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Author: Martin Mandler
Publisher: Springer Science & Business Media
ISBN: 3642574289
Category : Business & Economics
Languages : en
Pages : 227
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Book Description
This book is a slightly revised version of my doctoral dissertation which has been accepted by the Department of Economics and Business Administration of the Justus-Liebig-Universitat Giessen in July 2002. I am indebted to my advisor Prof. Dr. Volbert Alexander for encouraging and supporting my research. I am also grateful to the second member of the doctoral committee, Prof. Dr. Horst Rinne. Special thanks go to Dr. Ralf Ahrens for providing part of the data and to my colleague Carsten Lang, who spent much time reading the complete first draft. Wetzlar, January 2003 Martin Mandler Contents 1 Introduction. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 Part I Theoretical Foundations 2 Arbitrage Pricing and Risk-Neutral Probabilities........ .. 7 2.1 Arbitrage Pricing in the Black/Scholes-Merton Model... . . .. . 7 2.2 The Equivalent Martingale Measure and Risk-Neutral Valuation ............................................... 11 2.3 Extracting Risk-Neutral Probabilities from Option Prices. . . .. 13 2.4 Summary............................................... 15 Appendix 2A: The Valuation Function in the Black/Scholes-Merton Model .................................................. 16 Appendix 2B: Some Further Details on the Replication Strategy ... 21 3 Survey of the Related Literature .......................... 23 3.1 The Information Content of Forward and Futures Prices. . . .. . 24 3.2 The Information Content of Implied Volatilities ............. 25 3.2.1 Implied Volatilities and the Risk-Neutral Probability Density .......................................... 27 3.2.2 The Term Structure of Implied Volatilities. . . . . . . .. . . 29 . 3.2.3 The Forecasting Information in Implied Volatilities. . .. 30 3.2.4 Implied Correlations as Forecasts of Future Correlations 43 VIII Contents 3.3 The Skewness Premium ..... . . . . . . . . . . . . . . . . . . .. . . 45 . . . . . . .
Author: Martin Mandler
Publisher: Springer Science & Business Media
ISBN: 3642574289
Category : Business & Economics
Languages : en
Pages : 227
Get Book Here
Book Description
This book is a slightly revised version of my doctoral dissertation which has been accepted by the Department of Economics and Business Administration of the Justus-Liebig-Universitat Giessen in July 2002. I am indebted to my advisor Prof. Dr. Volbert Alexander for encouraging and supporting my research. I am also grateful to the second member of the doctoral committee, Prof. Dr. Horst Rinne. Special thanks go to Dr. Ralf Ahrens for providing part of the data and to my colleague Carsten Lang, who spent much time reading the complete first draft. Wetzlar, January 2003 Martin Mandler Contents 1 Introduction. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 Part I Theoretical Foundations 2 Arbitrage Pricing and Risk-Neutral Probabilities........ .. 7 2.1 Arbitrage Pricing in the Black/Scholes-Merton Model... . . .. . 7 2.2 The Equivalent Martingale Measure and Risk-Neutral Valuation ............................................... 11 2.3 Extracting Risk-Neutral Probabilities from Option Prices. . . .. 13 2.4 Summary............................................... 15 Appendix 2A: The Valuation Function in the Black/Scholes-Merton Model .................................................. 16 Appendix 2B: Some Further Details on the Replication Strategy ... 21 3 Survey of the Related Literature .......................... 23 3.1 The Information Content of Forward and Futures Prices. . . .. . 24 3.2 The Information Content of Implied Volatilities ............. 25 3.2.1 Implied Volatilities and the Risk-Neutral Probability Density .......................................... 27 3.2.2 The Term Structure of Implied Volatilities. . . . . . . .. . . 29 . 3.2.3 The Forecasting Information in Implied Volatilities. . .. 30 3.2.4 Implied Correlations as Forecasts of Future Correlations 43 VIII Contents 3.3 The Skewness Premium ..... . . . . . . . . . . . . . . . . . . .. . . 45 . . . . . . .
Author: Áron Gereben
Publisher:
ISBN:
Category : Dollar, New Zealand
Languages : en
Pages : 32
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Book Description
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: Paul Söderlind
Publisher:
ISBN:
Category : Financial instruments
Languages : en
Pages : 64
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Book Description
This paper is a selective survey of new or recent methods to extract information about market expectations from asset prices for monetary policy purposes. Traditionally, interest rates and forward exchange rates have been used to extract expected means of future interest rates, exchange rates and inflation. More recently, these methods have been refined to rely on implied forward interest rates, so as to extract expected future time-paths. Very recently only the means but the whole (risk neutral) probability distribution from a set of option prices.
Author: Antonio Di Cesare
Publisher:
ISBN:
Category : Options (Finance)
Languages : en
Pages : 40
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Book Description
Author: Jens Carsten Jackwerth
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Stephen Satchell
Publisher: Springer
ISBN: 1137554177
Category : Science
Languages : en
Pages : 416
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Book Description
Over the last 20 years hedge funds and derivatives have fluctuated in reputational terms; they have been blamed for the global financial crisis and been praised for the provision of liquidity in troubled times. Both topics are rather under-researched due to a combination of data and secrecy issues. This book is a collection of papers celebrating 20 years of the Journal of Derivatives and Hedge Funds (JDHF). The 18 papers included in this volume represent a small sample of influential papers included during the life of the Journal, representing industry-orientated research in these areas. With a Preface from co-editor of the journal Stephen Satchell, the first part of the collection focuses on hedge funds and the second on markets, prices and products.
Author: Dimitris N. Chorafas
Publisher: Butterworth-Heinemann
ISBN: 0080974023
Category : Investment analysis
Languages : en
Pages : 419
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Book Description
The Management of Investments is based on an extensive research project done by the author in 2003 and 2004, in the United States, England, Germany, France, Italy and Switzerland. The author outlines the rules behind the able management of investments by private individuals, banks, and institutional investors. These rules are examined within the perspective of each entity's goals and challenges. Based on research results and on his own experience, the author demonstrates that shareholder value is usually being paid lip service. As far as investment results are concerned,
Author: Michele Fratianni
Publisher: Springer Science & Business Media
ISBN: 1475754507
Category : Business & Economics
Languages : en
Pages : 348
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Book Description
Approximately two years ago, the Guido Carli Association charged a group of distinguished economists with studying various aspects of the international monetary system and proposing ways to improve it. The studies were presented at a conference in Florence, Italy, on June 19, 1998 and their edited versions are published in this volume. Ideas for the Future of the International Monetary System consists of two parts: Part I contains the studies commissioned by the Carli Association - those by Dominick Salvatore; Koichi Hamada; Forrest Capie; Michele Fratianni, Andreas Hauskrecht and Aurelio Maccario; Jrgen von Hagen and Ingo Fender, Michael Artis, Marion Kohler and Jacques Mlitz; Barry Eichengreen; Michele Fratianni and Andreas Hauskrecht; Paolo Savona and Aurelio Maccario; and Elvio Dal Bosco - and the comments by Paul De Grauwe and William Branson, and the editors' conclusions. Part II contains three papers presented at the Florence conference, by Antonio Fazio, Carl Scognamiglio, and Alberto Predieri.
Author: Xiangli Liu
Publisher: Routledge
ISBN: 1317667654
Category : Business & Economics
Languages : en
Pages : 216
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Book Description
This book studies the information spillover among financial markets and explores the intraday effect and ACD models with high frequency data. This book also contributes theoretically by providing a new statistical methodology with comparative advantages for analyzing comovements between two time series. It explores this new method by testing the information spillover between the Chinese stock market and the international market, futures market and spot market. Using the high frequency data, this book investigates the intraday effect and examines which type of ACD model is particularly suited in capturing financial duration dynamics. The book will be of invaluable use to scholars and graduate students interested in comovements among different financial markets and financial market microstructure and to investors and regulation departments looking to improve their risk management.
