Mean Reversion And Consumption Smoothing
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Mean Reversion And Consumption Smoothing
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Author : Fischer Black
language : en
Publisher:
Release Date : 1989
Mean Reversion And Consumption Smoothing written by Fischer Black and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Consumption (Economics) categories.
Using a simple conventional model with additive separable utility and constant elasticity, we can explain mean reversion and consumption smoothing. The model uses the price of risk and wealth as state variables, but has only one stochastic variable. The price of risk rises temporarily as wealth falls. We also distinguish between risk aversion and the consumption elasticity of marginal utility. We can use the model to match estimates of the average values of consumption volatility, wealth volatility, mean reversion, the growth rate of consumption, the real interest rate, and the market risk premium.
An Equilibrium Theory Of Excess Volatility And Mean Reversion In Stock Prices
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Author : Alan J. Marcus
language : en
Publisher:
Release Date : 1989
An Equilibrium Theory Of Excess Volatility And Mean Reversion In Stock Prices written by Alan J. Marcus and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with categories.
An Equilibrium Theory Of Excess Volatility And Mean Reversion In Stock Market Prices
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Author : Alan J. Marcus
language : en
Publisher:
Release Date : 1989
An Equilibrium Theory Of Excess Volatility And Mean Reversion In Stock Market Prices written by Alan J. Marcus and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Efficient market theory categories.
Apparent mean reversion and excess volatility in stock market prices can be reconciled with the Efficient Market Hypothesis by specifying investor preferences that give rise to the demand for portfolio insurance. Therefore, several supposed macro anomalies can be shown to be consistent with a rational market in a simple and parsimonious model of the economy. Unlike other models that have derived equilibrium mean reversion in prices, the model in this paper does not require that the production side of the economy exhibit mean reversion. It also predicts that mean reversion and excess volatility will differ substantially across subperiods.
Volatility Surface And Term Structure
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Author : Kin Keung Lai
language : en
Publisher: Routledge
Release Date : 2013-09-11
Volatility Surface And Term Structure written by Kin Keung Lai and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-09-11 with Business & Economics categories.
This book provides different financial models based on options to predict underlying asset price and design the risk hedging strategies. Authors of the book have made theoretical innovation to these models to enable the models to be applicable to real market. The book also introduces risk management and hedging strategies based on different criterions. These strategies provide practical guide for real option trading. This book studies the classical stochastic volatility and deterministic volatility models. For the former, the classical Heston model is integrated with volatility term structure. The correlation of Heston model is considered to be variable. For the latter, the local volatility model is improved from experience of financial practice. The improved local volatility surface is then used for price forecasting. VaR and CVaR are employed as standard criterions for risk management. The options trading strategies are also designed combining different types of options and they have been proven to be profitable in real market. This book is a combination of theory and practice. Users will find the applications of these financial models in real market to be effective and efficient.
Stochastic Analysis And Applications To Finance
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Author : Tusheng Zhang
language : en
Publisher: World Scientific
Release Date : 2012
Stochastic Analysis And Applications To Finance written by Tusheng Zhang and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Business & Economics categories.
A collection of solicited and refereed articles from distinguished researchers across the field of stochastic analysis and its application to finance. It covers the topics ranging from Markov processes, backward stochastic differential equations, stochastic partial differential equations, and stochastic control, to risk measure and risk theory.
Intertemporal Asset Pricing
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Author : Bernd Meyer
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Intertemporal Asset Pricing written by Bernd Meyer 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 2012-12-06 with Business & Economics categories.
In the mid-eighties Mehra and Prescott showed that the risk premium earned by American stocks cannot reasonably be explained by conventional capital market models. Using time additive utility, the observed risk pre mium can only be explained by unrealistically high risk aversion parameters. This phenomenon is well known as the equity premium puzzle. Shortly aft erwards it was also observed that the risk-free rate is too low relative to the observed risk premium. This essay is the first one to analyze these puzzles in the German capital market. It starts with a thorough discussion of the available theoretical mod els and then goes on to perform various empirical studies on the German capital market. After discussing natural properties of the pricing kernel by which future cash flows are translated into securities prices, various multi period equilibrium models are investigated for their implied pricing kernels. The starting point is a representative investor who optimizes his invest ment and consumption policy over time. One important implication of time additive utility is the identity of relative risk aversion and the inverse in tertemporal elasticity of substitution. Since this identity is at odds with reality, the essay goes on to discuss recursive preferences which violate the expected utility principle but allow to separate relative risk aversion and intertemporal elasticity of substitution.
Global Stock Markets
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Author : Wolfgang Drobetz
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-06-29
Global Stock Markets written by Wolfgang Drobetz 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 2013-06-29 with Business & Economics categories.
Wolfgang Drobetz provides empirical evidence on the time variation of expected stock returns over the stages of the business cycle.
Fischer Black And The Revolutionary Idea Of Finance
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Author : Perry Mehrling
language : en
Publisher: John Wiley & Sons
Release Date : 2011-11-30
Fischer Black And The Revolutionary Idea Of Finance written by Perry Mehrling and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-11-30 with Business & Economics categories.
praise for FISCHER BLACK AND THE REVOLUTIONARY IDEA OF FINANCE "The story of Fischer Black. . . . is remarkable both because of the creativity of the man and because of the revolution he brought to Wall Street. . . . Mehrling's book is fascinating." FINANCIAL TIMES "A fascinating history of things we take for granted in our everyday financial lives." THE NEW YORK TIMES "Mehrling's book is essential reading for anyone interested in the development of modern finance or the life of an idiosyncratic creative genius." PUBLISHERS WEEKLY "Fischer Black was more than a vital force in the development of finance theory. He was also a character. Perry Mehrling has captured both sides of the picture: the evolution of thinking about the pricing of risk and time, as well as the thinkers, especially this fascinating eccentric, who worked it out." ROBERT M. SOWLO, Nobel laureate and Institute Professor of Economics, Emeritus, Massachusetts Institute of Technology "Although I worked closely with Fischer for nine years at Goldman Sachs and clearly recognized both his genius and the breadth and originality of his ideas, until I read this book, I had only the vaguest grasp of the source of his inspiration and no understanding at all of the source of his many idiosyncrasies." BOB LITTERMAN, Partner, Kepos Capital "Perry Mehrling has done a remarkable job of tracing the intellectual and personal development of one of the most original and complex thinkers of our generation. Fischer Black deserved it: a charming and brilliant book about a charming and brilliant man." ROBERT E. LUCAS JR., Nobel laureate and Professor of Economics, The University of Chicago
The Legacy Of Fischer Black
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Author : Bruce N. Lehmann
language : en
Publisher: Oxford University Press
Release Date : 2005
The Legacy Of Fischer Black written by Bruce N. Lehmann and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Business & Economics categories.
Annotation 1. Fischer Black on Valuation: The CAPM in General Equilibrium, Bruce N. Lehmann2. Fischer Black's Contributions to Corporate Finance, Stewart C. Myers3. Crisis and Risk Management, Myron S. Scholes4. Hot Spots and Hedges, Robert Litterman5. Markets for Agents: Fund Management, Stephen A. Ross6. Recovering Probabilities and Risk Aversion from Options Prices and Realized Returns, Mark Rubinstein and Jens Jackwerth7. Cross-Sectional Determinants of Expected Returns, Michael Brennan, Tarun Chordia, and Avanidhar Subrahmanyam8. On Cross-Sectional Determinants of Expected Returns, Bruce N. Lehmann9. Exploring a Two-Factor Markovian, Lognormal Model of the Term Structure of Interest Rates, Scott F. Richard10. Convexity of Empirical Option Costs of Mortgage Securities, Douglas T. Breeden11. The Supply and Demand of Immediacy: Evidence from the NYSE, Roger D. Huang and Hans R. Stoll12. Black, Merton, and Scholes - Their Central Contribution to Economics, Darrell DuffieIndex.
Behavioural Finance For Private Banking
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Author : Thorsten Hens
language : en
Publisher: John Wiley & Sons
Release Date : 2011-07-05
Behavioural Finance For Private Banking written by Thorsten Hens and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-07-05 with Business & Economics categories.
A complete framework for applications of behavioral finance in private banking, Behavioural Finance for Private Banking considers client needs specific to private banking like personal circumstances, objectives, and attitude to risk. This book includes the theoretical foundations of investment decision-making, an introduction to behavioral biases, an explanation of cultural differences in global business, a guide to asset allocation over the life cycle of the investment, and several case studies to illustrate how can be applied. A must-read for anyone in private banking, this book demonstrates how to satisfy client needs.