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Principles of financial economics / / Stephen F. LeRoy, Jan Werner ; foreword by Stephen A. Ross [[electronic resource]]
| Principles of financial economics / / Stephen F. LeRoy, Jan Werner ; foreword by Stephen A. Ross [[electronic resource]] |
| Autore | LeRoy Stephen F. |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2001 |
| Descrizione fisica | 1 online resource (xx, 280 pages) : digital, PDF file(s) |
| Disciplina | 332 |
| Soggetto topico |
Investments - Mathematical models
Finance - Mathematical models Economics - Mathematical models Securities - Prices - Mathematical models Capital market - Mathematical models |
| ISBN |
1-107-12737-8
1-280-15995-2 0-511-75378-0 1-139-14671-8 0-511-11667-5 0-511-06581-7 0-511-05950-7 0-511-55588-1 0-511-06794-1 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Half-title; Title; Copyright; Contents; Foreword; Preface; Bibliography; 1 Equilibrium in Security Markets; 2 Linear Pricing; 3 Arbitrage and Positive Pricing; 4 Portfolio Restrictions; 5 Valuation; 6 State Prices and Risk-Neutral Probabilities; 7 Valuation under Portfolio Restrictions; 8 Expected Utility; 9 Risk Aversion; 10 Risk; 11 Optimal Portfolios with One Risky Security; 12 Comparative Statics of Optimal Portfolios; 13 Optimal Portfolios with Several Risky Securities; 14 Consumption-Based Security Pricing; 15 Complete Markets and Pareto-Optimal Allocations of Risk
16 Optimality in Incomplete Security Markets 17 The Expectations and Pricing Kernels; 18 The Mean-Variance Frontier Payoffs; 19 Capital Asset Pricing Model; 20 Factor Pricing; 21 Equilibrium in Multidate Security Markets; 22 Multidate Arbitrage and Positivity; 23 Dynamically Complete Markets; 24 Valuation; 25 Event Prices, Risk-Neutral Probabilities, and the Pricing Kernel; 26 Security Gains as Martingales; 27 Conditional Consumption-Based Security Pricing; 28 Conditional Beta Pricing and the CAPM; Index |
| Record Nr. | UNINA-9910450390303321 |
LeRoy Stephen F.
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| Cambridge : , : Cambridge University Press, , 2001 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Progress in economics research . Volume 36 / / Albert Tavidze, editor
| Progress in economics research . Volume 36 / / Albert Tavidze, editor |
| Pubbl/distr/stampa | New York, [New York] : , : Nova Science Publishers, Inc., , 2017 |
| Descrizione fisica | 1 online resource (259 pages) |
| Disciplina | 330 |
| Collana | Progress in Economics Research |
| Soggetto topico |
Economics - Research
Economics - Mathematical models |
| ISBN | 1-5361-0751-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910160269203321 |
| New York, [New York] : , : Nova Science Publishers, Inc., , 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Progress in economics research [[electronic resource] ] . Volume 14 / / Albert Tavidze, editor
| Progress in economics research [[electronic resource] ] . Volume 14 / / Albert Tavidze, editor |
| Pubbl/distr/stampa | New York, : Nova Science Publishers, c2010 |
| Descrizione fisica | x, 277 p. : ill. (some col.) |
| Disciplina | 330 |
| Altri autori (Persone) | TavidzeAlbert |
| Collana | Progress in economics research |
| Soggetto topico |
Economics
Economics - Research Economics - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN | 1-61209-907-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910465267303321 |
| New York, : Nova Science Publishers, c2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Progress in economics research [[electronic resource] ] . Volume 14 / / Albert Tavidze, editor
| Progress in economics research [[electronic resource] ] . Volume 14 / / Albert Tavidze, editor |
| Pubbl/distr/stampa | New York, : Nova Science Publishers, c2010 |
| Descrizione fisica | x, 277 p. : ill. (some col.) |
| Disciplina | 330 |
| Altri autori (Persone) | TavidzeAlbert |
| Collana | Progress in economics research |
| Soggetto topico |
Economics
Economics - Research Economics - Mathematical models |
| ISBN | 1-61209-907-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910791817503321 |
| New York, : Nova Science Publishers, c2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Progress in economics research [[electronic resource] ] . Volume 14 / / Albert Tavidze, editor
| Progress in economics research [[electronic resource] ] . Volume 14 / / Albert Tavidze, editor |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | New York, : Nova Science Publishers, c2010 |
| Descrizione fisica | x, 277 p. : ill. (some col.) |
| Disciplina | 330 |
| Altri autori (Persone) | TavidzeAlbert |
| Collana | Progress in economics research |
| Soggetto topico |
Economics
Economics - Research Economics - Mathematical models |
| ISBN | 1-61209-907-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Intro -- PROGRESS IN ECONOMICS RESEARCH, VOLUME 14 -- PROGRESS IN ECONOMICS RESEARCH, VOLUME 14 -- CONTENTS -- PREFACE -- Chapter 1VALUATING CASH FLOWS IN AN INFLATIONARYENVIRONMENT: THE CASE OF WORLD BANK1 -- Abstract -- Introduction -- Section One: Approaches to Valuation in an InflationaryEnvironment -- Section Two: A Review -- Section Three: Implicit Assumptions for Identical NPVs -- 1. No Taxes -- 2. All Cash Excess Is Distributed to the Equity and Debt Holders -- 3. The Price Increases that Actually Occur (Current or Nominal) will beEqual to the Inflation Rate or the Relative or Real Increases are Zero,Included in the Current or Nominal Discount Rate -- 4. Income and Payments for Goods and Services are in Cash and there areNo Credit Transactions -- 5. No Salvage Value -- 6. There Is no Price-Demand Elasticity Effect -- 7. The Discount Rate at Current or Nominal Prices Has to Be Exactly Equal to(1+ ir)(1+ if)-1 and at constant and real prices the discount rate has to beequal to ir, the real rate of return. -- 8. The Cost of Debt Kd, has to be Deflated -- Section Four: Tax Savings (TS) and Its Relevance in Valuation -- Section Five: The World Bank Case -- Description of the Model -- Common Practice -- Valuation with Constant Prices Methodology -- Using Constant Leverage in the WACC Calculation when It Is not Constant -- Calculation of the Cost of Capital -- Inconsistency in the Values -- Overestimation of the "Correct" Value -- Section Six -- A "Proper" Solution -- Tariffs Recalculated -- Value Using Nominal Prices -- A Summary -- Section Seven: Concluding Remarks -- Appendix 1 -- Appendix 2 -- Appendix 3 -- Appendix 4 -- Appendix 5 -- Appendix 6 -- Appendix 7 -- Appendix 8 -- Appendix 9 -- Appendix 10 -- References -- Chapter 2DOES THE ADOPTION OF INFLATION TARGETINGAFFECT MARKET VOLATILITY?THE CASE OF ISRAEL -- Abstract -- 1. Introduction.
2. Market Volatility as a Financial Soundness Indicator -- 2.1. Relevant Analytical Aspects Related to Financial Soundness Indicators -- 2.2. Proposed Market Volatility Indicator -- 2.3. Comparison with Alternative Indicators -- Duration Indicators -- Risk Appetite Indicators -- 3. Market Volatility in Israel, 1992-2000 -- 3.1. Exchange Rate, Interest Rates, and Stock Prices:Evolution and Volatility Patterns -- 3.2. A Market Volatility Indicator for Israel -- 4. A Multivariate-GARCH Model for Israel -- 4.1. Multivariate GARCH Modeling of Market Volatility for Israel -- Data -- Tests -- Results -- Out-of-Sample Data -- 4.2. Incorporation of MVI into the Multivariate GARCH Model -- 5. Conclusions -- References -- Chapter 3WHEN POINT ESTIMATES MISS THE POINT:STOCHASTIC MODELING OF WTO RESTRICTIONS* -- Abstract -- The Stochastic Model -- The Stochastic Process -- Results and Discussion -- Concluding Remarks -- References -- Chapter4NONLINEARTOOLSFORANALYZINGANDFORECASTINGFINANCIALTIMESERIES:ANAPPLICATIONTOUSINTERESTRATES -- Abstract -- 1.Introduction -- 2.Methodology -- 2.1.ReconstructionofDynamicsbytheMethodofTimeDelays -- 2.2.DeterminingtheDimensionofaTimeSeries -- 2.3.RecurrencePlotAnalysis -- 2.3.1.WhiteNoise -- 2.3.2.RandomWalkwithDrift -- 2.3.3.ChaoticTimeSeries -- 2.3.4.StructuralBreak -- 2.4.LocalPredictionMethods -- 2.4.1.NearestNeighborPredictor -- 2.4.2.LocallyConstantPredictor -- 2.4.3.LocallyLinearPredictor -- 2.5.AssessingStatisticalSignificancewithSurrogateData -- 3.ApplicationtoUSInterestRates -- 3.1.Data -- 3.2.PreliminaryResults -- 3.2.1.SummaryStatistics -- 3.2.2.TestforIndependence -- 3.3.VisualRecurrenceAnalysis -- 3.4.DimensionAnalysis -- 3.5.Prediction -- 3.5.1.Predictors -- 3.5.2.MeasuringForecastAccuracy -- 3.5.3.SurrogateDataAnalysis -- 3.5.4.Results -- 4.Conclusion -- References. Chapter 5THE CHOICE OF EXCHANGE RATE REGIMESIN TRANSITION ECONOMIES:EVOLUTION AND DETERMINATION -- Abstract -- 1. Introduction -- 2. Exchange Rate Regimes in Transition Economies:Classification and Evolution -- 2.1. Classification of Exchange Rate Regimes -- 2.2. Evolution of Exchange Rate Regimes: Is There "Hollowing-Out"of the Middle? -- Transition Matrix -- Tests for the "Hollowing-Out" Hypothesis -- Steady-State Distributions -- 3. Determination of Exchange Rate Regimes in TransitionEconomies -- 3.1. The Model -- 3.2. Data and Variables -- 3.3. Empirical Results -- Results of the Static Model -- Results of the Dynamic Model -- 4. Conclusions -- Appendix -- Explanatory Variables -- References -- Chapter 6EXPORTING, CROSS-BORDER INVESTMENTAND EMPLOYMENT DYNAMICS:AN EMPIRICAL INVESTIGATION -- Abstract -- I. Introduction -- II. Multinationality, Exporting and Business Performance:Some Theoretical Issues -- III. Multinationality Exporting and Employment:A Selective Review of the Empirical Literature -- IV. Database Construction and Some Sample Characteristics -- V. Non-parametric Analysis -- VI. Modelling Employment Growth Differentials -- VII. In Search of a Causal Relationship between Exporting,Cross-Border Investment and Employment Growth -- VIII. Conclusion -- References -- Chapter 7THE HICKSIAN NATIONAL INCOME OF CAMBODIA,1988-2004 -- 1. Introduction -- 2. Cambodia's Economic Development: Historical Backgroundand Recent Developments -- 2.1. Pre-1953 Independence -- 2.2. Post-1953 Independence to the 1993 Elections -- 2.3. Post-1993 Elections -- 3. Theoretical and Empirical Overview of Green GDP -- 3.1. Theoretical Developments -- 3.2. The Green GDP Methodology Used in the Cambodian Study -- 3.3. Empirical Overview of Green GDP Studies -- 4. Valuation methods Used to Calculate Cambodia's HicksianNational Income. 4.1. Human-Made Capital Depreciation (HCD) -- 4.2. Defensive and Rehabilitative Expenditures (DRE) -- 4.3. Natural Capital Depletion (NCD) -- Valuing the Cost of Deforestation -- Valuing the Cost of Overfishing -- Valuing the Cost of Soil Erosion -- Valuing the Cost of Air Pollution -- 5. Results of the SNDP Study -- 5.1. Cambodia's Real GDP and Hicksian National Income -- 5.2. Component Items of Cambodia's Hicksian National Income -- 6. Resource Depletion Issues -- 6.1. Forestry Issues -- 6.2. Fisheries Issues -- 7. Concluding Remarks -- References -- Chapter 8STAR-GARCH MODELS FOR STOCK MARKETINTERACTIONS IN THE PACIFIC BASIN REGION,JAPAN AND US -- Abstract -- 1. Introduction -- 2. Star Models -- 2.1. Representation of STAR Models -- 2.2. Hypothesis Testing in STAR Models -- 2.3. Estimation and Diagnostic Tests in STAR Models -- 2.4. Evaluating the Forecasting Performance of STAR Models -- 3. GARCH Models -- 4. Outliers in STAR and GARCH Models -- 4.1. Effects of Outliers on STAR Models -- 4.2. Effects of Outliers on GARCH Models -- 5. Empirical Analysis -- 5.1. Data -- 5.2. Results -- 6. Conclusion -- Acknowledgments -- References -- Chapter 9REACTION OF THE BRAZILIAN STOCK MARKETTO POSITIVE AND NEGATIVE SHOCKS -- Abstract -- 1. Introduction -- 2. The Brazilian Stock Market -- 3. Theoretical Background -- 4. Empirical Evidence -- 5. Data and Methodology -- 6. Empirical Results -- 6.1. Impact of Events on Return Volatilities -- 6.2. Cumulative Abnormal Returns -- Conclusion -- Appendix -- References -- Chapter 10THE LESSONS TO BE LEARNT FROM THE GREATPOST-COMMUNIST CHANGE -- Lesson One -- Lesson Two -- Lesson Three -- Lesson Four -- Lesson Five -- Lesson Six -- Lesson Seven -- References -- INDEX. |
| Record Nr. | UNINA-9910813249203321 |
| New York, : Nova Science Publishers, c2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Rect@
| Rect@ |
| Pubbl/distr/stampa | [Spain], : Asociación de Profesores Universitarios de Matemáticas aplicadas a la Economía y la Empresa (ASEPUMA) |
| Soggetto topico |
Business mathematics
Economics - Mathematical models |
| Soggetto genere / forma | Periodicals. |
| Formato | Materiale a stampa |
| Livello bibliografico | Periodico |
| Lingua di pubblicazione | spa |
| Altri titoli varianti |
Recta
Revista electrónica de comunicaciones y trabajos de ASEPUMA |
| Record Nr. | UNINA-9910144460503321 |
| [Spain], : Asociación de Profesores Universitarios de Matemáticas aplicadas a la Economía y la Empresa (ASEPUMA) | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Rect@
| Rect@ |
| Pubbl/distr/stampa | [Spain], : Asociación de Profesores Universitarios de Matemáticas aplicadas a la Economía y la Empresa (ASEPUMA) |
| Soggetto topico |
Business mathematics
Economics - Mathematical models |
| Soggetto genere / forma | Periodicals. |
| Formato | Materiale a stampa |
| Livello bibliografico | Periodico |
| Lingua di pubblicazione | spa |
| Altri titoli varianti |
Recta
Revista electrónica de comunicaciones y trabajos de ASEPUMA |
| Record Nr. | UNISA-996208672303316 |
| [Spain], : Asociación de Profesores Universitarios de Matemáticas aplicadas a la Economía y la Empresa (ASEPUMA) | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Research working paper
| Research working paper |
| Pubbl/distr/stampa | Kansas City, MO, : Federal Reserve Bank of Kansas City |
| Disciplina | 330 |
| Soggetto topico |
Economics
Finance Economic forecasting Economics - Mathematical models |
| Formato | Materiale a stampa |
| Livello bibliografico | Periodico |
| Lingua di pubblicazione | eng |
| Altri titoli varianti |
Research working papers
RWP |
| Record Nr. | UNINA-9910679304403321 |
| Kansas City, MO, : Federal Reserve Bank of Kansas City | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Review of economic design : RED
| Review of economic design : RED |
| Pubbl/distr/stampa | Berlin, : Springer |
| Disciplina | 330 |
| Soggetto topico |
Economics
Economics, Mathematical Economics - Mathematical models Game theory |
| Soggetto genere / forma | Periodicals. |
| Soggetto non controllato | Economics |
| ISSN | 1434-4750 |
| Formato | Materiale a stampa |
| Livello bibliografico | Periodico |
| Lingua di pubblicazione | eng |
| Altri titoli varianti | RED |
| Record Nr. | UNINA-9910138871503321 |
| Berlin, : Springer | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Review of economic design : RED
| Review of economic design : RED |
| Pubbl/distr/stampa | Berlin, : Springer |
| Disciplina | 330 |
| Soggetto topico |
Economics
Economics, Mathematical Economics - Mathematical models Game theory |
| Soggetto genere / forma | Periodicals. |
| Soggetto non controllato | Economics |
| ISSN | 1434-4750 |
| Formato | Materiale a stampa |
| Livello bibliografico | Periodico |
| Lingua di pubblicazione | eng |
| Altri titoli varianti | RED |
| Record Nr. | UNISA-996211809503316 |
| Berlin, : Springer | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Soggetto topico
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Economics - Mathematical models
(115)
- Economics, Mathematical (18)
- Economics (16)
- Finance - Mathematical models (12)
- Game theory (12)