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Handbook of Quantitative Finance and Risk Management / edited by Cheng-Few Lee, Alice C. Lee, John Lee
Mitwirkende(r): Resource type: Ressourcentyp: Buch (Online)Buch (Online)Sprache: Englisch Reihen: SpringerLink BücherVerlag: Boston, MA : Springer-Verlag US, 2010Beschreibung: Online-Ressource (XX, 1550p. 335 illus, digital)ISBN:- 9780387771175
- 657.8333
- 658.152
- 332 23
- 332.0151 22
- HG1-9999 HG4501-6051 HG1501-HG3550
- HG1-HG9999
- HG106
Inhalte:
Zusammenfassung: Overview of Quantitative Finance and Risk Management Research -- Portfolio Theory and Investment Analysis -- Options and Option Pricing Theory -- Risk Management -- Theory, Methodology, and ApplicationsZusammenfassung: Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This three-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners. Selected entries include: Michael J. Brennan and Yihong Xia on "Persistence, Predictability and Portfolio Planning" Kenton K. Yee on "Combining Fundamental Measures for Stock Selection" Itzhak Venezia on "Asian Options" Ren-Raw Chen, Ben Logan, Oded Palmon, and Larry Shepp on "Dividends vs. Reinvestments in Continuous Time" Fathali Firoozi and Donald Lien on "Capital Structure and Entre Deterrence" Lan-Chih Ho, John Cadle, and Michael Theobald on "Portfolio Insurance Strategies - Review of Theory and Empirical Studies" Gurdip Bakshi, Charles Cao, and Zhiwu Chen on "Option Pricing and Hedging Performance under Stochastic Volatility and Stochastic Interest Rates" C.H. Ted Hong on "Dynamic Econometric Loss Model: A Default Study of US Subprime Market" N.K. Chidambaran on "Genetic Programming for Option Pricing"PPN: PPN: 1649742738Package identifier: Produktsigel: ZDB-2-SBE
Handbook of QuantitativeFinance and RiskManagement; Preface; About the Editors; Contents; List of Contributors; Part I Overview of Quantitative Finance and Risk Management Research; 1 Theoretical Framework of Finance; 1.1 Introduction; 1.2 Discounted Cash-Flow Valuation Theory; 1.2.1 Bond Valuation; 1.2.1.1 Perpetuity; 1.2.1.2 Term Bonds; 1.2.2 Common-Stock Valuation; 1.3 M and M Valuation Theory; 1.3.1 Review and Extension of M and M Proposition I; 1.3.2 Miller's Proposition on Debt and Taxes; 1.4 Markowitz Portfolio Theory; 1.5 Capital Asset Pricing Model; 1.6 Arbitrage Pricing Theory
1.6.1 Ross's Arbitrage Model Specification1.7 Option Valuation; 1.8 Futures Valuation and Hedging; 1.8.1 Futures Markets: Overview; 1.8.2 The Valuation of Futures Contracts; 1.8.2.1 The Arbitrage Argument; 1.8.2.2 Interest Costs; 1.8.2.3 Carrying Costs; 1.8.2.4 Supply and Demand Effects; 1.8.2.5 The Effect of Hedging Demand; 1.8.3 Hedging Concepts and Strategies; 1.8.3.1 Hedging Risks and Costs; 1.8.3.2 The Johnson Minimum-Variance Hedge Strategy; 1.8.3.3 The Howard-D'Antonio Optimal Risk-Return Hedge Strategy; 1.9 Conclusion; References
2 Investment, Dividend, Financing, and Production Policies: Theoryand Implications2.1 Introduction; 2.2 Investment and Dividend Interactions: The Internal Versus External Financing Decision; 2.3 Interactions Between Dividend and Financing Policies; 2.4 Interactions Between Financing and Investment Decisions; 2.4.1 Risk-Free Debt Case; 2.5 Implications of Financing and Investment Interactionsfor Capital Budgeting; 2.5.1 Arditti and Levy Method; 2.5.2 Myers Adjusted-Present-Value Method; 2.6 Implications of Different Policies on the Beta Coefficient; 2.7 Conclusion; References
Appendix 2A Stochastic Dominance and its Applications to Capital-Structure Analysis with Default Risk2A.1 Introduction; 2A.2 Concepts and Theorems of Stochastic Dominance; 2A.3 Stochastic-Dominance Approach to Investigating the Capital-Structure Problem with Default Risk; 2A.4 Summary; 3 Research Methods in Quantitative Finance and Risk Management; 3.1 Introduction; 3.2 Statistics; 3.3 Econometrics; 3.4 Mathematics; 3.5 Other Disciplines; 3.6 Conclusion; References; Part II Portfolio Theory and Investment Analysis; 4 Foundation of Portfolio Theory; 4.1 Introduction
4.2 Risk Classification and Measurement4.2.1 Call Risk; 4.2.2 Convertible Risk; 4.2.3 Default Risk; 4.2.4 Interest-Rate Risk; 4.2.5 Management Risk; 4.2.6 Marketability (Liquidity) Risk; 4.2.7 Political Risk; 4.2.8 Purchasing-Power Risk; 4.2.9 Systematic and Unsystematic Risk; 4.3 Portfolio Analysis and Application; 4.3.1 Expected Return on a Portfolio; 4.3.2 Variance and Standard Deviation of a Portfolio; 4.3.3 The Two-Asset Case; 4.4 The Efficient Portfolio and Risk Diversification; 4.4.1 The Efficient Portfolio; 4.4.2 Corporate Application of Diversification; 4.4.3 The Dominance Principle
4.4.4 Three Performance Measures
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