Financial Market Drift

Financial Market Drift PDF

Author: Lukas Menkhoff

Publisher: Springer

Published: 2012-11-01

Total Pages: 234

ISBN-13: 9783642625077

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International financial markets play an increasingly important role. There can be no doubt that over the past twenty years the size of financial markets have grown at a faster pace than the size of the markets for goods and services. However, it is still unclear whether this is a desirable development. This book discusses the debate on the possible separation of the financial sector and real economy. The text makes use of established scientific research.

Financial Market Drift

Financial Market Drift PDF

Author: Lukas Menkhoff

Publisher: Springer Science & Business Media

Published: 2000-12-04

Total Pages: 252

ISBN-13: 9783540411659

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International financial markets play an increasingly important role. There can be no doubt that over the past twenty years the size of financial markets have grown at a faster pace than the size of the markets for goods and services. However, it is still unclear whether this is a desirable development. This book discusses the debate on the possible separation of the financial sector and real economy. The text makes use of established scientific research.

Financial Market Drift

Financial Market Drift PDF

Author: Lukas Menkhoff

Publisher: Springer Science & Business Media

Published: 2012-12-06

Total Pages: 252

ISBN-13: 3642565816

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International financial markets play an increasingly important role. There can be no doubt that over the past twenty years the size of financial markets have grown at a faster pace than the size of the markets for goods and services. However, it is still unclear whether this is a desirable development. This book discusses the debate on the possible separation of the financial sector and real economy. The text makes use of established scientific research.

The Statistical Mechanics of Financial Markets

The Statistical Mechanics of Financial Markets PDF

Author: Johannes Voit

Publisher: Springer Science & Business Media

Published: 2013-06-29

Total Pages: 227

ISBN-13: 3662044234

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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.

Decision Making with Quantitative Financial Market Data

Decision Making with Quantitative Financial Market Data PDF

Author: Alain Ruttiens

Publisher: Springer Nature

Published: 2021-03-01

Total Pages: 69

ISBN-13: 3030675807

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Use of quantitative data, especially in financial markets, may provide rapid results due to the ease-of-use and availability of fast computational software, but this book advises caution and helps to understand and avoid potential pitfalls. It deals with often underestimated issues related to the use of financial quantitative data, such as non-stationarity issues, accuracy issues and modeling issues. It provides practical remedies or ways to develop new calculation methodologies to avoid pitfalls in using data, as well as solutions for risk management issues in financial market. The book is intended to help professionals in financial industry to use quantitative data in a safer way.

A Practical Guide to Forecasting Financial Market Volatility

A Practical Guide to Forecasting Financial Market Volatility PDF

Author: Ser-Huang Poon

Publisher: John Wiley & Sons

Published: 2005-08-19

Total Pages: 236

ISBN-13: 0470856157

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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 guidance on this vital topic through an in-depth examination of a range of popular forecasting models. Details are provided on proven techniques for building volatility models, with guide-lines for actually using them in forecasting applications.

The Statistical Mechanics of Financial Markets

The Statistical Mechanics of Financial Markets PDF

Author: Johannes Voit

Publisher: Springer Science & Business Media

Published: 2013-04-17

Total Pages: 298

ISBN-13: 3662051257

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This textbook describes parallels between statistical physics and finance - both those established in the 100-year-long interaction between these disciplines, as well as new research results on capital markets. The random walk, well known in physics, is also the basic model in finance, upon which are built, for example, the Black--Scholes theory of option pricing and hedging, or methods of risk control using diversification. Here 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. Computer simulations of interacting agent models of financial markets provide insights into the origins of asset price fluctuations. Stock exchange crashes can be modelled in ways analogous to phase transitions and earthquakes. These models allow for predictions. This study edition has been updated with a presentation of several new and significant developments, e.g. the dynamics of volatility smiles and implied volatility surfaces, path integral approaches to option pricing, a new and accurate simulation scheme for options, multifractals, the application of nonextensive statistical mechanics to financial markets, and the minority game. Moreover, the book was scanned for and corrected from errors, both typographical and in presentation.

Bond and Money Markets: Strategy, Trading, Analysis

Bond and Money Markets: Strategy, Trading, Analysis PDF

Author: Moorad Choudhry

Publisher: Elsevier

Published: 2001-05-03

Total Pages: 1152

ISBN-13: 008047618X

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Bond and Money Markets: Strategy, Trading, Analysis explains and analyses all aspects of the bond and money markets and is both an introduction for newcomers and an advanced text for experienced market practitioners and graduate students. Those with experience of the industry at all levels will find the book invaluable as a standard reference work.The book features coverage of: Government and Corporate bonds, Eurobonds, callable bonds, convertibles Asset-backed bonds including mortgages and CDOs Derivative instruments including bond futures, swaps, options, structured products, and option valuation models Interest-rate risk, duration analysis, convexity, and the convexity bias The money markets, repo markets, basis trading, and asset / liability management Term structure models, estimating and interpreting the yield curve Portfolio management, including total return framework, portfolio strategies, and constructing bond indices and valuable insight into: Trading and hedging strategy Charting and technical analysis The latest market developments, such as value-at-risk, and credit derivatives Emerging markets and the benefits of international investment The Bond and Money Markets: Strategy, Trading, Analysis is aimed at a wide readership including bond salespersons, traders, corporate financiers and graduate trainees, as well as risk managers, operations professionals and business analysts. Other market participants including fund managers, corporate treasurers, management consultants, regulators and financial journalists will also find the content useful. This book is virtually a stand alone reference book on interest rate swaps, the money markets, financial market mathematics, interest-rate futures and technical analysis Includes some introductory coverage of very specialised topics (for which one requires specialised texts) such as VaR, Asset & liability management, credit derivatives Combines accessible style with advanced level topics, plus review of latest research

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