Option-Implied Risk-Neutral Distributions and Risk Aversion PDF Download
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Author: Jens Carsten Jackwerth
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Jens Carsten Jackwerth
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Jian Chen
Publisher: Springer
ISBN: 9811074283
Category : Business & Economics
Languages : en
Pages : 163
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Book Description
This book mainly addresses the general equilibrium asset pricing method in two aspects: option pricing and variance risk premium. First, volatility smile and smirk is the famous puzzle in option pricing. Different from no arbitrage method, this book applies the general equilibrium approach in explaining the puzzle. In the presence of jump, investors impose more weights on the jump risk than the volatility risk, and as a result, investors require more jump risk premium which generates a pronounced volatility smirk. Second, based on the general equilibrium framework, this book proposes variance risk premium and empirically tests its predictive power for international stock market returns.
Author: Áron Gereben
Publisher:
ISBN:
Category : Dollar, New Zealand
Languages : en
Pages : 32
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Book Description
Author: Yacine Ait-Sahalia
Publisher: Elsevier
ISBN: 0080929842
Category : Business & Economics
Languages : en
Pages : 809
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Book Description
This collection of original articles—8 years in the making—shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Aït-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume. - Presents a broad survey of current research—from local characterizations of the Markov process dynamics to financial market trading activity - Contributors include Nobel Laureate Robert Engle and leading econometricians - Offers a clarity of method and explanation unavailable in other financial econometrics collections
Author: Mark Watson
Publisher: Oxford University Press
ISBN: 0199549494
Category : Business & Economics
Languages : en
Pages : 432
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Book Description
A volume that celebrates and develops the work of Nobel Laureate Robert Engle, it includes original contributions from some of the world's leading econometricians that further Engle's work in time series economics
Author: W. Hildenbrand
Publisher: Elsevier
ISBN: 1483275264
Category : Business & Economics
Languages : en
Pages : 228
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Book Description
Advanced Textbooks in Economics, Volume 6: Introduction to Equilibrium Analysis: Variations on Themes by Edgeworth and Walras focuses on the approaches developed and instituted by Edgeworth and Walras in the study of equilibrium analysis. The book first underscores exchange economies, core of a game, and large economies. Discussions focus on economies with a continuum of agents, Walras equilibrium, prices and demand, balancedness, and commodity space. The manuscript then ponders on limit theorems for the core and existence of competitive equilibria. Topics include equilibria without convexity of preferences, existence of equilibria for economies with convex preferences, individual demand, emergence of prices, asymptotic equal treatment for most, uniform boundedness of core allocations, and limit theorems for type and replica economies. The publication examines continuous, upper, and lower hemi-continuous correspondences, fixed point theorems, and separation of convex sets. The book is a vital source of data for economists and researchers interested in equilibrium analysis.
Author: Marek Dabrowski
Publisher: Springer Science & Business Media
ISBN: 9781402071508
Category : Business & Economics
Languages : en
Pages : 328
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Book Description
Dabrowski (Center for Social and Economic Research, Warsaw, Poland) presents eight comparative papers from a research project carried by his organization between October 1999 and September 2001. The papers examine theoretical models and causes of currency crises; discuss issues of crisis management and the contagion effect; and explore social and political consequences of currency crises. Also included are case studies of 1990s currency crises in Bulgaria, the Czech Republic, Russia, Ukraine, and Moldova. Annotation 2004 Book News, Inc., Portland, OR (booknews.com).
Author: Fabrice D. Rouah
Publisher: John Wiley & Sons
ISBN: 1118429206
Category : Business & Economics
Languages : en
Pages : 456
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Book Description
This comprehensive guide offers traders, quants, and students the tools and techniques for using advanced models for pricing options. The accompanying website includes data files, such as options prices, stock prices, or index prices, as well as all of the codes needed to use the option and volatility models described in the book. Praise for Option Pricing Models & Volatility Using Excel-VBA "Excel is already a great pedagogical tool for teaching option valuation and risk management. But the VBA routines in this book elevate Excel to an industrial-strength financial engineering toolbox. I have no doubt that it will become hugely successful as a reference for option traders and risk managers." —Peter Christoffersen, Associate Professor of Finance, Desautels Faculty of Management, McGill University "This book is filled with methodology and techniques on how to implement option pricing and volatility models in VBA. The book takes an in-depth look into how to implement the Heston and Heston and Nandi models and includes an entire chapter on parameter estimation, but this is just the tip of the iceberg. Everyone interested in derivatives should have this book in their personal library." —Espen Gaarder Haug, option trader, philosopher, and author of Derivatives Models on Models "I am impressed. This is an important book because it is the first book to cover the modern generation of option models, including stochastic volatility and GARCH." —Steven L. Heston, Assistant Professor of Finance, R.H. Smith School of Business, University of Maryland
Author: William N. Goetzmann
Publisher: Oxford University Press
ISBN: 0199881979
Category : Business & Economics
Languages : en
Pages : 568
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Book Description
What is the return to investing in the stock market? Can we predict future stock market returns? How have equities performed over the last two centuries? The authors in this volume are among the leading researchers in the study of these questions. This book draws upon their research on the stock market over the past two dozen years. It contains their major research articles on the equity risk premium and new contributions on measuring, forecasting, and timing stock market returns, together with new interpretive essays that explore critical issues and new research on the topic of stock market investing. This book is aimed at all readers interested in understanding the empirical basis for the equity risk premium. Through the analysis and interpretation of two scholars whose research contributions have been key factors in the modern debate over stock market perfomance, this volume engages the reader in many of the key issues of importance to investors. How large is the premium? Is history a reliable guide to predict future equity returns? Does the equity and cash flows of the market? Are global equity markets different from those in the United States? Do emerging markets offer higher or lower equity risk premia? The authors use the historical performance of the world's stock markets to address these issues.
Author: Stephen A. Ross
Publisher: Princeton University Press
ISBN: 1400830206
Category : Business & Economics
Languages : en
Pages : 120
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Book Description
Neoclassical Finance provides a concise and powerful account of the underlying principles of modern finance, drawing on a generation of theoretical and empirical advances in the field. Stephen Ross developed the no arbitrage principle, tying asset pricing to the simple proposition that there are no free lunches in financial markets, and jointly with John Cox he developed the related concept of risk-neutral pricing. In this book Ross makes a strong case that these concepts are the fundamental pillars of modern finance and, in particular, of market efficiency. In an efficient market prices reflect the information possessed by the market and, as a consequence, trading schemes using commonly available information to beat the market are doomed to fail. By stark contrast, the currently popular stance offered by behavioral finance, fueled by a number of apparent anomalies in the financial markets, regards market prices as subject to the psychological whims of investors. But without any appeal to psychology, Ross shows that neoclassical theory provides a simple and rich explanation that resolves many of the anomalies on which behavioral finance has been fixated. Based on the inaugural Princeton Lectures in Finance, sponsored by the Bendheim Center for Finance of Princeton University, this elegant book represents a major contribution to the ongoing debate on market efficiency, and serves as a useful primer on the fundamentals of finance for both scholars and practitioners.
