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The Complete Guide to Option Pricing Formulas
Long-established as a definitive resource by Wall Street professionals, The Complete Guide to Option Pricing Formulas has been revised and updated to reflect the realities of today's options markets. The Second Edition contains a complete listing of virtually every pricing formula_ all presented in an easy-to-use dictionary format, with expert author commentary and ready-to-use programming code. The Second Edition of this classic guide...
572 p itc 27/01/2013 334 8
Từ khóa: models and formulas, pricing formulas, Excel spreadsheets, VBA code, commodity options, , bảng tính Excel
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
Financial Calculus: An Introduction to Derivative Pricing
Here is the first rigorous and accessible account of the mathematics behind the pricing, construction, and hedging of derivative securities. With mathematical precision and in a style tailored for market practioners, the authors describe key concepts such as martingales, change of measure, and the Heath-Jarrow-Morton model. Starting from discrete-time hedging on binary trees, the authors develop continuous-time stock models (including the...
241 p itc 20/01/2013 348 1
Từ khóa: finance economics, financial calculus, derivative pricing, hedging, derivative securities, stock models
Analysis of Equity Investments: Valuation
The treatment in Analysis of Equity Investments: Valuation is intended to communicate a practical equity valuation process for the investment generalist. Unlike many alternative works, the book integrates accounting and finance concepts, providing the evenness of subject matter treatment, consistency of notation, and continuity of topic coverage so critical to the learning process. The book does not simply deliver a collection of valuation...
336 p itc 15/01/2013 309 2
Từ khóa: valuation models, equity valuation process, capital asset pricing model, equity valuation, price to sales, price to cash flow, enterprise value to EBITDA, mô hình định giá tài sản vốn
An Introduction to the Mathematics of Financial Derivatives
This popular text, publishing Spring 1999 in its Second Edition, introduces the mathematics underlying the pricing of derivatives. The increase of interest in dynamic pricing models stems from their applicability to practical situations: with the freeing of exchange, interest rates, and capital controls, the market for derivative products has matured and pricing models have become more accurate. Professor Neftci's book answers the need for a...
277 p itc 15/01/2013 328 2
Từ khóa: business mathematics, finance accounting, finance banking, derivatives, công cụ tài chính phát sinh, pricing models, interest rates, capital controls
A COMPARISON OF DIVIDEND, CASH FLOW, AND EARNINGS APPROACHES TO EQUITY VALUATION
The calculation of equity value is typically characterized as a projection of future payoffs and a transformation of those payoffs into a present value (price). A good deal of research on pricing models has focused on the specification of risk for the reduction of the payoffs to present value but little attention has been given to the specification of payoffs. It is noncontroversial that equity price is based on future dividends to...
68 p itc 15/01/2013 283 2
Từ khóa: calculation of equity value, equity value, pricing models, cash flow analysis, free cash flows, book values, forecasted earnings and book values
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
A Practical Guide to Forecasting Financial Market Volatility
Financial market volatility forecasting is one of today's most important areas of expertise for professionals and academics in investment, option pricing, and financial market regulation. While many books address financial market modelling, no single book is devoted primarily to the exploration of volatility forecasting and the practical use of forecasting models. A Practical Guide to Forecasting Financial Market Volatility provides practical...
238 p itc 08/01/2013 336 2
Từ khóa: financial market volatility forecasting, investment, option pricing, financial market regulation, financial market modelling, thị trường tài chính, practical guide to forecasting financial market volatility
A Multifractal Model of Asset Returns
The probabilistic description of financial prices, pioneered by Bachelier (1900), initially focused onindependent and Gaussian distributed price changes. Financial economists have long recognizedtwo major discrepancies between the Bachelier model and actual financial data. First, financialdata commonly display temporal dependence in the alternation of periods of large price changeswith periods of smaller changes. Secondly, the tails of the...
33 p itc 08/01/2013 289 1
Từ khóa: multifractal model, absolute value of price increments, a multifractal model of asset returns, khai tài sản, economic and financial
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