LEADER 05435nam 2200649 a 450 001 9910145424103321 005 20170815110816.0 010 $a1-281-37416-4 010 $a9786611374167 010 $a0-470-29356-X 010 $a0-470-29355-1 035 $a(CKB)1000000000405471 035 $a(EBL)343678 035 $a(OCoLC)437209254 035 $a(SSID)ssj0000199067 035 $a(PQKBManifestationID)11171674 035 $a(PQKBTitleCode)TC0000199067 035 $a(PQKBWorkID)10184880 035 $a(PQKB)11715281 035 $a(MiAaPQ)EBC343678 035 $a(EXLCZ)991000000000405471 100 $a20071207d2008 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aMathematical asset management$b[electronic resource] /$fThomas Ho?glund 210 $aHoboken, N.J. $cWiley-Interscience$dc2008 215 $a1 online resource (234 p.) 300 $aDescription based upon print version of record. 311 $a0-470-23287-0 320 $aIncludes bibliographical references (p. 217-218) and index. 327 $aMathematical Asset Management; CONTENTS; Preface; 1 Interest Rate; 1.1 Flat Rate; 1.1.1 Compound Interest; 1.1.2 Present Value; 1.1.3 Cash Streams; 1.1.4 Effective Rate; 1.1.5 Bonds; 1.1.6 The Effective Rate as a Measure of Valuation; 1.2 Dependence on the Maturity Date; 1.2.1 Zero-Coupon Bonds; 1.2.2 Arbitrage-Free Cash Streams; 1.2.3 The Arbitrage Theorem; 1.2.4 The Movements of the Interest Rate Curve; 1.2.5 Sensitivity to Change of Rates; 1.2.6 Immunization; 1.3 Notes; 2 Further Financial Instruments; 2.1 Stocks; 2.1.1 Earnings, Interest Rate, and Stock Price; 2.2 Forwards; 2.3 Options 327 $a2.3.1 European Options2.3.2 American Options; 2.3.3 Option Strategies; 2.4 Further Exercises; 2.5 Notes; 3 Trading Strategies; 3.1 Trading Strategies; 3.1.1 Model Assumptions; 3.1.2 Interest Rate; 3.1.3 Exotic Options; 3.2 An Asymptotic Result; 3.2.1 The Model of Cox, Ross, and Rubinstein; 3.2.2 An Asymptotic Result; 3.3 Implementing Trading Strategies; 3.3.1 Portfolio Insurance; 4 Stochastic Properties of Stock Prices; 4.1 Growth; 4.1.1 The Distribution of the Growth; 4.1.2 Drift and Volatility; 4.1.3 The Stability of the Volatility Estimator; 4.2 Return; 4.3 Covariation 327 $a4.3.1 The Asymptotic Distribution of the Estimated Covariance Matrix5 Trading Strategies with Clock Time Horizon; 5.1 Clock Time Horizon; 5.2 Black-Scholes Pricing Formulas; 5.2.1 Sensitivity to Perturbations; 5.2.2 Hedging a Written Call; 5.2.3 Three Options Strategies Again; 5.3 The Black-Scholes Equation; 5.4 Trading Strategies for Several Assets; 5.4.1 An Unsymmetrical Formulation; 5.4.2 A Symmetrical Formulation; 5.4.3 Examples; 5.5 Notes; 6 Diversification; 6.1 Risk and Diversification; 6.1.1 The Minimum-Variance Portfolio; 6.1.2 Stability of the Estimates of the Weights 327 $a6.2 Growth Portfolios6.2.1 The Auxiliary Portfolio; 6.2.2 Maximal Drift; 6.2.3 Constraint on Portfolio Volatility; 6.2.4 Constraints on Total Stock Weight; 6.2.5 Constraints on Total Stock Weight and Volatility; 6.2.6 The Efficient Frontier; 6.2.7 Summary; 6.3 Rebalancing; 6.3.1 The Portfolio as a Function of the Stocks; 6.3.2 Empirical Verification; 6.4 Optimal Portfolios with Positive Weights; 6.5 Notes; 7 Covariation with the Market; 7.1 Beta; 7.1.1 The Market; 7.1.2 Beta Value; 7.2 Portfolios Related to the Market; 7.2.1 The Beta Portfolio; 7.2.2 Stability of the Estimates of the Weights 327 $a7.2.3 Market Neutral Portfolios7.3 Capital Asset Pricing Model; 7.3.1 The CAPM Identity; 7.3.2 Consequences of CAPM; 7.3.3 The Market Portfolio; 7.4 Notes; 8 Performance and Risk measures; 8.1 Performance Measures; 8.2 Risk Measures; 8.2.1 Value at Risk; 8.2.2 Downside Risk; 8.3 Risk Adjustment; 9 Simple Covariation; 9.1 Equal Correlations; 9.1.1 Matrix Calculations; 9.1.2 Optimal Portfolios; 9.1.3 Comparison with the General Model; 9.1.4 Positive Weights; 9.2 Multiplicative Correlations; 9.2.1 Uniqueness of the Parameters; 9.2.2 Matrix Calculations; 9.2.3 Parameter Estimation 327 $a9.2.4 Optimal Portfolios 330 $aA practical approach to the mathematical tools needed to increase portfolio growth, learn successful trading strategies, and manage the risks associated with market fluctuation Mathematical Asset Management presents an accessible and practical introduction to financial derivatives and portfolio selection while also acting as a basis for further study in mathematical finance. Assuming a fundamental background in calculus, real analysis, and linear algebra, the book uses mathematical tools only as needed and provides comprehensive, yet concise, coverage of various topics, such as: 606 $aDerivative securities$xMathematical models 606 $aRisk management$xMathematical models 606 $aInvestment analysis$xMathematical models 608 $aElectronic books. 615 0$aDerivative securities$xMathematical models. 615 0$aRisk management$xMathematical models. 615 0$aInvestment analysis$xMathematical models. 676 $a332.601/5195 676 $a332.6015195 700 $aHo?glund$b Thomas$0968046 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910145424103321 996 $aMathematical asset management$92198559 997 $aUNINA