Effects Of Financial Innovations On Market Volatility When Beliefs Are Heterogenous
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Effects Of Financial Innovations On Market Volatility When Beliefs Are Heterogenous
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Author : Fernando Zapatero
language : en
Publisher:
Release Date : 1994
Effects Of Financial Innovations On Market Volatility When Beliefs Are Heterogenous written by Fernando Zapatero and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with categories.
Effects Of Financial Innovations On Market Volatility When Beliefs Are Heterogeneous
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Author : Fernando Zapatero
language : en
Publisher:
Release Date : 1993
Effects Of Financial Innovations On Market Volatility When Beliefs Are Heterogeneous written by Fernando Zapatero and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Equilibrium (Economics) categories.
Handbook On Systemic Risk
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Author : Jean-Pierre Fouque
language : en
Publisher: Cambridge University Press
Release Date : 2013-05-23
Handbook On Systemic Risk written by Jean-Pierre Fouque and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-05-23 with Business & Economics categories.
The Handbook on Systemic Risk, written by experts in the field, provides researchers with an introduction to the multifaceted aspects of systemic risks facing the global financial markets. The Handbook explores the multidisciplinary approaches to analyzing this risk, the data requirements for further research, and the recommendations being made to avert financial crisis. The Handbook is designed to encourage new researchers to investigate a topic with immense societal implications as well as to provide, for those already actively involved within their own academic discipline, an introduction to the research being undertaken in other disciplines. Each chapter in the Handbook will provide researchers with a superior introduction to the field and with references to more advanced research articles. It is the hope of the editors that this Handbook will stimulate greater interdisciplinary academic research on the critically important topic of systemic risk in the global financial markets.
Financial Markets Theory
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Author : Emilio Barucci
language : en
Publisher: Springer
Release Date : 2017-06-08
Financial Markets Theory written by Emilio Barucci and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-06-08 with Mathematics categories.
This work, now in a thoroughly revised second edition, presents the economic foundations of financial markets theory from a mathematically rigorous standpoint and offers a self-contained critical discussion based on empirical results. It is the only textbook on the subject to include more than two hundred exercises, with detailed solutions to selected exercises. Financial Markets Theory covers classical asset pricing theory in great detail, including utility theory, equilibrium theory, portfolio selection, mean-variance portfolio theory, CAPM, CCAPM, APT, and the Modigliani-Miller theorem. Starting from an analysis of the empirical evidence on the theory, the authors provide a discussion of the relevant literature, pointing out the main advances in classical asset pricing theory and the new approaches designed to address asset pricing puzzles and open problems (e.g., behavioral finance). Later chapters in the book contain more advanced material, including on the role of information in financial markets, non-classical preferences, noise traders and market microstructure. This textbook is aimed at graduate students in mathematical finance and financial economics, but also serves as a useful reference for practitioners working in insurance, banking, investment funds and financial consultancy. Introducing necessary tools from microeconomic theory, this book is highly accessible and completely self-contained. Advance praise for the second edition: "Financial Markets Theory is comprehensive, rigorous, and yet highly accessible. With their second edition, Barucci and Fontana have set an even higher standard!"Darrell Duffie, Dean Witter Distinguished Professor of Finance, Graduate School of Business, Stanford University "This comprehensive book is a great self-contained source for studying most major theoretical aspects of financial economics. What makes the book particularly useful is that it provides a lot of intuition, detailed discussions of empirical implications, a very thorough survey of the related literature, and many completely solved exercises. The second edition covers more ground and provides many more proofs, and it will be a handy addition to the library of every student or researcher in the field."Jaksa Cvitanic, Richard N. Merkin Professor of Mathematical Finance, Caltech "The second edition of Financial Markets Theory by Barucci and Fontana is a superb achievement that knits together all aspects of modern finance theory, including financial markets microstructure, in a consistent and self-contained framework. Many exercises, together with their detailed solutions, make this book indispensable for serious students in finance."Michel Crouhy, Head of Research and Development, NATIXIS
Recent Advances In Financial Engineering
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Author : Masaaki Kijima
language : en
Publisher: World Scientific
Release Date : 2010
Recent Advances In Financial Engineering written by Masaaki Kijima and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Business & Economics categories.
This book consists of 11 papers based on research presented at the KIER-TMU International Workshop on Financial Engineering, held in Tokyo in 2009. The Workshop, organised by Kyoto University's Institute of Economic Research (KIER) and Tokyo Metropolitan University (TMU), is the successor to the Daiwa International Workshop on Financial Engineering held from 2004 to 2008 by Professor Kijima (the Chair of this Workshop) and his colleagues. Academic researchers and industry practitioners alike have presented the latest research on financial engineering at this international venue. These papers address state-of-the-art techniques in financial engineering, and have undergone a rigorous selection process to make this book a high-quality one. This volume will be of interest to academics, practitioners, and graduate students in the field of quantitative finance and financial engineering
New Facets Of Economic Complexity In Modern Financial Markets
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Author : Catherine Kyrtsou
language : en
Publisher: Routledge
Release Date : 2020-06-04
New Facets Of Economic Complexity In Modern Financial Markets written by Catherine Kyrtsou and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-06-04 with Business & Economics categories.
The book is motivated by the disruptions introduced by the financial crisis and the many attempts that have followed to propose new ideas and remedies. Assembling contributions by authors from a variety of backgrounds, this collection illustrates the potentials resulting from the marriage of financial economics, complexity theory and an out-of-equilibrium view of the economic world. Challenging the traditional hypotheses that lie behind financial market functioning, new evidence is provided about the hidden factors fuelling bubbles, the impact of agents’ heterogeneity, the importance of endogeneity in the information transmission mechanism, the dynamics of herding, the sources of volatility, the portfolio optimization techniques, the financial innovation and the trend identification in a nonlinear time-series framework. Presenting the advances made in financial market analysis, and putting emphasis on nonlinear dynamics, this book suggests interdisciplinary methodologies for the study of well-known stylised facts and financial abnormalities. This book was originally published as a special issue of The European Journal of Finance.
Behavioral Rationality And Heterogeneous Expectations In Complex Economic Systems
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Author : Cars Hommes
language : en
Publisher: Cambridge University Press
Release Date : 2013-01-24
Behavioral Rationality And Heterogeneous Expectations In Complex Economic Systems written by Cars Hommes and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-01-24 with Business & Economics categories.
Recognising that the economy is a complex system with boundedly rational interacting agents, the book presents a theory of behavioral rationality and heterogeneous expectations in complex economic systems and confronts the nonlinear dynamic models with empirical stylized facts and laboratory experiments. The complexity modeling paradigm has been strongly advocated since the late 1980s by some economists and by multidisciplinary scientists from various fields, such as physics, computer science and biology. More recently the complexity view has also drawn the attention of policy makers, who are faced with complex phenomena, irregular fluctuations and sudden, unpredictable market transitions. The complexity tools - bifurcations, chaos, multiple equilibria - discussed in this book will help students, researchers and policy makers to build more realistic behavioral models with heterogeneous expectations to describe financial market movements and macro-economic fluctuations, in order to better manage crises in a complex global economy.
Introduction To The Economics And Mathematics Of Financial Markets
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Author : Jaksa Cvitanic
language : en
Publisher: MIT Press
Release Date : 2004-02-27
Introduction To The Economics And Mathematics Of Financial Markets written by Jaksa Cvitanic and has been published by MIT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-02-27 with Business & Economics categories.
An innovative textbook for use in advanced undergraduate and graduate courses; accessible to students in financial mathematics, financial engineering and economics. Introduction to the Economics and Mathematics of Financial Markets fills the longstanding need for an accessible yet serious textbook treatment of financial economics. The book provides a rigorous overview of the subject, while its flexible presentation makes it suitable for use with different levels of undergraduate and graduate students. Each chapter presents mathematical models of financial problems at three different degrees of sophistication: single-period, multi-period, and continuous-time. The single-period and multi-period models require only basic calculus and an introductory probability/statistics course, while an advanced undergraduate course in probability is helpful in understanding the continuous-time models. In this way, the material is given complete coverage at different levels; the less advanced student can stop before the more sophisticated mathematics and still be able to grasp the general principles of financial economics. The book is divided into three parts. The first part provides an introduction to basic securities and financial market organization, the concept of interest rates, the main mathematical models, and quantitative ways to measure risks and rewards. The second part treats option pricing and hedging; here and throughout the book, the authors emphasize the Martingale or probabilistic approach. Finally, the third part examines equilibrium models—a subject often neglected by other texts in financial mathematics, but included here because of the qualitative insight it offers into the behavior of market participants and pricing.
Nonlinear Dynamics In Economics Finance And The Social Sciences
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Author : Gian Italo Bischi
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-12-15
Nonlinear Dynamics In Economics Finance And The Social Sciences written by Gian Italo Bischi 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 2009-12-15 with Business & Economics categories.
Over the last two decades there has been a great deal of research into nonlinear dynamic models in economics, finance and the social sciences. This book contains twenty papers that range over very recent applications in these areas. Topics covered include structural change and economic growth, disequilibrium dynamics and economic policy as well as models with boundedly rational agents. The book illustrates some of the most recent research tools in this area and will be of interest to economists working in economic dynamics and to mathematicians interested in seeing ideas from nonlinear dynamics and complexity theory applied to the economic sciences.
Paris Princeton Lectures On Mathematical Finance 2003
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Author : Tomasz R. Bielecki
language : en
Publisher: Springer
Release Date : 2004-08-30
Paris Princeton Lectures On Mathematical Finance 2003 written by Tomasz R. Bielecki and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-08-30 with Mathematics categories.
The Paris-Princeton Lectures in Financial Mathematics, of which this is the second volume, will, on an annual basis, publish cutting-edge research in self-contained, expository articles from outstanding - established or upcoming! - specialists. The aim is to produce a series of articles that can serve as an introductory reference for research in the field. It arises as a result of frequent exchanges between the finance and financial mathematics groups in Paris and Princeton. This volume presents the following articles: "Hedging of Defaultable Claims" by T. Bielecki, M. Jeanblanc, and M. Rutkowski; "On the Geometry of Interest Rate Models" by T. Björk; "Heterogeneous Beliefs, Speculation and Trading in Financial Markets" by J.A. Scheinkman, and W. Xiong.