Financial Markets Theory
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| Author | : Emilio Barucci |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 473 |
| Release | : 2012-12-06 |
| Genre | : Business & Economics |
| ISBN | : 1447100891 |
A presentation of classical asset pricing theory, this textbook is the only one to address the economic foundations of financial markets theory from a mathematically rigorous standpoint and to offer a self-contained critical discussion based on empirical results. Tools for understanding the economic analysis are provided, and mathematical models are presented in discrete time/finite state space for simplicity. Examples and exercises included.
| Author | : Andrew Ang |
| Publisher | : Now Publishers Inc |
| Total Pages | : 99 |
| Release | : 2011 |
| Genre | : Business & Economics |
| ISBN | : 1601984685 |
The Efficient Market Hypothesis (EMH) asserts that, at all times, the price of a security reflects all available information about its fundamental value. The implication of the EMH for investors is that, to the extent that speculative trading is costly, speculation must be a loser's game. Hence, under the EMH, a passive strategy is bound eventually to beat a strategy that uses active management, where active management is characterized as trading that seeks to exploit mispriced assets relative to a risk-adjusted benchmark. The EMH has been refined over the past several decades to reflect the realism of the marketplace, including costly information, transactions costs, financing, agency costs, and other real-world frictions. The most recent expressions of the EMH thus allow a role for arbitrageurs in the market who may profit from their comparative advantages. These advantages may include specialized knowledge, lower trading costs, low management fees or agency costs, and a financing structure that allows the arbitrageur to undertake trades with long verification periods. The actions of these arbitrageurs cause liquid securities markets to be generally fairly efficient with respect to information, despite some notable anomalies.
| Author | : Johannes Voit |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 227 |
| Release | : 2013-06-29 |
| Genre | : Science |
| ISBN | : 3662044234 |
A careful examination of the interaction between physics and finance. It takes a look at the 100-year-long history of co-operation between the two fields and goes on to provide new research results on capital markets - taken from the field of statistical physics. The random walk model, well known in physics, is one good example of where the two disciplines meet. In the world of finance it is the basic model upon which the Black-Scholes theory of option pricing and hedging has been built. The underlying assumptions are discussed using empirical financial data and analogies to physical models such as fluid flows, turbulence, or superdiffusion. On this basis, new theories of derivative pricing and risk control can be formulated.
| Author | : Michael Magill |
| Publisher | : MIT Press |
| Total Pages | : 566 |
| Release | : 2002 |
| Genre | : Business & Economics |
| ISBN | : 9780262632546 |
Theory of incompl. markets/M. Magill, M. Quinzii. - V.1.
| Author | : Michael Koro |
| Publisher | : |
| Total Pages | : 431 |
| Release | : 2019-08-08 |
| Genre | : |
| ISBN | : 9781078219082 |
What is finance? What questions does it principally concern itself with answering? What are the underpinnings of the means by which it attempts to answer those questions? And what conclusions does it reach? Written with the thoughtful reader in mind, and in a manner not requiring any prior familiarity with finance or economics, this book addresses these important fundamental questions. While not written as a how-to guide to investing, in general or in specific asset classes or marketplaces, the thoughtful reader will come away with a widely applicable conceptual framework as to how to think about doing so in virtually any investment application. Its contents are those which underpin all such markets and, overtly or not, the actions of market participants across time. It is the foundation upon which our vast financial edifice is built. And, for these reasons, the book's two authors have found it to be a fascinating and worthwhile object of thought and attention for the past eighty combined years. The book is divided into two parts. The first, entitled "Foundations," spans the initial ten chapters and concerns itself with the theory that underpins virtually all financial markets, including: Default-Free and Risk-Free Assets; Mean-Variance Theory; the Capital Asset Pricing Model and its applications; Arbitrage Pricing Theory; the Finite State Approach to Modern Finance; and Valuation. The second part, entitled "Markets," explores these financial markets in detail by way of chapters individually dedicated to each, including: stock markets; bond markets; money markets; asset backed securities; futures and forward contracts; currency markets; options; swaps; and hedge and private equity funds. The book concludes with the exploration of select paradoxes in modern finance, with explanations proffered for their existence and perpetuation.
| Author | : John Y. Campbell |
| Publisher | : Princeton University Press |
| Total Pages | : 630 |
| Release | : 2012-06-28 |
| Genre | : Business & Economics |
| ISBN | : 1400830214 |
The past twenty years have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals now routinely use sophisticated statistical techniques in portfolio management, proprietary trading, risk management, financial consulting, and securities regulation. This graduate-level textbook is intended for PhD students, advanced MBA students, and industry professionals interested in the econometrics of financial modeling. The book covers the entire spectrum of empirical finance, including: the predictability of asset returns, tests of the Random Walk Hypothesis, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, the term structure of interest rates, dynamic models of economic equilibrium, and nonlinear financial models such as ARCH, neural networks, statistical fractals, and chaos theory. Each chapter develops statistical techniques within the context of a particular financial application. This exciting new text contains a unique and accessible combination of theory and practice, bringing state-of-the-art statistical techniques to the forefront of financial applications. Each chapter also includes a discussion of recent empirical evidence, for example, the rejection of the Random Walk Hypothesis, as well as problems designed to help readers incorporate what they have read into their own applications.
| Author | : Andrew W. Lo |
| Publisher | : Princeton University Press |
| Total Pages | : 503 |
| Release | : 2019-05-14 |
| Genre | : Business & Economics |
| ISBN | : 069119680X |
A new, evolutionary explanation of markets and investor behavior Half of all Americans have money in the stock market, yet economists can’t agree on whether investors and markets are rational and efficient, as modern financial theory assumes, or irrational and inefficient, as behavioral economists believe. The debate is one of the biggest in economics, and the value or futility of investment management and financial regulation hangs on the answer. In this groundbreaking book, Andrew Lo transforms the debate with a powerful new framework in which rationality and irrationality coexist—the Adaptive Markets Hypothesis. Drawing on psychology, evolutionary biology, neuroscience, artificial intelligence, and other fields, Adaptive Markets shows that the theory of market efficiency is incomplete. When markets are unstable, investors react instinctively, creating inefficiencies for others to exploit. Lo’s new paradigm explains how financial evolution shapes behavior and markets at the speed of thought—a fact revealed by swings between stability and crisis, profit and loss, and innovation and regulation. An ambitious new answer to fundamental questions about economics and investing, Adaptive Markets is essential reading for anyone who wants to understand how markets really work.
| Author | : Paolo Brandimarte |
| Publisher | : John Wiley & Sons |
| Total Pages | : 893 |
| Release | : 2018-02-22 |
| Genre | : Mathematics |
| ISBN | : 1118594665 |
COVERS THE FUNDAMENTAL TOPICS IN MATHEMATICS, STATISTICS, AND FINANCIAL MANAGEMENT THAT ARE REQUIRED FOR A THOROUGH STUDY OF FINANCIAL MARKETS This comprehensive yet accessible book introduces students to financial markets and delves into more advanced material at a steady pace while providing motivating examples, poignant remarks, counterexamples, ideological clashes, and intuitive traps throughout. Tempered by real-life cases and actual market structures, An Introduction to Financial Markets: A Quantitative Approach accentuates theory through quantitative modeling whenever and wherever necessary. It focuses on the lessons learned from timely subject matter such as the impact of the recent subprime mortgage storm, the collapse of LTCM, and the harsh criticism on risk management and innovative finance. The book also provides the necessary foundations in stochastic calculus and optimization, alongside financial modeling concepts that are illustrated with relevant and hands-on examples. An Introduction to Financial Markets: A Quantitative Approach starts with a complete overview of the subject matter. It then moves on to sections covering fixed income assets, equity portfolios, derivatives, and advanced optimization models. This book’s balanced and broad view of the state-of-the-art in financial decision-making helps provide readers with all the background and modeling tools needed to make “honest money” and, in the process, to become a sound professional. Stresses that gut feelings are not always sufficient and that “critical thinking” and real world applications are appropriate when dealing with complex social systems involving multiple players with conflicting incentives Features a related website that contains a solution manual for end-of-chapter problems Written in a modular style for tailored classroom use Bridges a gap for business and engineering students who are familiar with the problems involved, but are less familiar with the methodologies needed to make smart decisions An Introduction to Financial Markets: A Quantitative Approach offers a balance between the need to illustrate mathematics in action and the need to understand the real life context. It is an ideal text for a first course in financial markets or investments for business, economic, statistics, engineering, decision science, and management science students.
| Author | : Thierry Foucault |
| Publisher | : Oxford University Press |
| Total Pages | : 531 |
| Release | : 2023 |
| Genre | : Capital market |
| ISBN | : 0197542069 |
"The process by which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. This book offers a more accurate and authoritative take on this process. The book starts from the assumption that not everyone is present at all times simultaneously on the market, and that participants have quite diverse information about the security's fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus, a security's actual transaction price may deviate from its fundamental value, as it would be assessed by a fully informed set of investors. The book takes these deviations seriously, and explains why and how they emerge in the trading process and are eventually eliminated. The authors draw on a vast body of theoretical insights and empirical findings on security price formation that have come to form a well-defined field within financial economics known as "market microstructure." Focusing on liquidity and price discovery, the book analyzes the tension between the two, pointing out that when price-relevant information reaches the market through trading pressure rather than through a public announcement, liquidity may suffer. It also confronts many striking phenomena in securities markets and uses the analytical tools and empirical methods of market microstructure to understand them. These include issues such as why liquidity changes over time and differs across securities, why large trades move prices up or down, and why these price changes are subsequently reversed, and why we observe temporary deviations from asset fair values"--
| Author | : William F. Sharpe |
| Publisher | : McGraw-Hill Companies |
| Total Pages | : 0 |
| Release | : 2000 |
| Genre | : Capital |
| ISBN | : 9780071353205 |
"Thirty years ago, Portfolio Theory and Capital Markets laid the groundwork for today's investment standards, from modern portfolio theory to derivatives, pricing and investment, equity index funds, and more. By providing invaluable insights into the Capital Asset Pricing Model (CAPM) and introducing such innovations as the Sharpe Ratio, Dr. William Sharpe established himself as one of the most influential financial minds of the twentieth century. Now, in Portfolio Theory and Capital Markets, The Original Edition, complete with a new foreword written by Dr. Sharpe, McGraw-Hill reintroduces this essential book - and places its lessons in a meaningful context for modern investors throughout the world."--BOOK JACKET.Title Summary field provided by Blackwell North America, Inc. All Rights Reserved
