An Alternative Dynamic Asset Pricing Model
DOWNLOAD
Download An Alternative Dynamic Asset Pricing Model PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get An Alternative Dynamic Asset Pricing Model book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
An Alternative Dynamic Asset Pricing Model
DOWNLOAD
Author : Sung-Sup Choi
language : en
Publisher:
Release Date : 1991
An Alternative Dynamic Asset Pricing Model written by Sung-Sup Choi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with categories.
Dynamic Asset Allocation With Forwards And Futures
DOWNLOAD
Author : Abraham Lioui
language : en
Publisher: Springer Science & Business Media
Release Date : 2005-12-06
Dynamic Asset Allocation With Forwards And Futures written by Abraham Lioui and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-12-06 with Business & Economics categories.
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.
Alternative Dynamic Capital Asset Pricing Models
DOWNLOAD
Author : Chiung-Min Tsai
language : en
Publisher:
Release Date : 2005
Alternative Dynamic Capital Asset Pricing Models written by Chiung-Min Tsai and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
Dynamic Asset Pricing Theory
DOWNLOAD
Author : Darrell Duffie
language : en
Publisher: Princeton University Press
Release Date : 2010-01-27
Dynamic Asset Pricing Theory written by Darrell Duffie and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-01-27 with Business & Economics categories.
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.
Dynamic Asset Pricing Theory
DOWNLOAD
Author : Darrell Duffie
language : en
Publisher: Princeton University Press
Release Date : 2001-10-21
Dynamic Asset Pricing Theory written by Darrell Duffie and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001-10-21 with Business & Economics categories.
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.
Alternative Capital Asset Pricing Models
DOWNLOAD
Author : Attiya Y. Javed
language : en
Publisher:
Release Date : 2000
Alternative Capital Asset Pricing Models written by Attiya Y. Javed and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Capital assets pricing model categories.
Empirical Dynamic Asset Pricing
DOWNLOAD
Author : Kenneth J. Singleton
language : en
Publisher:
Release Date : 2006
Empirical Dynamic Asset Pricing written by Kenneth J. Singleton and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with BUSINESS & ECONOMICS categories.
Empirical Dynamic Asset Pricing
DOWNLOAD
Author : Kenneth J. Singleton
language : en
Publisher: Princeton University Press
Release Date : 2009-12-13
Empirical Dynamic Asset Pricing written by Kenneth J. Singleton and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-12-13 with Business & Economics categories.
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.
A Dynamic Asset Pricing Model With Asymmetric Information
DOWNLOAD
Author : Jürgen Dennert
language : en
Publisher:
Release Date : 1990
A Dynamic Asset Pricing Model With Asymmetric Information written by Jürgen Dennert and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with categories.
Dynamic Factors And Asset Pricing
DOWNLOAD
Author : Zhongzhi Lawrence He
language : en
Publisher:
Release Date : 2008
Dynamic Factors And Asset Pricing written by Zhongzhi Lawrence He and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
This study develops an econometric model that incorporates features of price dynamics across assets as well as through time. With the dynamic factors extracted via the Kalman filter, we formulate an asset-pricing model, termed as the dynamic factor pricing model (DFPM). We then conduct asset-pricing tests in the in-sample and out-of-sample contexts. Our analyses show that the ex ante factors are a key component in asset pricing and forecasting. By using the ex ante factors, the DFPM improves upon the explanatory and predictive power of other competing models, including unconditional and conditional versions of the Fama and French (1993) three-factor model. In particular, the DFPM can explain and better forecast the momentum portfolio returns, which are mostly missed by other alternative models.