Irrational Exuberance Reconsidered

2013-03-20
 |  Business & Economics
Irrational Exuberance Reconsidered

Author: Mathias Külpmann

Publisher: Springer Science & Business Media

ISBN: 9783540247654

Category: Business & Economics

Page: 230

View: 888

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Mathias Külpmann presents a framework to evaluate whether the stock market is in line with underlying fundamentals. The new and revised edition offers an up to date introduction to the controversy between rational asset pricing and behavioural finance. Empirical evidence of stock market overreaction are investigated within the paradigms of rational asset pricing and behavioural finance. Although this monograph will not promise the reader to become a millionaire, it offers a road to obtain a deeper understanding of the forces which drive stock returns. It should be of interest to anyone interested in what drives performance in the stock market.

The Financial Crisis Reconsidered

2016-04-08
 |  Business & Economics
The Financial Crisis Reconsidered

Author: Daniel Aronoff

Publisher: Springer

ISBN: 9781137547897

Category: Business & Economics

Page: 291

View: 284

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In The Financial Crisis Reconsidered, Aronoff challenges the conventional view that reckless credit produced the US housing boom and the financial crisis, explaining how the large current account deficit, and its mercantilist origin, was a more fundamental cause. He also demonstrates that the decision to provide relief for bank creditors rather than underwater homeowners was responsible for the prolonged recession that followed the crisis. Aronoff proposes a novel theory to account for the ultimate origins of secular stagnation and economic volatility. He shows how accumulation, which occurs when a person or country earns more than it ever plans to spend, generates both an excess of saving and a deficiency in demand. While savings provide the funds to promote booms, under-consumption ensures that these booms will turn bust and that the economy will fall short of its potential growth rate. Aronoff argues that mercantilists and top income earners engage in accumulation, and that the influence of both types has grown in recent decades. Combining economic theory and historical narrative, this book offers a new perspective of the housing boom and the financial crisis, concluding with innovative policy proposals to reduce accumulation without compromising the benefits of a market economy.

Financial Market Bubbles and Crashes

2009-12-14
 |  Business & Economics
Financial Market Bubbles and Crashes

Author: Harold L. Vogel

Publisher: Cambridge University Press

ISBN: 9781316101575

Category: Business & Economics

Page:

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Despite the thousands of articles and the millions of times that the word 'bubble' has been used in the business press, there still does not appear to be a cohesive theory or persuasive empirical approach with which to study 'bubble' and 'crash' conditions. This book presents a plausible and accessible descriptive theory and empirical approach to the analysis of such financial market conditions. It advances such a framework through application of standard econometric methods to its central idea, which is that financial bubbles reflect urgent short side rationed demand. From this basic idea, an elasticity of variance concept is developed. It is further shown that a behavioral risk premium can probably be measured and related to the standard equity risk premium models in a way that is consistent with conventional theory.

Empirical Techniques in Finance

2006-01-17
 |  Business & Economics
Empirical Techniques in Finance

Author: Ramaprasad Bhar

Publisher: Springer Science & Business Media

ISBN: 9783540276425

Category: Business & Economics

Page: 243

View: 456

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Includes traditional elements of financial econometrics but is not yet another volume in econometrics. Discusses statistical and probability techniques commonly used in quantitative finance. The reader will be able to explore more complex structures without getting inundated with the underlying mathematics.

CreditRisk+ in the Banking Industry

2013-03-14
 |  Business & Economics
CreditRisk+ in the Banking Industry

Author: Matthias Gundlach

Publisher: Springer Science & Business Media

ISBN: 9783662064276

Category: Business & Economics

Page: 369

View: 439

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CreditRisk+ is a widely implemented default-mode model of portfolio credit risk, based on a methodology borrowed from actuarial mathematics. This book gives an account of the status quo as well as of new and recent developments of the credit risk model CreditRisk+, which is widely used in the banking industry. It gives an introduction to the model itself and to its ability to describe, manage and price credit risk. This timely book will be an indispensable tool.

Financial Market Bubbles and Crashes, Second Edition

2018-08-16
 |  Business & Economics
Financial Market Bubbles and Crashes, Second Edition

Author: Harold L. Vogel

Publisher: Springer

ISBN: 9783319715285

Category: Business & Economics

Page: 477

View: 415

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Economists broadly define financial asset price bubbles as episodes in which prices rise with notable rapidity and depart from historically established asset valuation multiples and relationships. Financial economists have for decades attempted to study and interpret bubbles through the prisms of rational expectations, efficient markets, and equilibrium, arbitrage, and capital asset pricing models, but they have not made much if any progress toward a consistent and reliable theory that explains how and why bubbles (and crashes) evolve and can also be defined, measured, and compared. This book develops a new and different approach that is based on the central notion that bubbles and crashes reflect urgent short-side rationing, which means that, as such extreme conditions unfold, considerations of quantities owned or not owned begin to displace considerations of price.

A Course in Derivative Securities

2005-06-08
 |  Business & Economics
A Course in Derivative Securities

Author: Kerry Back

Publisher: Springer Science & Business Media

ISBN: 9783540253730

Category: Business & Economics

Page: 358

View: 676

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"Deals with pricing and hedging financial derivatives.... Computational methods are introduced and the text contains the Excel VBA routines corresponding to the formulas and procedures described in the book. This is valuable since computer simulation can help readers understand the theory....The book...succeeds in presenting intuitively advanced derivative modelling... it provides a useful bridge between introductory books and the more advanced literature." --MATHEMATICAL REVIEWS

Capital Market Anomalies: Explained by human ́s irrationality

2013-06-01
 |  Social Science
Capital Market Anomalies: Explained by human ́s irrationality

Author: Irini Varvouzou

Publisher: Anchor Academic Publishing (aap_verlag)

ISBN: 9783954895304

Category: Social Science

Page: 82

View: 461

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Why do small caps achieve higher risk-adjusted yields than large caps? Why do stock prices increase or decrease upon an index entry respectively deletion? Why does January records higher yields than the remaining months of the year? These as well as other observed capital market anomalies or phenomena could be insufficiently explained by the classical capital market theory, which proceeds on the assumptions that all correspondent information are reflected in the stock prices, all negative effects are directly balanced on the market level and that efficiency of arbitrage principle exists as well as that all market participants act rationally (i.e. optimizing their benefits in the sense of the homo economicus). This motivated some economists and psychologists to include behavioural scientific findings in their research of the influences on the formation of prices on the capital market. In the 1980s the theory of Behavioural Finance was developed, which challenges the homo economicus. Researchers came to the conclusion that humans are not only acting rational, but that they are also influenced by emotions, knowledge and experiences. This new scientific behavioural oriented theory, which is today a separate branch of research, contradicts the classical capital market theory and supplies explanations for the observed phenomena on the capital market. The aim of this book is to demonstrate how human behaviour influences the development on the capital market and how Behavioural Finance serves as an explanation for the empirically observed capital market anomalies. This book begins with the introduction of the theoretical basis of Behavioural Finance and its emergence; tasks as well as aims will be explained in detail. Subsequently, human’s heuristics as well as anomalies and irrationalities in their decision making process will be demonstrated. In the third chapter, the capital market anomalies or phenomena as well as the irrational and behavioural reasons for their existence will be described. The fourth chapter covers empirical evidence for their existence as well as for the insufficient explanatory power of the classical capital market theory. Concluding a critical acclaim, target achievements and perspectives concerning Behavioural Finance will be given.

Risk-Neutral Valuation

2013-06-29
 |  Mathematics
Risk-Neutral Valuation

Author: Nicholas H. Bingham

Publisher: Springer Science & Business Media

ISBN: 9781447138563

Category: Mathematics

Page: 438

View: 621

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This second edition - completely up to date with new exercises - provides a comprehensive and self-contained treatment of the probabilistic theory behind the risk-neutral valuation principle and its application to the pricing and hedging of financial derivatives. On the probabilistic side, both discrete- and continuous-time stochastic processes are treated, with special emphasis on martingale theory, stochastic integration and change-of-measure techniques. Based on firm probabilistic foundations, general properties of discrete- and continuous-time financial market models are discussed.

Financial Modeling Under Non-Gaussian Distributions

2007-04-05
 |  Mathematics
Financial Modeling Under Non-Gaussian Distributions

Author: Eric Jondeau

Publisher: Springer Science & Business Media

ISBN: 9781846286964

Category: Mathematics

Page: 541

View: 442

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This book examines non-Gaussian distributions. It addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. The book is written for non-mathematicians who want to model financial market prices so the emphasis throughout is on practice. There are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series.

Semiparametric Modeling of Implied Volatility

2006-01-17
 |  Business & Economics
Semiparametric Modeling of Implied Volatility

Author: Matthias R. Fengler

Publisher: Springer Science & Business Media

ISBN: 9783540305910

Category: Business & Economics

Page: 224

View: 109

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This book offers recent advances in the theory of implied volatility and refined semiparametric estimation strategies and dimension reduction methods for functional surfaces. The first part is devoted to smile-consistent pricing approaches. The second part covers estimation techniques that are natural candidates to meet the challenges in implied volatility surfaces. Empirical investigations, simulations, and pictures illustrate the concepts.

Term-Structure Models

2009-07-28
 |  Mathematics
Term-Structure Models

Author: Damir Filipovic

Publisher: Springer Science & Business Media

ISBN: 9783540680154

Category: Mathematics

Page: 256

View: 736

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Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathematics of term-structure models in continuous time. It includes practical aspects for fixed-income markets such as day-count conventions, duration of coupon-paying bonds and yield curve construction; arbitrage theory; short-rate models; the Heath-Jarrow-Morton methodology; consistent term-structure parametrizations; affine diffusion processes and option pricing with Fourier transform; LIBOR market models; and credit risk. The focus is on a mathematically straightforward but rigorous development of the theory. Students, researchers and practitioners will find this volume very useful. Each chapter ends with a set of exercises, that provides source for homework and exam questions. Readers are expected to be familiar with elementary Itô calculus, basic probability theory, and real and complex analysis.