Books in General financial markets

A Behavioral Approach to Asset Pricing

1st Edition
February 3, 2005
Hersh Shefrin
English
eBook
9 7 8 0 0 8 0 4 7 6 0 3 2

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
December 6, 2004
Antulio N. Bomfim
English
eBook
9 7 8 0 0 8 0 4 8 1 4 8 7

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.

Achieving Market Integration

1st Edition
November 26, 2003
Scott McCleskey
English
eBook
9 7 8 0 0 8 0 4 9 3 1 7 6

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

1st Edition
Volume 1B
November 4, 2003
G. Constantinides + 2 more
English
Hardback
9 7 8 0 4 4 4 5 1 3 6 3 2
eBook
9 7 8 0 0 8 0 4 9 5 0 8 8

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

1st Edition
October 6, 2003
Dimitris N. Chorafas
English
eBook
9 7 8 0 0 8 0 4 7 3 6 3 5

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
June 6, 2003
Ross Geddes
English
Hardback
9 7 8 0 7 5 0 6 5 5 3 8 5
eBook
9 7 8 0 0 8 0 4 7 8 7 8 4

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

Clearing, Settlement and Custody

1st Edition
September 5, 2002
David Loader
English
eBook
9 7 8 0 0 8 0 4 9 0 6 5 6

'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
August 22, 2002
Stephen Satchell + 1 more
English
eBook
9 7 8 0 0 8 0 4 9 4 9 7 5

'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
July 12, 2002
Cheng-Few Lee
English
Hardback
9 7 8 0 7 6 2 3 0 8 8 7 3
eBook
9 7 8 0 0 8 0 5 4 5 0 5 9

Twelve papers focus on investment analysis, portfolio theory, and their implementation in portfolio management

Advanced Trading Rules

2nd Edition
May 23, 2002
Emmanual Acar + 1 more
English
eBook
9 7 8 0 0 8 0 4 9 3 4 3 5

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.

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