Reverse Engineering The Yield Curve
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Reverse Engineering The Yield Curve
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Author : David K. Backus
language : en
Publisher:
Release Date : 1994
Reverse Engineering The Yield Curve written by David K. Backus and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Options (Finance). categories.
Prices of riskfree bonds in any arbitrage-free environment are governed by a pricing kernel: given a kernel, we can compute prices of bonds of any maturity we like. We use observed prices of multi-period bonds to estimate, in a log-linear theoretical setting, the pricing kernel that gave rise to them. The high-order dynamics of our estimated kernel help to explain why first-order, one-factor models of the term structure have had difficulty reconciling the shape of the yield curve with the persistence of the short rate. We use the estimated kernel to provide a new perspective on Hansen-Jagannathan bounds, the price of risk, and the pricing of bond options and futures.
Financial Engineering And Computation
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Author : Yuh-Dauh Lyuu
language : en
Publisher: Cambridge University Press
Release Date : 2001-11-12
Financial Engineering And Computation written by Yuh-Dauh Lyuu 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 2001-11-12 with Mathematics categories.
Students and professionals intending to work in any area of finance must master not only advanced concepts and mathematical models but also learn how to implement these models computationally. This comprehensive text, first published in 2002, combines the theory and mathematics behind financial engineering with an emphasis on computation, in keeping with the way financial engineering is practised in capital markets. Unlike most books on investments, financial engineering, or derivative securities, the book starts from very basic ideas in finance and gradually builds up the theory. It offers a thorough grounding in the subject for MBAs in finance, students of engineering and sciences who are pursuing a career in finance, researchers in computational finance, system analysts, and financial engineers. Along with the theory, the author presents numerous algorithms for pricing, risk management, and portfolio management. The emphasis is on pricing financial and derivative securities: bonds, options, futures, forwards, interest rate derivatives, mortgage-backed securities, bonds with embedded options, and more.
Recursive Macroeconomic Theory Fourth Edition
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Author : Lars Ljungqvist
language : en
Publisher: MIT Press
Release Date : 2018-09-11
Recursive Macroeconomic Theory Fourth Edition written by Lars Ljungqvist and has been published by MIT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-09-11 with Business & Economics categories.
The substantially revised fourth edition of a widely used text, offering both an introduction to recursive methods and advanced material, mixing tools and sample applications. Recursive methods provide powerful ways to pose and solve problems in dynamic macroeconomics. Recursive Macroeconomic Theory offers both an introduction to recursive methods and more advanced material. Only practice in solving diverse problems fully conveys the advantages of the recursive approach, so the book provides many applications. This fourth edition features two new chapters and substantial revisions to other chapters that demonstrate the power of recursive methods. One new chapter applies the recursive approach to Ramsey taxation and sharply characterizes the time inconsistency of optimal policies. These insights are used in other chapters to simplify recursive formulations of Ramsey plans and credible government policies. The second new chapter explores the mechanics of matching models and identifies a common channel through which productivity shocks are magnified across a variety of matching models. Other chapters have been extended and refined. For example, there is new material on heterogeneous beliefs in both complete and incomplete markets models; and there is a deeper account of forces that shape aggregate labor supply elasticities in lifecycle models. The book is suitable for first- and second-year graduate courses in macroeconomics. Most chapters conclude with exercises; many exercises and examples use Matlab or Python computer programming languages.
Reverse Engineering
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Author : Wego Wang
language : en
Publisher: CRC Press
Release Date : 2010-09-16
Reverse Engineering written by Wego Wang and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-09-16 with Technology & Engineering categories.
The process of reverse engineering has proven infinitely useful for analyzing Original Equipment Manufacturer (OEM) components to duplicate or repair them, or simply improve on their design. A guidebook to the rapid-fire changes in this area, Reverse Engineering: Technology of Reinvention introduces the fundamental principles, advanced methodologie
Handbook Of Economic Forecasting
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Author : Graham Elliott
language : en
Publisher: Elsevier
Release Date : 2013-10-24
Handbook Of Economic Forecasting written by Graham Elliott and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-10-24 with Business & Economics categories.
The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. Focuses on innovation in economic forecasting via industry applications Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications Makes details about economic forecasting accessible to scholars in fields outside economics
Difficult Art Of Eliciting Long Run Inflation Expectations From Government Bond Prices
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Author : Carlos Enrique Zarazaga
language : en
Publisher: DIANE Publishing
Release Date : 2010-11
Difficult Art Of Eliciting Long Run Inflation Expectations From Government Bond Prices written by Carlos Enrique Zarazaga and has been published by DIANE Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-11 with Business & Economics categories.
Central banks are always concerned with keeping long-run inflation expectations well anchored at some implicit or explicit low target inflation rate. To that end, they are constantly on the lookout for indicators that can gauge those expectations accurately. One such indicator frequently reported in the specialized financial press and by central banks around the world is constructed with the forward rates technique, which exploits price differentials between government bonds of various maturities. This report examines the theory behind those indicators and assesses the extent to which they can be trusted in practice. Charts and tables.
Reverse Engineering
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Author : A.C. Telea
language : en
Publisher: BoD – Books on Demand
Release Date : 2012-03-07
Reverse Engineering written by A.C. Telea and has been published by BoD – Books on Demand this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-03-07 with Computers categories.
Reverse engineering encompasses a wide spectrum of activities aimed at extracting information on the function, structure, and behavior of man-made or natural artifacts. Increases in data sources, processing power, and improved data mining and processing algorithms have opened new fields of application for reverse engineering. In this book, we present twelve applications of reverse engineering in the software engineering, shape engineering, and medical and life sciences application domains. The book can serve as a guideline to practitioners in the above fields to the state-of-the-art in reverse engineering techniques, tools, and use-cases, as well as an overview of open challenges for reverse engineering researchers.
Global Derivative Debacles
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Author : Laurent L Jacque
language : en
Publisher: World Scientific
Release Date : 2015-05-28
Global Derivative Debacles written by Laurent L Jacque and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-05-28 with Business & Economics categories.
This book analyzes in depth all major derivatives debacles of the last half century including the multi-billion losses and/or bankruptcy of Metallgesellschaft (1994), Barings Bank (1995), Long Term Capital Management (1998), Amaranth (2006), Société Générale (2008) , AIG (2008) and JP Morgan-Chase (2012). It unlocks the secrets of derivatives by telling the stories of institutions which played in the derivative market and lost big. For some of these unfortunate organizations it was daring but flawed financial engineering which brought them havoc. For others it was unbridled speculation perpetrated by rogue traders whose unchecked fraud brought their house down. Should derivatives be feared "as financial weapons of mass destruction" or hailed as financial innovations which through efficient risk transfer are truly adding to the Wealth of Nations? By presenting a factual analysis of how the malpractice of derivatives played havoc with derivative end-user and dealer institutions, a case is made for vigilance not only to market and counter-party risk but also operational risk in their use for risk management and proprietary trading. Clear and recurring lessons across the different stories in this volume call not only for a tighter but also "smarter" control system of derivatives trading and should be of immediate interest to financial managers, bankers, traders, auditors and regulators who are directly or indirectly exposed to financial derivatives. The book groups cases by derivative category, starting with the simplest and building up to the most complex — namely, Forwards, Futures, Options and Swaps in that order, with applications in commodities, foreign exchange, stock indices and interest rates. Each chapter deals with one derivative debacle, providing a rigorous and comprehensive but non-technical elucidation of what happened. What is new in the second edition? A new chapter on JP Morgan-Chase's London Whale, an in-depth discussion of credit-default swaps, and an update of the revamped regulatory framework with Basel 2.5 and Basel III against the backdrop of the Euro crisis, along with a revised and expanded discussion of the AIG debacle. Contents:Derivatives and the Wealth of NationsForwards:Showa Shell Sekiyu K KCitibank's Forex LossesBank Negara MalaysiaFutures:Amaranth Advisors LLCMetallgesellschaftSumitomoOptions: Allied LyonsAllied Irish BanksBaringsSociété GénéraleSwaps:Procter & GambleGibson Greeting CardsOrange CountyLong-Term Capital ManagementAIGJP Morgan Chase London WhaleFrom Theory to Malpractice: Lessons Learned Readership: Economists; undergraduates and graduates majoring in finance, economics and business administration; professionals, financial managers and CPAs in the financial service industry. Key Features:Includes simple graphs or numerical illustrations to enhance readers' understanding of the complex world of derivatives and financial engineering step-by-step, story-by-storyUses actual case studies to introduce college students, finance professionals and general readers to the world of high finance which shapes their day-to-day livesDemystifies the mysterious world of financial derivativesBrings alive difficult concepts by profiling the protagonists in each debacle and the corporate setting within which the derivative debacle unfoldedProvides a glossary of key concepts to discuss the respective derivatives product, how it is valued, trading strategies, and the workings of the market where it is tradedKeywords:Derivatives;Debacles;Options;Swaps;Futures;Forwards;Financial Engineering;Market Manipulation;Rogue Traders;Speculation;London WhaleReview: Reviews of the First Edition: “This timely and well-written book is a ‘must read’ for anyone directly or indirectly involved in financial markets and instruments as well as risk management. By telling actual stories of how rogue traders and incompetent managers put their firms at risk, the author demystifies the complex world of financial derivatives. His incisive and in-depth analysis of all major derivatives debacles should help the reader understand what happened and avoid future disasters.” Gabriel Hawawini The Henry Grunfeld Professor of Investment Banking INSEAD “The author has written a book whose clarity makes it accessible to a wide range of practitioners and executives, and he brings the technical subject matter to life through the concrete examples of the highest profile failures in the use of derivatives” B Craig Owens Senior Vice President and Chief Financial Officer Campbell Soup “The book is a timely contribution to a subject that has been at the epicenter of the current financial crisis … Learning from past mistakes and applying the lessons is what sets this book apart and should make it a useful guide for practitioners.” Dr Oliver S Kratz Head of Global Thematic Equities Deutsche Bank
Financial Innovation
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Author : Michael Haliassos
language : en
Publisher: MIT Press
Release Date : 2013
Financial Innovation written by Michael Haliassos and has been published by MIT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Business & Economics categories.
Prominent economists consider the role of financial innovation in economic crises.
Handbook Of The Economics Of Finance
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Author : George M. Constantinides
language : en
Publisher: Newnes
Release Date : 2013-02-08
Handbook Of The Economics Of Finance written by George M. Constantinides and has been published by Newnes this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-02-08 with Business & Economics categories.
The 12 articles in this second of two parts condense recent advances on investment vehicles, performance measurement and evaluation, and risk management into a coherent springboard for future research. Written by world leaders in asset pricing research, they present scholarship about the 2008 financial crisis in contexts that highlight both continuity and divergence in research. For those who seek authoritative perspectives and important details, this volume shows how the boundaries of asset pricing have expanded and at the same time have grown sharper and more inclusive. Offers analyses by top scholars of recent asset pricing scholarship Explains how the 2008 financial crises affected theoretical and empirical research Covers core and newly developing fields