Handbook of Quantitative Finance and Risk Management

Front Matter....Pages i-xxxviii
Front Matter....Pages 1-1
Theoretical Framework of Finance....Pages 3-22
Investment, Dividend, Financing, and Production Policies: Theory and Implications....Pages 23-40
Research Methods in Quantitative Finance and Risk Management....Pages 41-50
Front Matter....Pages 52-52
Foundation of Portfolio Theory....Pages 53-68
Risk-Aversion, Capital Asset Allocation, and Markowitz Portfolio-Selection Model....Pages 69-92
Capital Asset Pricing Model and Beta Forecasting....Pages 93-109
Index Models for Portfolio Selection....Pages 111-124
Performance-Measure Approaches for Selecting Optimum Portfolios....Pages 125-135
The Creation and Control of Speculative Bubbles in a Laboratory Setting....Pages 137-164
Portfolio Optimization Models and Mean–Variance Spanning Tests....Pages 165-184
Combining Fundamental Measures for Stock Selection....Pages 185-202
On Estimation Risk and Power Utility Portfolio Selection....Pages 203-219
International Portfolio Management: Theory and Method....Pages 221-234
The Le Chatelier Principle in the Markowitz Quadratic Programming Investment Model: A Case of World Equity Fund Market....Pages 235-245
Risk-Averse Portfolio Optimization via Stochastic Dominance Constraints....Pages 247-258
Portfolio Analysis....Pages 259-266
Portfolio Theory, CAPM and Performance Measures....Pages 267-281
Intertemporal Equilibrium Models, Portfolio Theory and the Capital Asset Pricing Model....Pages 283-287
Persistence, Predictability, and Portfolio Planning....Pages 289-318
Portfolio Insurance Strategies: Review of Theory and Empirical Studies....Pages 319-332
Front Matter....Pages 52-52
Security Market Microstructure: The Analysis of a Non-Frictionless Market....Pages 333-352
Front Matter....Pages 354-354
Options Strategies and Their Applications....Pages 355-375
Option Pricing Theory and Firm Valuation....Pages 377-392
Applications of the Binomial Distribution to Evaluate Call Options....Pages 393-398
Multinomial Option Pricing Model....Pages 399-408
Two Alternative Binomial Option Pricing Model Approaches to Derive Black-Scholes Option Pricing Model....Pages 409-419
Normal, Lognormal Distribution and Option Pricing Model....Pages 421-428
Bivariate Option Pricing Models....Pages 429-438
Displaced Log Normal and Lognormal American Option Pricing: A Comparison....Pages 439-446
Itô’s Calculus and the Derivation of the Black–Scholes Option-Pricing Model....Pages 447-470
Constant Elasticity of Variance Option Pricing Model: Integration and Detailed Derivation....Pages 471-480
Stochastic Volatility Option Pricing Models....Pages 481-490
Derivations and Applications of Greek Letters: Review and Integration....Pages 491-503
A Further Analysis of the Convergence Rates and Patterns of the Binomial Models....Pages 505-513
Estimating Implied Probabilities from Option Prices and the Underlying....Pages 515-529
Are Tails Fat Enough to Explain Smile....Pages 531-545
Option Pricing and Hedging Performance Under Stochastic Volatility and Stochastic Interest Rates....Pages 547-574
Application of the Characteristic Function in Financial Research....Pages 575-581
Asian Options....Pages 583-586
Numerical Valuation of Asian Options with Higher Moments in the Underlying Distribution....Pages 587-603
Front Matter....Pages 354-354
The Valuation of Uncertain Income Streams and the Pricing of Options....Pages 605-616
Binomial OPM, Black-Scholes OPM and Their Relationship: Decision Tree and Microsoft Excel Approach....Pages 617-636
Front Matter....Pages 638-638
Combinatorial Methods for Constructing Credit Risk Ratings....Pages 639-664
The Structural Approach to Modeling Credit Risk....Pages 665-673
An Empirical Investigation of the Rationales for Integrated Risk-Management Behavior....Pages 675-695
Copula, Correlated Defaults, and Credit VaR....Pages 697-711
Unspanned Stochastic Volatilities and Interest Rate Derivatives Pricing....Pages 713-751
Catastrophic Losses and Alternative Risk Transfer Instruments....Pages 753-766
A Real Option Approach to the Comprehensive Analysis of Bank Consolidation Values....Pages 767-778
Dynamic Econometric Loss Model: A Default Study of US Subprime Markets....Pages 779-805
The Effect of Default Risk on Equity Liquidity: Evidence Based on the Panel Threshold Model....Pages 807-818
Put Option Approach to Determine Bank Risk Premium....Pages 819-827
Keiretsu Style Main Bank Relationships, R&D Investment, Leverage, and Firm Value: Quantile Regression Approach....Pages 829-841
On the Feasibility of Laddering....Pages 843-851
Stock Returns, Extreme Values, and Conditional Skewed Distribution....Pages 853-862
Capital Structure in Asia and CEO Entrenchment....Pages 863-872
A Generalized Model for Optimum Futures Hedge Ratio....Pages 873-882
The Sensitivity of Corporate Bond Volatility to Macroeconomic Announcements....Pages 883-913
Raw Material Convenience Yields and Business Cycle....Pages 915-931
Alternative Methods to Determine Optimal Capital Structure: Theory and Application....Pages 933-951
Front Matter....Pages 638-638
Actuarial Mathematics and Its Applications in Quantitative Finance....Pages 953-963
The Prediction of Default with Outliers: Robust Logistic Regression....Pages 965-977
Term Structure of Default-Free and Defaultable Securities: Theory and Empirical Evidence....Pages 979-1005
Liquidity Risk and Arbitrage Pricing Theory....Pages 1007-1024
An Integrated Model of Debt Issuance, Refunding, and Maturity....Pages 1025-1038
Front Matter....Pages 1040-1040
Business Models: Applications to Capital Budgeting, Equity Value, and Return Attribution....Pages 1041-1054
Dividends Versus Reinvestments in Continuous Time: A More General Model....Pages 1055-1060
Segmenting Financial Services Market: An Empirical Study of Statistical and Non-parametric Methods....Pages 1061-1066
Spurious Regression and Data Mining in Conditional Asset Pricing Models....Pages 1067-1090
Issues Related to the Errors-in-Variables Problems in Asset Pricing Tests....Pages 1091-1108
McMC Estimation of Multiscale Stochastic Volatility Models....Pages 1109-1120
Regime Shifts and the Term Structure of Interest Rates....Pages 1121-1134
ARM Processes and Their Modeling and Forecasting Methodology....Pages 1135-1149
Alternative Econometric Methods for Information-based Equity-selling Mechanisms....Pages 1151-1163
Implementation Problems and Solutions in Stochastic Volatility Models of the Heston Type....Pages 1165-1171
Revisiting Volume vs. GARCH Effects Using Univariate and Bivariate GARCH Models: Evidence from U.S. Stock Markets....Pages 1173-1181
Application of Fuzzy Set Theory to Finance Research: Method and Application....Pages 1183-1199
Hedonic Regression Analysis in Real Estate Markets: A Primer....Pages 1201-1207
Numerical Solutions of Financial Partial Differential Equations....Pages 1209-1221
A Primer on the Implicit Financing Assumptions of Traditional Capital Budgeting Approaches....Pages 1223-1233
Front Matter....Pages 1040-1040
Determinants of Flows into U.S.-Based International Mutual Funds....Pages 1235-1255
Predicting Bond Yields Using Defensive Forecasting....Pages 1257-1272
Range Volatility Models and Their Applications in Finance....Pages 1273-1281
Examining the Impact of the U.S. IT Stock Market on Other IT Stock Markets....Pages 1283-1291
Application of Alternative ODE in Finance and Economics Research....Pages 1293-1300
Application of Simultaneous Equation in Finance Research....Pages 1301-1306
The Fuzzy Set and Data Mining Applications in Accounting and Finance....Pages 1307-1331
Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High-Frequency Index Returns....Pages 1333-1344
Detecting Structural Instability in Financial Time Series....Pages 1345-1355
The Instrument Variable Approach to Correct for Endogeneity in Finance....Pages 1357-1369
Bayesian Inference of Financial Models Using MCMC Algorithms....Pages 1371-1380
On Capital Structure and Entry Deterrence....Pages 1381-1389
VAR Models: Estimation, Inferences, and Applications....Pages 1391-1398
Signaling Models and Product Market Games in Finance: Do We Know What We Know?....Pages 1399-1408
Estimation of Short- and Long-Term VaR for Long-Memory Stochastic Volatility Models....Pages 1409-1415
Time Series Modeling and Forecasting of the Volatilities of Asset Returns....Pages 1417-1426
Listing Effects and the Private Company Discount in Bank Acquisitions....Pages 1427-1443
An ODE Approach for the Expected Discounted Penalty at Ruin in Jump Diffusion Model (Reprint)....Pages 1445-1464
Alternative Models for Estimating the Cost of Equity Capital for Property/Casualty Insurers....Pages 1465-1482
Implementing a Multifactor Term Structure Model....Pages 1483-1488
Front Matter....Pages 1040-1040
Taking Positive Interest Rates Seriously....Pages 1489-1502
Positive Interest Rates and Yields: Additional Serious Considerations....Pages 1503-1522
Functional Forms for Performance Evaluation: Evidence from Closed-End Country Funds....Pages 1523-1553
A Semimartingale BSDE Related to theMinimal Entropy Martingale Measure....Pages 1555-1565
The Density Process of theMinimal Entropy Martingale Measure in a Stochastic Volatility Model with Jumps (Reprint)....Pages 1567-1575
Arbitrage Detection from Stock Data: An Empirical Study....Pages 1577-1591
Detecting Corporate Failure....Pages 1593-1606
Genetic Programming for Option Pricing....Pages 1607-1614
A Constant Elasticity of Variance (CEV) Family of Stock Price Distributions in Option Pricing, Review, and Integration....Pages 1615-1625
Back Matter....Pages 1627-1716