : 52,8 Mb
Release : 2018-06-05
Category : Business & Economics
ISBN : 9780691187020

Get Book

Financial Econometrics by Christian Gourieroux,Joann Jasiak Pdf

Financial econometrics is a great success story in economics. Econometrics uses data and statistical inference methods, together with structural and descriptive modeling, to address rigorous economic problems. Its development within the world of finance is quite recent and has been paralleled by a fast expansion of financial markets and an increasing variety and complexity of financial products. This has fueled the demand for people with advanced econometrics skills. For professionals and advanced graduate students pursuing greater expertise in econometric modeling, this is a superb guide to the field's frontier. With the goal of providing information that is absolutely up-to-date—essential in today's rapidly evolving financial environment—Gourieroux and Jasiak focus on methods related to foregoing research and those modeling techniques that seem relevant to future advances. They present a balanced synthesis of financial theory and statistical methodology. Recognizing that any model is necessarily a simplified image of reality and that econometric methods must be adapted and applied on a case-by-case basis, the authors employ a wide variety of data sampled at frequencies ranging from intraday to monthly. These data comprise time series representing both the European and North American markets for stocks, bonds, and foreign currencies. Practitioners are encouraged to keep a critical eye and are armed with graphical diagnostics to eradicate misspecification errors. This authoritative, state-of-the-art reference text is ideal for upper-level graduate students, researchers, and professionals seeking to update their skills and gain greater facility in using econometric models. All will benefit from the emphasis on practical aspects of financial modeling and statistical inference. Doctoral candidates will appreciate the inclusion of detailed mathematical derivations of the deeper results as well as the more advanced problems concerning high-frequency data and risk control. By establishing a link between practical questions and the answers provided by financial and statistical theory, the book also addresses the needs of applied researchers employed by financial institutions.

Computational Methods for the Study of Dynamic Economies

European Economic Association. Summer School
Computational Methods for the Study of Dynamic Economies Book PDF

Author : European Economic Association. Summer School
Publisher : Oxford University Press
Page : 293 pages
File Size : 41,5 Mb
Release : 1999-03-04
Category : Business & Economics
ISBN : 9780198294979

Get Book

Computational Methods for the Study of Dynamic Economies by European Economic Association. Summer School Pdf

This volume brings together leading contributors in the field of macroeconomics who explain how to implement the computational techniques needed to solve dynamic economics models. The contributors cover a broad range of techniques.

Adaptive Markets

Andrew W. Lo
Adaptive Markets Book PDF

Author : Andrew W. Lo
Publisher : Princeton University Press
Page : 504 pages
File Size : 41,6 Mb
Release : 2019-05-14
Category : Business & Economics
ISBN : 9780691196800

Get Book

Adaptive Markets by Andrew W. Lo Pdf

A new, evolutionary explanation of markets and investor behavior Half of all Americans have money in the stock market, yet economists can’t agree on whether investors and markets are rational and efficient, as modern financial theory assumes, or irrational and inefficient, as behavioral economists believe. The debate is one of the biggest in economics, and the value or futility of investment management and financial regulation hangs on the answer. In this groundbreaking book, Andrew Lo transforms the debate with a powerful new framework in which rationality and irrationality coexist—the Adaptive Markets Hypothesis. Drawing on psychology, evolutionary biology, neuroscience, artificial intelligence, and other fields, Adaptive Markets shows that the theory of market efficiency is incomplete. When markets are unstable, investors react instinctively, creating inefficiencies for others to exploit. Lo’s new paradigm explains how financial evolution shapes behavior and markets at the speed of thought—a fact revealed by swings between stability and crisis, profit and loss, and innovation and regulation. An ambitious new answer to fundamental questions about economics and investing, Adaptive Markets is essential reading for anyone who wants to understand how markets really work.

Empirical Asset Pricing

Wayne Ferson
Empirical Asset Pricing Book PDF

Author : Wayne Ferson
Publisher : MIT Press
Page : 497 pages
File Size : 54,6 Mb
Release : 2019-03-12
Category : Business & Economics
ISBN : 9780262039376

Get Book

Empirical Asset Pricing by Wayne Ferson Pdf

An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.