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Elsevier

Books in General financial markets

  • Commodities for Sustainable Development

    Exchange-Traded Commodities and Other Commodity-Linked Financial Instruments
    • 1st Edition
    • Adam Marszk
    • English
    Commodities for Sustainable Development: Exchange-Traded Commodities and Other Commodity-Linked Financial Instruments offers highly focused insights into commodities investing in line with sustainability and ESG principles. The book uniquely focuses on commodities in sustainable/ESG investment portfolios, with exposure gained through the units of ETCs, and also providing up-to-date reviews of literature and theoretical concepts. Sections explain the main features of ETCs and compare them to other similar financial products—especially ones used for commodities investing—indicating relative strengths and weaknesses. Additional sections discusses the possible impact of ETCs on related markets, including underlying assets and those derived from empirical and theoretical examinations.The empirical analysis presented in the book covers all ETCs available globally, thus offering valuable insights into the often-understudied markets. This book serves as a valuable resource for a wide range of readers—researchers, students, instructors, and professionals alike—due to its theoretical and empirical outline of the commodities-linked financial instruments, particularly ETCs.

  • Handbook of Blockchain, Digital Finance, and Inclusion, Volume 3

    Web3, AI, Privacy and Greentech
    • 1st Edition
    • David Lee Kuo Chuen + 1 more
    • English
    Handbook of Blockchain, Digital Finance, and Inclusion, Volume Three: Web3, AI, Privacy and Greentech presents the latest technological developments and innovations occurring in cryptocurrency. The book explores the hottest topics in this fast-moving area, emphasizing the financial opportunities made possible by cryptocurrencies, such as DePIN and decentralized finance while also presenting the theories and advances that have the potential to create additional opportunities in the convergence of blockchain with AI and privacy technology. Users will find this to be an important resource that bridges the gap between practical usability and academic perspective.This new volume continues the tradition of the first two, focusing on the latest trends, including Web3, Zero Knowledge Proof, Machine learning, Quantum Technologies, the Internet of Things in ESG, decentralized networks, digitalization, and more. It will serve as a valuable reference to an international audience that wants to learn not only about their own fields of specialization but also related fields.

  • Clearing, Settlement and Custody

    • 3rd Edition
    • David Loader
    • English
    Clearing, Settlement, and Custody, Third Edition, introduces the post-trade infrastructure and its institutions. Author David Loader reduces the complexity of this environment in a non-technical way, helping students and professionals understand the complex chain of events that starts with securities trading and ends the settlement of cash and paper. The Third Edition examines the roles of clearing houses, central counterparties, central securities depositories, and custodians. The book assesses the impact on workflow and procedures in the operations function at banks, brokers, and institutions. In consideration of technological and regulatory advances, this edition adds 5 new chapters while introducing new case studies and updating examples.

  • Extending Financial Inclusion in Africa

    • 1st Edition
    • Daniel Makina
    • English
    Extending Financial Inclusion in Africa unveils the genesis and transformation of Africa’s financial sector and its ability to provide finance for all. Contributors of the Book traverse the whole spectrum of African financial systems, examining their depth and breadth and empirically evaluating their appropriateness and effectiveness to achieve inclusive financial services.

  • Market Insanity

    A Brief Guide to Diagnosing the Madness in the Stock Market
    • 1st Edition
    • Michael Taillard
    • English
    Market Insanity: A Brief Guide to Diagnosing the Madness in the Stock Market is an engaging and accessible primer which applies modern behavioral finance to equity markets. It helps readers understand how logical investment decisions can be betrayed by what Taillard calls "the insanity," all those behavioral quirks which cause us to achieve less than optimal utility. The book describes how limited information, habit, the rules of the game, asymmetric information and ego blend together in potentially toxic ways in market environments, thus creating bubbles, stock runs, and more prosaically, even ‘normal’ equity prices. In addition, the book discusses the implications of these behaviors in-depth. In so doing, it helps the reader to not only predict the madness within equity markets, but also helps them develop solutions that address and mitigate outcomes.

  • Handbook of Investors' Behavior during Financial Crises

    • 1st Edition
    • Fotini Economou + 3 more
    • English
    The Handbook of Investors' Behavior during Financial Crises provides fundamental information about investor behavior during turbulent periods, such the 2000 dot com crash and the 2008 global financial crisis. Contributors share the same behavioral finance tools and techniques while analyzing behaviors across a variety of market structures and asset classes. The volume provides novel insights about the influence and effects of regional differences in market design. Its distinctive approach to studies of financial crises is of key importance in our contemporary financial landscape, even more so since the accelerated process of globalization has rendered the outbreak of financial crises internationally more commonplace compared to previous decades.

  • Redefining Capitalism in Global Economic Development

    • 1st Edition
    • Kui-Wai Li
    • English
    Redefining Capitalism in Global Economic Development reconsiders capitalism by taking into account the unfolding forces of economic globalization, especially in Asian economies. It explores the economic implications and consequences of recent financial crises, terrorism, ultra-low interest rates that are decades-long, debt-prone countries and countries with large trade surpluses. The book illuminates these economic implications and consequences through a framework of capitalist ideologies and concepts, recognizing that Asia is redefining capitalism today. The author, Li, seeks not to describe why nations fail, but how the sustainability of capitalism can save the world.

  • Solving Modern Crime in Financial Markets

    Analytics and Case Studies
    • 1st Edition
    • Marius-Cristian Frunza
    • English
    This comprehensive source of information about financial fraud delivers a mature approach to fraud detection and prevention. It brings together all important aspect of analytics used in investigating modern crime in financial markets and uses R for its statistical examples. It focuses on crime in financial markets as opposed to the financial industry, and it highlights technical aspects of crime detection and prevention as opposed to their qualitative aspects. For those with strong analytic skills, this book unleashes the usefulness of powerful predictive and prescriptive analytics in predicting and preventing modern crime in financial markets.

  • Introduction to the Theories and Varieties of Modern Crime in Financial Markets

    • 1st Edition
    • Marius-Cristian Frunza
    • English
    Introduction to the Theories and Varieties of Modern Crime in Financial Markets explores statistical methods and data mining techniques that, if used correctly, can help with crime detection and prevention. The three sections of the book present the methods, techniques, and approaches for recognizing, analyzing, and ultimately detecting and preventing financial frauds, especially complex and sophisticated crimes that characterize modern financial markets. The first two sections appeal to readers with technical backgrounds, describing data analysis and ways to manipulate markets and commit crimes. The third section gives life to the information through a series of interviews with bankers, regulators, lawyers, investigators, rogue traders, and others. The book is sharply focused on analyzing the origin of a crime from an economic perspective, showing Big Data in action, noting both the pros and cons of this approach.

  • Contemporary Financial Intermediation

    • 3rd Edition
    • Stuart I. Greenbaum + 2 more
    • English
    In Contemporary Financial Intermediation, Third Edition, Greenbaum, Thakor and Boot offer a distinctive approach to financial markets and institutions, presenting an integrated portrait that puts information at the core. Instead of simply naming and describing markets, regulations, and institutions as competing books do, the authors explore the endless subtlety and plasticity of financial institutions and credit markets. This edition has six new chapters and increased, enhanced pedagogical supplements. The book is ideal for anyone working in the financial sector, presenting professionals with a comprehensive understanding of the reasons why markets, institutions, and regulators act as they do. Readers will find an unmatched, thorough discussion of the world's financial markets and how they function.

  • Handbook of High Frequency Trading

    • 1st Edition
    • Greg N. Gregoriou
    • English
    This comprehensive examination of high frequency trading looks beyond mathematical models, which are the subject of most HFT books, to the mechanics of the marketplace. In 25 chapters, researchers probe the intricate nature of high frequency market dynamics, market structure, back-office processes, and regulation. They look deeply into computing infrastructure, describing data sources, formats, and required processing rates as well as software architecture and current technologies. They also create contexts, explaining the historical rise of automated trading systems, corresponding technological advances in hardware and software, and the evolution of the trading landscape. Developed for students and professionals who want more than discussions on the econometrics of the modelling process, The Handbook of High Frequency Trading explains the entirety of this controversial trading strategy.

  • Finance

    A Quantitative Introduction
    • 1st Edition
    • Piotr Staszkiewicz + 1 more
    • English
    Many students want an introduction to finance. Those who are quantitatively-orien... learners can benefit in particular from an introduction that puts more emphasis on mathematics and graphical presentations than on verbal descriptions. By illustrating core finance facts and concepts through equations and graphical material, Finance: A Quantitative Introduction can help people studying business management, marketing, accounting, and other subjects. By using few lengthy verbal explanations and many illustrations, it can teach readers quickly and efficiently.

  • China’s Venture Capital Market

    Current Legal Problems and Prospective Reforms
    • 1st Edition
    • Lin Zhang
    • English
    The venture capital market in China has been developing for over twenty years. Over this period, the legal frameworks surrounding China’s venture capital have evolved significantly. China’s Venture Capital Market addresses this important topic and argues for further improvements in legal frameworks for venture capital in China. The book consists of five chapters, each covering an aspect of venture capital in China. The first chapter profiles the venture capital market. The second, third and fourth chapters consider the legal problems and suggest reform measures for fundraising in, operation of and exit from Chinese venture capital. The book concludes by asking how long it will take for reform measures to take place in China.

  • China

    Trade, Foreign Direct Investment, and Development Strategies
    • 1st Edition
    • Yanqing Jiang
    • English
    Trade and foreign direct investment (FDI) play a crucial role in shaping China’s development strategies. The development of China’s economy creates strong pressures for continuous restructuring. <I>China</I... therefore explores how trade and FDI affect China’s development strategies regarding the process and pattern of restructuring. The book aims to provide the reader with findings that shed new light on the related issues and problems. The first chapter introduces the topics, and subsequent chapters enter into theoretical discussion and empirical analysis of trade, FDI, and development strategies, followed by a concluding final chapter.

  • Strategies of Banks and Other Financial Institutions

    Theories and Cases
    • 1st Edition
    • Rajesh Kumar
    • English
    How and why do strategic perspectives of financial institutions differ by class and region? Strategies of Banks and Other Financial Institutions: Theories and Cases is an introduction to global financial institutions that presents both theoretical and actual aspects of markets and institutions. The book encompasses depository and non-depository Institutions; money markets, bond markets, and mortgage markets; stock markets, derivative markets, and foreign exchange markets; mutual funds, insurance, and pension funds; and private equity and hedge funds. It also addresses Islamic financing and consolidation in financial institutions and markets. Featuring up-to-date case studies in its second half, Strategies of Banks and Other Financial Institutions proposes a useful theoretical framework and strategic perspectives about risk, regulation, markets, and challenges driving the financial sectors.

  • Handbook of Asian Finance

    REITs, Trading, and Fund Performance, Volume 2
    • 1st Edition
    • David Lee Kuo Chuen + 1 more
    • English
    Participants in Asian financial markets have witnessed the unprecedented growth and sophistication of their investments since the 1997 crisis. Handbook of Asian Finance: REITs, Trading, and Fund Performance analyzes the forces behind these growth rates. Insights into banking, fund performance, and the effects of trading technologies for practitioners to tax evasion, market manipulation, and corporate governance issues are all here, presented by expert scholars. Offering broader and deeper coverage than other handbooks, the Handbook of Asian Finance: REITs, Trading, and Fund Performance explains what is going on in Asia today.

  • Multi-Asset Risk Modeling

    Techniques for a Global Economy in an Electronic and Algorithmic Trading Era
    • 1st Edition
    • Morton Glantz + 1 more
    • English
    Multi-Asset Risk Modeling describes, in a single volume, the latest and most advanced risk modeling techniques for equities, debt, fixed income, futures and derivatives, commodities, and foreign exchange, as well as advanced algorithmic and electronic risk management. Beginning with the fundamentals of risk mathematics and quantitative risk analysis, the book moves on to discuss the laws in standard models that contributed to the 2008 financial crisis and talks about current and future banking regulation. Importantly, it also explores algorithmic trading, which currently receives sparse attention in the literature. By giving coherent recommendations about which statistical models to use for which asset class, this book makes a real contribution to the sciences of portfolio management and risk management.

  • The Science of Algorithmic Trading and Portfolio Management

    • 1st Edition
    • Robert Kissell
    • English
    The Science of Algorithmic Trading and Portfolio Management, with its emphasis on algorithmic trading processes and current trading models, sits apart from others of its kind. Robert Kissell, the first author to discuss algorithmic trading across the various asset classes, provides key insights into ways to develop, test, and build trading algorithms. Readers learn how to evaluate market impact models and assess performance across algorithms, traders, and brokers, and acquire the knowledge to implement electronic trading systems. This valuable book summarizes market structure, the formation of prices, and how different participants interact with one another, including bluffing, speculating, and gambling. Readers learn the underlying details and mathematics of customized trading algorithms, as well as advanced modeling techniques to improve profitability through algorithmic trading and appropriate risk management techniques. Portfolio management topics, including quant factors and black box models, are discussed, and an accompanying website includes examples, data sets supplementing exercises in the book, and large projects.

  • China’s Capital Markets

    • 1st Edition
    • Yong Zhen
    • English
    Capital markets in China include stock, bond, futures and other derivatives, as well as the private equity market. China’s Capital Markets is the first book to systematically study China’s capital markets, examining its evolution, policies, reforms, current situation and challenges. Following an introduction to China’s capital markets and economic growth, the book moves on to cover further capital markets in China, including: the banking system, mergers and acquisitions, and valuation adjustment mechanisms, before concluding with a discussion of the opening up and internationalization of China’s capital markets.

  • An Introduction to Trading in the Financial Markets SET

    • 1st Edition
    • R. Tee Williams
    • English
    How do financial markets operate on a daily basis? These four volumes introduce the structures, instruments, business functions, technology, regulations, and issues commonly found in financial markets. Placing each of these elements into context, Tee Williams describes what people do to make the markets run. His descriptions apply to all financial markets, and he includes country-specific features, stories, historical facts, glossaries, and brief technical explanations that reveal individual variations and nuances. Detailed visual cues reinforce the author’s insights to guide readers through the material. This book will explain where brokers fit into front office, middle office, and back office operations.

  • An Introduction to Trading in the Financial Markets: Global Markets, Risk, Compliance, and Regulation

    • 1st Edition
    • R. Tee Williams
    • English
    Succeeding in the financial markets requires a mastery of many disciplines. Mastery begins with understanding the actors, rules, and dynamics and the ways in which they interact. This volume, the last of a 4-volume series, presents a broad perspective on key subjects such as regulation and compliance, risk and ways to mitigate it, and the directions in which trading markets might evolve. Like its predecessors, it presents alternative versions of the future: will the sell side or buy side come to dominate, for example, and how might new technologies shape global markets? Mastery of the financial markets begins with its authoritative, heavily illustrated presentation.

  • Auction Theory

    • 2nd Edition
    • Vijay Krishna
    • English
    Auction Theory, Second Edition improves upon his 2002 bestseller with a new chapter on package and position auctions as well as end-of-chapter questions and chapter notes. Complete proofs and new material about collusion complement Krishna’s ability to reveal the basic facts of each theory in a style that is clear, concise, and easy to follow. With the addition of a solutions manual and other teaching aids, the 2e continues to serve as the doorway to relevant theory for most students doing empirical work on auctions.

  • Handbook of Financial Markets: Dynamics and Evolution

    • 1st Edition
    • Thorsten Hens + 1 more
    • English
    The models of portfolio selection and asset price dynamics in this volume seek to explain the market dynamics of asset prices. Presenting a range of analytical, empirical, and numerical techniques as well as several different modeling approaches, the authors depict the state of debate on the market selection hypothesis. By explicitly assuming the heterogeneity of investors, they present models that are descriptive and normative as well, making the volume useful for both finance theorists and financial practitioners.

  • The Future of the Financial Exchanges

    Insights and Analysis from The Mondo Visione Exchange Forum
    • 1st Edition
    • Herbie Skeete
    • English
    In May 2007, an extraordinary meeting took place in London's The Exchange Forum. Chief executives from many of the world's most important financial exchanges came together with senior executives from a wide array of global banking, trading, and investing firms, index providers, regulators, system suppliers, and key academics to discuss the rapidly changing business and technological environment in which exchanges function. The forum was an exclusive event, open only to the most senior-level individuals in the global exchanges community: those who run exchanges, who are clients of exchanges, who invest in exchanges, and who supply goods and services to exchanges.In presentations and panel discussions over two days, these experts explored the effect of shrinking margins as more instruments became exchange traded rather than OTC and the conflicts that creates. They shared what exchanges are doing today to respond to the challenges wrought by competition, globalization, and rapid technology advances. And they looked into the future and discussed the multi-asset, multi-currency, and multi-region trading that holds out the promise of future success.The book is based on the discussion and analysis that took place at this exclusive event that brought together leading exchange professionals, their customers, and suppliers from around the globe to share insights and experiences. It will provide an overview of the latest technological, regulatory, and market developments in the exchange industry and the common problems exchanges face; explain how these problems are being addressed; and present the consensus view from leading exchange professionals about how to move forward. Most significant, the ideas in the book will come directly from the worlds leading exchange professionals and customers.

  • Indian Financial Markets

    An Insider's Guide to How the Markets Work
    • 1st Edition
    • Ajay Shah + 2 more
    • English
    The whole world wants to invest in India. But how to do this successfully? Written by two Indian financial experts with a seasoned expert of the Chicago Mercantile Exchange, this book tells you the why and how of investing in India. It explains how India's financial markets work, discusses the amazing growth of the Indian economy, identifies growth drivers, uncovers areas of uncertainty and risk. It describes how each market works: private equity and IPOs, bonds, stocks, derivatives, commodities, real estate, currency. The authors include a discussion of capital controls in each section to address the needs of foreign investors. Learn about the the markets, the instruments, the participants, and the institutions governing trading, clearing, and settlement of transactions, as well as the legal and regulatory framework governing financial securities transactions.

  • A Behavioral Approach to Asset Pricing

    • 2nd Edition
    • Hersh Shefrin
    • English
    Behavioral finance is the study of how psychology affects financial decision making and financial markets. It is increasingly becoming the common way of understanding investor behavior and stock market activity. Incorporating the latest research and theory, Shefrin offers both a strong theory and efficient empirical tools that address derivatives, fixed income securities, mean-variance efficient portfolios, and the market portfolio. The book provides a series of examples to illustrate the theory.

  • Straight Through Processing for Financial Services

    The Complete Guide
    • 1st Edition
    • Ayesha Khanna
    • English
    As economic and regulatory pressures drive financial institutions to seek efficiency gains by improving the quality of their trading processes and systems, firms are devoting increasing amounts of capital to maintaining their competitive edge. Straight-Through Processing (STP), which automates every step in the trading system, is the most effective way for firms to remain competitive. According to the Securities Industry Association, the US securities industry will spend $8 billion to implement STP initiatives, and 99% percent of this investment will be made in systems internal to the firm. Straight-Through Processing for Financial Services: The Complete Guide provides the knowledge and tools required by operations managers and systems architects to develop and implement STP processing systems that streamline business processes to maintain competitiveness in the market.

  • MDDL and the Quest for a Market Data Standard

    Explanation, Rationale, and Implementation
    • 1st Edition
    • Martin Christopher Sexton
    • English
    The aim of this book is to provide an objective vendor independent assessment of the Market Data Definition Language (MDDL), the eXtensible Mark-up Language (XML) standard for market data. Assuming little previous knowledge of the standard, or of systems networking, the book identifies the challenges and significance of the standard, examines the business and market drivers and presents decision makers with a clear, concise and jargon free read. Technical material is set off so that Systems Analysts are provided with an explanation to the standard’s business terms, context and deep hierarchical structure thus enabling them to create MDDL compliant interfaces. In this way, the book confers the knowledge to enable business and technology professionals to converse comfortably regarding financial systems integration.

  • Electronic and Algorithmic Trading Technology

    The Complete Guide
    • 1st Edition
    • Kendall Kim
    • English
    Electronic and algorithmic trading has become part of a mainstream response to buy-side traders’ need to move large blocks of shares with minimum market impact in today’s complex institutional trading environment. This book illustrates an overview of key providers in the marketplace. With electronic trading platforms becoming increasingly sophisticated, more cost effective measures handling larger order flow is becoming a reality. The higher reliance on electronic trading has had profound implications for vendors and users of information and trading products. Broker dealers providing solutions through their products are facing changes in their business models such as: relationships with sellside customers, relationships with buyside customers, the importance of broker neutrality, the role of direct market access, and the relationship with prime brokers. Electronic and Algorithmic Trading Technology: The Complete Guide is the ultimate guide to managers, institutional investors, broker dealers, and software vendors to better understand innovative technologies that can cut transaction costs, eliminate human error, boost trading efficiency and supplement productivity. As economic and regulatory pressures are driving financial institutions to seek efficiency gains by improving the quality of software systems, firms are devoting increasing amounts of financial and human capital to maintaining their competitive edge. This book is written to aid the management and development of IT systems for financial institutions. Although the book focuses on the securities industry, its solution framework can be applied to satisfy complex automation requirements within very different sectors of financial services – from payments and cash management, to insurance and securities. Electronic and Algorithmic Trading: The Complete Guide is geared toward all levels of technology, investment management and the financial service professionals responsible for developing and implementing cutting-edge technology. It outlines a complete framework for successfully building a software system that provides the functionalities required by the business model. It is revolutionary as the first guide to cover everything from the technologies to how to evaluate tools to best practices for IT management.

  • Contemporary Financial Intermediation

    • 5th Edition
    • Stuart I. Greenbaum + 1 more
    • English
    Contemporary Financial Intermediation, Second Edition, brings a unique analytical approach to the subject of banks and banking. This completely revised and updated edition expands the scope of the typical bank management course by addressing all types of deposit-type financial institutions, and by explaining the why of intermediation rather than simply describing institutions, regulations, and market phenomena. This analytic approach strikes at the heart of financial intermediation by explaining why financial intermediaries exist and what they do. Specific regulations, economies, and policies will change, but the underlying philosophical foundations remain the same. This approach enables students to understand the foundational principles and to apply them to whatever context they encounter as professionals. This book is the perfect liaison between the microeconomics realm of information economics and the real world of banking and financial intermediation. This book is recommended for advanced undergraduates and MSc in Finance students with courses on commercial bank management, banking, money and banking, and financial intermediation.

  • Building Automated Trading Systems

    With an Introduction to Visual C++.NET 2005
    • 1st Edition
    • Benjamin Van Vliet
    • English
    Over the next few years, the proprietary trading and hedge fund industries will migrate largely to automated trade selection and execution systems. Indeed, this is already happening. While several finance books provide C++ code for pricing derivatives and performing numerical calculations, none approaches the topic from a system design perspective. This book will be divided into two sections: programming techniques and automated trading system ( ATS ) technology and teach financial system design and development from the absolute ground up using Microsoft Visual C++.NET 2005. MS Visual C++.NET 2005 has been chosen as the implementation language primarily because most trading firms and large banks have developed and continue to develop their proprietary algorithms in ISO C++ and Visual C++.NET provides the greatest flexibility for incorporating these legacy algorithms into working systems. Furthermore, the .NET Framework and development environment provide the best libraries and tools for rapid development of trading systems. The first section of the book explains Visual C++.NET 2005 in detail and focuses on the required programming knowledge for automated trading system development, including object oriented design, delegates and events, enumerations, random number generation, timing and timer objects, and data management with STL.NET and .NET collections. Furthermore, since most legacy code and modeling code in the financial markets is done in ISO C++, this book looks in depth at several advanced topics relating to managed/unmanaged/CO... memory management and interoperability. Further, this book provides dozens of examples illustrating the use of database connectivity with ADO.NET and an extensive treatment of SQL and FIX and XML/FIXML. Advanced programming topics such as threading, sockets, as well as using C++.NET to connect to Excel are also discussed at length and supported by examples. The second section of the book explains technological concerns and design concepts for automated trading systems. Specifically, chapters are devoted to handling real-time data feeds, managing orders in the exchange order book, position selection, and risk management. A .dll is included in the book that will emulate connection to a widely used industry API ( Trading Technologies, Inc.’s XTAPI ) and provide ways to test position and order management algorithms. Design patterns are presented for market taking systems based upon technical analysis as well as for market making systems using intermarket spreads. As all of the chapters revolve around computer programming for financial engineering and trading system development, this book will educate traders, financial engineers, quantitative analysts, students of quantitative finance and even experienced programmers on technological issues that revolve around development of financial applications in a Microsoft environment and the construction and implementation of real-time trading systems and tools.

  • A Behavioral Approach to Asset Pricing

    • 1st Edition
    • Hersh Shefrin
    • English
    A Behavioral Approach to Asset Pricing Theory examines the reigning assumptions of asset pricing theory and reconstructs them to incorporate findings from behavioral finance. It constructs a solid, intact structure that challenges classic assumptions and at the same time provides a strong theory and efficient empirical tools. Building on the models developed by both traditional asset pricing theorists and behavioral asset pricing theorists, this book takes the discussion to the next step. The author provides a general behaviorally based intertemporal treatment of asset pricing theory that extends to the discussion of derivatives, fixed income securities, mean-variance efficient portfolios, and the market portfolio.The book develops a series of examples to illustrate the theoretical results. The CD-ROM contains most of the examples, worked out as Excel spreadsheets, so that a diligent reader can follow them through.Instructors might also want to use the examples to assign class exercises, asking students to modify the numbers and see what happens.

  • Understanding Credit Derivatives and Related Instruments

    • 1st Edition
    • Antulio N. Bomfim
    • English
    The global credit derivatives market is estimated to have grown from virtually nothing in the early 1990s to over $2 trillion dollars. Although still relatively young, the credit derivatives market has already developed to the point where one can characterize its evolution in terms of developments in its various segments, such as the market for single-name credit derivatives or the market for credit derivatives written on sovereign credits.Understandin... Credit Derivatives offers a comprehensive introduction to the credit derivatives market. Rather than presenting a highly technical exploration of the subject, it offers intuitive and rigorous summaries of the major subjects and the principal perspectives associated with them. The centerpiece is pricing and valuation issues, especially discussions of different valuation tools and their use in credit models.

  • The World Sugar Market

    • 1st Edition
    • Sergey Gudoshnikov + 2 more
    • English
    Since the first book published by Woodhead on the global sugar business (The international sugar trade) was released in 1996, the world sugar market has undergone fundamental change. Over the past decade the industry’s key economic and policy drivers have created a new regional distribution of sugar production that has had an enormous impact on the price finding process as well as changing the type of sugar on offer to the world market. Brazil has become a dominant supplier whilst Cuba’s production has collapsed to the pre World War One level; Russia has become the world’s greatest importer and structural surpluses have seen stocks rise to historic highs and the world price fall to a level below the production costs of some of the most competitive exporters.The world sugar market focuses on these changes by identifying, describing and assessing the key industry drivers and their future potential impact on the market. Part one provides an overview – covering the history of sugar production and consumption, cultivation of beet and cane and the current state of the market for sugar and alternative sweeteners. Part two focuses on identifying, describing and assessing the key market drivers, both economic and political, on sugar demand. Part is devoted to a similar analysis of sugar supply, whilst part four covers the future for the sugar markets.The world sugar market is aimed at a wide audience from the sugar specialist looking for in-depth information on a specific topic to the newcomer needing to gain an overview of the current state-of-play and future for the world sugar market. The book is published in collaboration with the International Sugar Organization whose statistics and studies are used extensively throughout.

  • Achieving Market Integration

    Best Execution, Fragmentation and the Free Flow of Capital
    • 1st Edition
    • Scott McCleskey
    • English
    Best execution, market integration, and other major financial market issues have traditionally been dealt with as separate matters requiring individual solutions. In Achieving Market Integration the author demonstrates the interrelated nature of these and other imperative problems, and sensibly reduces them to their common fundamental principles. Beginning with an in-depth examination of best execution in today's multiple-market environment, the book moves logically into an examination of market structure and the problems of achieving genuine integration. The book makes the case that order interaction is fundamental to addressing each of these issues, and develops a unified regulatory approach to achieve true market integration based on intermarket linkages and a cross-market best execution policy. This unique approach culminates in a coherent set of policy recommendations and an innovative framework for assessing the effectiveness of future policy proposals.

  • Handbook of the Economics of Finance

    Financial Markets and Asset Pricing
    • 1st Edition
    • Volume 1B
    • G. Constantinides + 2 more
    • English
    Volume 1B covers the economics of financial markets: the saving and investment decisions; the valuation of equities, derivatives, and fixed income securities; and market microstructure.

  • Operational Risk Control with Basel II

    Basic Principles and Capital Requirements
    • 1st Edition
    • Dimitris N. Chorafas
    • English
    Operational Risk Control with Basel II, provides a sound methodology for operational risk control and focuses on management risk and ways to avoid it. The book explains why and how information technology is a major operational risk and shows how to integrate cost control in the operational risk perspective. It aslo details analytical approaches to operational risk control, to help with scorecard developments, explains the distinction between High Frequency Low Risk and Low Frequency High Risk events and provides many case studeies from banking and insurance to demonstrate the attention operational risks deserve.

  • IPOs and Equity Offerings

    • 1st Edition
    • Ross Geddes
    • English
    An initial public offering (IPO) is one of the most significant events in corporate life. It follows months, even years of preparation. During the boom years of the late 1990s bull market, IPOs of growth companies captured the imagination and pocketbooks of investors like never before. This book goes behind the scenes to examine the process of an offering from the decision to go public to the procedures of a subsequent equity offering. The book is written from the perspective of an experienced investment banker describing the hows and whys of IPOs and subsequent equity issues. Each aspect of an IPO is illustrated with plenty of international examples pitched alongside relevant academic research to offer a combination of theoretical rigour and practical application. Topics covered are: - the decision to go public- legal and regulatory aspects of an offering; marketing and research- valuation and pricing- allocations of shares to investors - examination of fees and commissions

  • Value at Risk

    Theory and Practice
    • 1st Edition
    • Glyn A. Holton
    • English
    Value at Risk is the first advanced book published on value-at-risk (VaR). It describes the ways to design, implement, and use scalable production VaR measures on actual trading floors. It takes readers from the basics of VaR to the most advanced techniques, many of which have never been published in book form. Practical, detailed examples are drawn from markets around the world, including: Euro deposits, Pacific Basin equities, physical coffees, and North American natural gas. Real-world challenges relating to market data, portfolio mappings, multicollinearity, and intra-horizon events are addressed in detail. Exercises reinforce concepts and walk readers step-by-step through computations. Sophisticated techniques are fully disclosed, including quadratic (delta-gamma) methods for nonlinear portfolios, variance reduction (control variates and stratified sampling) for Monte Carlo VaR measures, principal component remappings, techniques to fix estimated covariance matrices that are not positive-definite, the Cornish-Fisher expansion, and orthogonal GARCH. This text is ideal for finance professionals around the world, finance professors, and students.

  • Clearing, Settlement and Custody

    • 1st Edition
    • David Loader
    • English
    'Clearing, Settlement and Custody' focuses on the clearing, settlement and custody functions by analyzing how they work and the interaction between the organizations involved. The author examines the roles of clearing houses, central counterparties, central securities depositories and the custodians, as well as, assessing the impact on the workflow and procedures in the operations function at banks, brokers and institutions. The changes that are taking place in the industry are explored and the impact for operations managers and supervisors assessed.Clearing, settlement and custody is at the heart of everything that happens in the financial markets. The evolution of clearing and settlement is one that is still happening and as such, it is impacting on the operations function through both new practices but also, increasingly, in terms of regulation, risk and reputation.In essence the efficient clearing and settlement operation is managing risk, not because it is a direct part of the process but more because it is a bi-product. The routine procedures relate to reconciliation and record keeping. If these are performed efficiently and accurately it will result in accurate records of activity and profit and loss.The settlement process is a key element in identifying and correcting errors made by dealers and traders. Failure to identify the error or act promptly will result in potentially serious financial loss, as well as worrying audit and the regulators.In addition to these concerns the financial service sector is also undergoing a massive rationalization of the structure of clearing and settlement and seeking the twin goals of automation and shortening settlement cycles. The challenge for operations managers is considerable: manage costs, eradicate inefficiencies, create an environment to be competitive, and implement the procedures to meet future changes that will occur. In this book the author looks at some of the different roles, the processes and procedures, and the key issues, in order to help those in operations meet the challenge.

  • Forecasting Volatility in the Financial Markets

    • 2nd Edition
    • Stephen Satchell + 1 more
    • English
    'Forecasting Volatility in the Financial Markets' assumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting edge modelling and forecasting techniques. It then uses a technical survey to explain the different ways to measure risk and define the different models of volatility and return.The editors have brought together a set of contributors that give the reader a firm grounding in relevant theory and research and an insight into the cutting edge techniques applied in this field of the financial markets.This book is of particular relevance to anyone who wants to understand dynamic areas of the financial markets.* Traders will profit by learning to arbitrage opportunities and modify their strategies to account for volatility.* Investment managers will be able to enhance their asset allocation strategies with an improved understanding of likely risks and returns.* Risk managers will understand how to improve their measurement systems and forecasts, enhancing their risk management models and controls.* Derivative specialists will gain an in-depth understanding of volatility that they can use to improve their pricing models.* Students and academics will find the collection of papers an invaluable overview of this field.

  • Advances in Investment Analysis and Portfolio Management

    • 1st Edition
    • Volume 9
    • Cheng-Few Lee
    • English
    Twelve papers focus on investment analysis, portfolio theory, and their implementation in portfolio management

  • Advanced Trading Rules

    • 2nd Edition
    • Emmanual Acar + 1 more
    • English
    Advanced Trading Rules is the essential guide to state of the art techniques currently used by the very best financial traders, analysts and fund managers. The editors have brought together the world's leading professional and academic experts to explain how to understand, develop and apply cutting edge trading rules and systems. It is indispensable reading if you are involved in the derivatives, fixed income, foreign exchange and equities markets. Advanced Trading Rules demonstrates how to apply econometrics, computer modelling, technical and quantitative analysis to generate superior returns, showing how you can stay ahead of the curve by finding out why certain methods succeed or fail. Profit from this book by understanding how to use: stochastic properties of trading strategies; technical indicators; neural networks; genetic algorithms; quantitative techniques; charts. Financial markets professionals will discover a wealth of applicable ideas and methods to help them to improve their performance and profits. Students and academics working in this area will also benefit from the rigorous and theoretically sound analysis of this dynamic and exciting area of finance.

  • Foreign Exchange and Money Markets

    Theory, Practice and Risk Management
    • 1st Edition
    • Bob Steiner
    • English
    Floating rates, central-bank intervention, derivatives trading and the very high volumes of speculative and round-the-clock trading are just a few of the facets of the foreign exchange marketplace that make it a highly dynamic and volatile arena. This book addresses the practical applications of foreign currency trading and money market trading and provides comprehensive coverage of these markets.Coverage includes: What the instruments are How and why they are used - by both bank dealers and corporate end-users How the different instruments are linked one to another How you price them Structure of the market, EMU etc The range of risks arising from dealings in these instruments that affect banks and corporates How these risks are measured and managed

  • Economics for Financial Markets

    • 1st Edition
    • Brian Kettell
    • English
    Successful trading, speculating or simply making informed decisions about financial markets means it is essential to have a firm grasp of economics. Financial market behaviour revolves around economic concepts, however the majority of economic textbooks do not tell the full story.To fully understand the behaviour of financial markets it is essential to have a model that enables new information to be absorbed and analysed with some predictive implications. That model is provided by the business cycle. 'Economics for Financial Markets' takes the reader from the basics of financial market valuation to a more sophisticated understanding of the actions that traders take which ultimately drives the volatility in the financial markets. The author shows traders, investment managers, risk managers and finance professionals how to distil the flow of information and show what needs to be concentrated on, covering topics such as:* Why are financial markets subject to economic fashions?* How has the New Economy changed financial market behaviour? * Does the creation of the euro fundamentally change the behaviour of the currency markets?

  • Managing Downside Risk in Financial Markets

    • 1st Edition
    • Frank A. Sortino + 1 more
    • English
    Quantitative methods have revolutionized the area of trading, regulation, risk management, portfolio construction, asset pricing and treasury activities, and governmental activity such as central banking to name but some of the applications. Downside-risk, as a quantitative method, is an accurate measurement of investment risk, because it captures the risk of not accomplishing the investor's goal.'Downside Risk in Financial Markets' demonstrates how downside-risk can produce better results in performance measurement and asset allocation than variance modelling. Theory, as well as the practical issues involved in its implementation, is covered and the arguments put forward emphatically show the superiority of downside risk models to variance models in terms of risk measurement and decision making. Variance considers all uncertainty to be risky. Downside-risk only considers returns below that needed to accomplish the investor's goal, to be risky.Risk is one of the biggest issues facing the financial markets today. 'Downside Risk in Financial Markets' outlines the major issues for Investment Managers and focuses on "downside-risk" as a key activity in managing risk in investment/portfolio management. Managing risk is now THE paramount topic within the financial sector and recurring losses through the 1990s has shocked financial institutions into placing much greater emphasis on risk management and control.Free Software Enclosed To help you implement the knowledge you will gain from reading this book, a CD is enclosed that contains free software programs that were previously only available to institutional investors under special licensing agreement to The pension Research Institute. This is our contribution to the advancement of professionalism in portfolio management.The Forsey-Sortino model is an executable program that:1. Runs on any PC without the need of any additional software.2. Uses the bootstrap procedure developed by Dr. Bradley Effron at Stanford University to uncover what could have happened, instead of relying only on what did happen in the past. This is the best procedure we know of for describing the nature of uncertainty in financial markets. 3. Fits a three parameter lognormal distribution to the bootstrapped data to allow downside risk to be calculated from a continuous distribution. This improves the efficacy of the downside risk estimates.4. Calculates upside potential and downside risk from monthly returns on any portfolio manager. 5. Calculates upside potential and downside risk from any user defined distribution.Forsey-... Source Code:1. The source code, written in Visual Basic 5.0, is provided for institutional investors who want to add these calculations to their existing financial services. 2. No royalties are required for this source code, providing institutions inform clients of the source of these calculations. A growing number of services are now calculating downside risk in a manner that we are not comfortable with. Therefore, we want investors to know when downside risk and upside potential are calculated in accordance with the methodology described in this book. Riddles Spreadsheet:1. Neil Riddles, former Senior Vice President and Director of Performance Analysis at Templeton Global Advisors, now COO at Hansberger Global Advisors Inc., offers a free spreadsheet in excel format.2. The spreadsheet calculates downside risk and upside potential relative to the returns on an index

  • Bond and Money Markets: Strategy, Trading, Analysis

    • 1st Edition
    • Moorad Choudhry
    • English
    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.

  • An Introduction to High-Frequency Finance

    • 1st Edition
    • Ramazan Gençay + 4 more
    • English
    Liquid markets generate hundreds or thousands of ticks (the minimum change in price a security can have, either up or down) every business day. Data vendors such as Reuters transmit more than 275,000 prices per day for foreign exchange spot rates alone. Thus, high-frequency data can be a fundamental object of study, as traders make decisions by observing high-frequency or tick-by-tick data. Yet most studies published in financial literature deal with low frequency, regularly spaced data. For a variety of reasons, high-frequency data are becoming a way for understanding market microstructure. This book discusses the best mathematical models and tools for dealing with such vast amounts of data.This book provides a framework for the analysis, modeling, and inference of high frequency financial time series. With particular emphasis on foreign exchange markets, as well as currency, interest rate, and bond futures markets, this unified view of high frequency time series methods investigates the price formation process and concludes by reviewing techniques for constructing systematic trading models for financial assets.

  • Property Futures and Securitisation - the Way Ahead

    • 1st Edition
    • Julian Roche
    • English
    This book provides an analysis of the attempts in both US and UK to chase the 'Holy Grail' of liquid property; the buying and selling of small manageable chunks of property and creating a market like those for shares, gilts and derivatives. This is the first book to explore liquid property from an insiders point-of-view, with coverage of all the issues and problems. A practical insight is provided into the techniques which could be employed to create liquidity in the property market, and the benefits that would result from such a phenomenon. This book will be of interest to members of the institutional investment world, chartered surveyors, property professionals and the financial advisory community.

  • French Financial Markets

    • 1st Edition
    • Gilbert Durieux + 2 more
    • English
    The author's have provided a clear vision of the French financial sector, which is often underestimated by the international community. The rate of change has been significant, with the size of Paris as a financial centre growing significantly faster than New York, Frankfurt, and even London and Tokyo. The modernisation that has been undertaken, which is responsible for this growth, has affected all aspects of the French financial markets; particularly, the status of the players and the institutional regime, and also the financial instruments and back-office tools. This book is essential reading for anyone dealing with this increasingly important European financial centre.