Dynamic Arbitrage-free Asset Pricing with Proportional Transaction Costs PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Dynamic Arbitrage-free Asset Pricing with Proportional Transaction Costs PDF full book. Access full book title Dynamic Arbitrage-free Asset Pricing with Proportional Transaction Costs by Xiaotie Deng. Download full books in PDF and EPUB format.
Author: Xiaotie Deng
Publisher: London : Department of Economics, University of Western Ontario
ISBN:
Category : Arbitrage
Languages : en
Pages : 24
Get Book Here
Book Description
Author: Xiaotie Deng
Publisher: London : Department of Economics, University of Western Ontario
ISBN:
Category : Arbitrage
Languages : en
Pages : 24
Get Book Here
Book Description
Author: Ming-Yang Kao
Publisher: Springer Science & Business Media
ISBN: 0387307702
Category : Computers
Languages : en
Pages : 1200
Get Book Here
Book Description
One of Springer’s renowned Major Reference Works, this awesome achievement provides a comprehensive set of solutions to important algorithmic problems for students and researchers interested in quickly locating useful information. This first edition of the reference focuses on high-impact solutions from the most recent decade, while later editions will widen the scope of the work. All entries have been written by experts, while links to Internet sites that outline their research work are provided. The entries have all been peer-reviewed. This defining reference is published both in print and on line.
Author: Darrell Duffie
Publisher: Princeton University Press
ISBN: 1400829208
Category : Business & Economics
Languages : en
Pages : 488
Get Book Here
Book Description
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.
Author: Albert Tavidze
Publisher: Nova Publishers
ISBN: 9781590338001
Category : Business & Economics
Languages : en
Pages : 224
Get Book Here
Book Description
This series spans the globe presenting leading research in economics. Perhaps it is a sign of the times that economic weapons such as sanctions seem to be as powerful as or more so than tanks. International applications and examples of economic progress are invaluable in a troubled world with economic booms bursting like so many penny balloons. Intra-industry Trade; Extending Brand Equity: The Role of Goal Congruence; Foreign Direct Investment and Dissemination of Job Opening Information in China; Testing Asymmetry in a Cointegrated-VAR-Based Labor Demand Model: Italian Evidence; Negative Externality, Tacit Bargaining and Cigarette Demand: The Case of Environmental Tobacco Smoke in Japan; Does Audit Quality Influence Post-IPO Survival?; Dynamic Arbitrage-free Asset Pricing with Proportional Transaction Costs; Knowledge Structure, Technical Progress, and Underdevelopment Trap; Paternalistic Altruism, Life-Cycle Hypothesis, and the Ricardian Equivalence; Three Approaches to Multi-dimensional Screening; Index.
Author: Yuri Kabanov
Publisher: Springer Science & Business Media
ISBN: 3540681213
Category : Business & Economics
Languages : en
Pages : 306
Get Book Here
Book Description
The book is the first monograph on this highly important subject.
Author: Yakov Amihud
Publisher: Now Publishers Inc
ISBN: 1933019123
Category : Business & Economics
Languages : en
Pages : 109
Get Book Here
Book Description
Liquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.
Author: Tomas Björk
Publisher: OUP Oxford
ISBN: 0191610291
Category : Business & Economics
Languages : en
Pages : 600
Get Book Here
Book Description
The third edition of this popular introduction to the classical underpinnings of the mathematics behind finance continues to combine sound mathematical principles with economic applications. Concentrating on the probabilistic theory of continuous arbitrage pricing of financial derivatives, including stochastic optimal control theory and Merton's fund separation theory, the book is designed for graduate students and combines necessary mathematical background with a solid economic focus. It includes a solved example for every new technique presented, contains numerous exercises, and suggests further reading in each chapter. In this substantially extended new edition Bjork has added separate and complete chapters on the martingale approach to optimal investment problems, optimal stopping theory with applications to American options, and positive interest models and their connection to potential theory and stochastic discount factors. More advanced areas of study are clearly marked to help students and teachers use the book as it suits their needs.
Author: John Y. Campbell
Publisher: OUP Oxford
ISBN: 019160691X
Category : Business & Economics
Languages : en
Pages : 272
Get Book Here
Book Description
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.
Author: Nimrod Megiddo
Publisher: Springer Science & Business Media
ISBN: 3540262245
Category : Computers
Languages : en
Pages : 496
Get Book Here
Book Description
This book constitutes the refereed proceedings of the First International Conference on Algorithmic Applications in Management, AAIM 2005, held in Xian, China in June 2005. The 46 revised full papers presented together with abstracts of 2 invited talks were carefully reviewed and selected from 140 submissions. Among the topics addressed are approximation, complexity, automatic timetabling, scheduling algorithms, game-theoretic algorithms, economic equilibrium computation, graph computations, network algorithms, computational geometry, combinatorial optimization, sequencing, network management, data mining, Knapsack problems, etc.
Author: Claus Munk
Publisher: Oxford University Press, USA
ISBN: 0199585490
Category : Business & Economics
Languages : en
Pages : 598
Get Book Here
Book Description
The book presents models for the pricing of financial assets such as stocks, bonds, and options. The models are formulated and analyzed using concepts and techniques from mathematics and probability theory. It presents important classic models and some recent 'state-of-the-art' models that outperform the classics.
