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An Introduction to Financial Mathematics in Continuous Time
In stochastic analysis in continuous time one usually considers R+ instead of N as the index set describing time, i.e at every time point t R one observes a random variable Xt. Whereas in discrete time one í dealing with random sequences X(t): N - R, in continuous time one is workng with stochastic functions X(t): R+ - R. Thuogh many results obtained in discrete time have a continuous time analogue we have to modify several notions and results
53 p itc 27/01/2013 359 2
Từ khóa: mathematical modeling, financial markets, trading and arbitrage, market completeness, black and scholes formula, thị trường tài chính
Fourier Transform Methods in Finance
In recent years, Fourier transform methods have emerged as one of the major methodologies for the evaluation of derivative contracts, largely due to the need to strike a balance between the extension of existing pricing models beyond the traditional Black-Scholes setting and a need to evaluate prices consistently with the market quotes. Fourier Transform Methods in Finance is a practical and accessible guide to pricing financial instruments...
258 p itc 20/01/2013 341 2
Từ khóa: pricing models, dynamics of asset prices, non stationary market dynamics, arbitrage free pricing, methods in finance, fourier transform methods in finance
FINANCE APPLICATIONS OF GAME THEORY
FINANCE APPLICATIONS OF GAME THEORY Franklin Allen and Stephen Morris * Finance is concerned with how the savings of investors are allocated through financial markets and intermediaries to firms, which use them to fund their activities. Finance can be broadly divided into two fields. The first is asset pricing, which is concerned with the decisions of investors. The second is corporate finance, which is concerned with the decisions of firms....
32 p itc 20/01/2013 316 2
Từ khóa: Finance, financial markets, corporate finance, economics, financial decisions, asset pricing
Finance and Growth:Theory and Evidence Ross Levine
Finance and Growth: Theory and Evidence Ross Levine* September 3, 2004 Abstract: This paper reviews, appraises, and critiques theoretical and empirical research on the connections between the operation of the financial system and economic growth. While subject to ample qualifications and countervailing views, the preponderance of evidence suggests that both financial intermediaries and markets matter for growth and that reverse causality...
118 p itc 20/01/2013 317 2
Từ khóa: financial theory, financial growth, financial practices, financial intermediaries, markets matter, financial systems
.ILPIP MembersCourse Manual Equity Valuation and Analysis2008 AZEK/ILPIP /ILPIP, Copyright ©
The most popular securities among investors throughout the world are the shares of commonstock or equity of a firm. These shares represent the residual claim on the firm’s earnings. Theterm residual claim implies that the earnings of the firm belong to the common shareholdersof the firm after satisfying all other claims. These claims are employees’ wages/salaries,interest and principal payments to creditors who have advanced short- and...
147 p itc 17/01/2013 312 2
Từ khóa: equity markets and structures, understanding the industry life cycle, analysing the industry sector, its constituent companies, valuation model of common stock, cơ cấu vốn chủ sở hữu
Elasticity is a measure ofthe ratio ofthe percentage change in one variable to the percentage change in another variable. It is commonly used as a measure of how sensitive the quantity demanded is to changes in the price of a good. After learning all about price elasticity of demand, learn how to apply this concept to calculate and interpret the cross elasticity of demand, the income elasticity of demand, and the elasticity of supply. You...
212 p itc 17/01/2013 237 2
Từ khóa: fiscal policy, business cycles, money, the price level, inflation, markets in action
Business Analysis and Valuation: Using Financial Statements
Financial Statements are the basis for a wide range of business analysis. There is strong demand among business students for course materials that provide a framework for using financial statement data in a variety of business analysis and valuation contexts. Business Analysis and Valuation Using Financial Statements, 2nd Edition by Palepu/Healy/Bernard provides that framework.
957 p itc 15/01/2013 346 2
Từ khóa: Business Analysis, Financial Statements, Rating market analysis, Phân tích chính sách tài chính doanh nghiệp, Quản lý tài chính, Quản lý kinh tế.
A History of Interest Rates presents a very readable account of interest rate trends and lending practices over four millennia of economic history. Despite the paucity of data prior to the Industrial Revolution, authors Homer and Sylla provide a highly detailed analysis of money markets and borrowing practices in major economies. Underlying the analysis is their assertion that "the free market long-term rates of interest for any industrial...
732 p itc 15/01/2013 321 2
Từ khóa: interest rates, lending practices, economic history, history of interest rates, lịch sử của lãi xuất, money markets
The Asset Management Industry in 2010
When viewed from 30,000 feet,the pace of change in the asset managementbusiness can appear almost glacial. Year after year,it seems,the industryturns out enviable,solid performance – indeed,our research shows that over-all profit margins have held remarkably stable over the past market cycle,justshy of the 30 percent mark. And while their relative positions may shift mod-estly,the same roster of familiar names tends to resurface time and...
42 p itc 08/01/2013 309 2
Từ khóa: asset management, the asset management industry in 2010, past market, quản lý tài sản, quản lý tài sản ngành công nghiệp, quản lý tài sản ngành công nghiệp năm 2010
Measuring Risk in Complex Stochastic Systems
During the last decade, problems in the world of finance have been the main driving force for developing sophisticated mathematical methods which may be used for identifying and measuring risk. The focus is still on quantifying market and credit risk, but general operational risks will become more important in the future. In this book the reader will find approaches from economic theory, allocation problems, credit scoring, volatility...
251 p itc 08/01/2013 304 2
Từ khóa: measuring risk in complex stochastic systems, sophisticated mathematical methods, market and credit risk, economic theory, credit scoring, volatility structures, general market risk, tài chính tín dụng
Banking on Basel: The Future of International Financial Regulation
Banking on Basel: The Future of International Financial Regulation by Daniel K. Tarullo September 2008 • 256 pp. ISBN Paper 978-0-88132-423-5 The turmoil in financial markets that resulted from the 2007 subprime mortgage crisis in the United States indicates the need to dramatically transform regulation and supervision of financial institutions. Would these institutions have been sounder if the 2004 Revised Framework on International...
289 p itc 08/01/2013 321 2
Từ khóa: international financial regulation, banking on Basel, financial markets, banking supervision, giám sát ngân hàng, khủng hoảng thị trường tài chính, credit risk models
Asset pricing theory tries to understand the prices or values of claims to uncertain payments. A low price implies a high rate of return, so one can also think of the theory as explaining why some assets pay higher average returns than others. To value an asset, we have to account for the delay and for the risk of its payments. The effects of time are not too difficult to work out. However, corrections for risk are much more important...
462 p itc 08/01/2013 330 2
Từ khóa: Asset Pricing, định giá tài sản, estimating and evaluating asset pricing models, bonds and options, contingent claims markets, term structure of interest rates
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