Info
- Utilizzare la checkbox di selezione a fianco di ciascun documento per attivare le funzionalità di stampa, invio email, download nei formati disponibili del (i) record.
Equity asset valuation / / Jerald E. Pinto [and four others]
| Equity asset valuation / / Jerald E. Pinto [and four others] |
| Edizione | [Third edition.] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2015 |
| Descrizione fisica | 1 online resource (622 p.) |
| Disciplina | 332.6 |
| Collana | CFA Institute Investment Series |
| Soggetto topico |
Investment analysis
Securities - Valuation Investments - Valuation |
| Soggetto genere / forma | Electronic books. |
| ISBN | 1-119-10462-9 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Equity Asset Valuation; Contents; Foreword; Preface; Acknowledgments; About the CFA Institute Investment Series; Chapter 1 Equity Valuation: Applications & Processes; Learning Outcomes; 1. Introduction; 2. Value Definitions and Valuation Applications; 2.1. What Is Value?; 2.2. Applications of Equity Valuation; 3. The Valuation Process; 3.1. Understanding the Business; 3.2. Forecasting Company Performance; 3.3. Selecting the Appropriate Valuation Model; 3.4. Converting Forecasts to a Valuation; 3.5. Applying the Valuation Conclusion: The Analyst's Role and Responsibilities
4. Communicating Valuation Results4.1. Contents of a Research Report; 4.2. Format of a Research Report; 4.3. Research Reporting Responsibilities; 5. Summary; References; Problems; Chapter 2 Return Concepts; Learning Outcomes; 1. Introduction; 2. Return Concepts; 2.1. Holding Period Return; 2.2. Realized and Expected (Holding Period) Return; 2.3. Required Return; 2.4. Expected Return Estimates from Intrinsic Value Estimates; 2.5. Discount Rate; 2.6. Internal Rate of Return; 3. The Equity Risk Premium; 3.1. Historical Estimates; 3.2. Forward-Looking Estimates; 4. The Required Return on Equity 4.1. The Capital Asset Pricing Model4.2. Multifactor Models; 4.3. Build-Up Method Estimates of the Required Return on Equity; 4.4. The Required Return on Equity: International Issues; 5. The Weighted Average Cost of Capital; 6. Discount Rate Selection in Relation to Cash Flows; 7. Summary; References; Problems; Chapter 3 Introduction to Industry and Company Analysis; Learning Outcomes; 1. Introduction; 2. Uses of Industry Analysis; 3. Approaches to Identifying Similar Companies; 3.1. Products and/or Services Supplied; 3.2. Business-Cycle Sensitivities; 3.3. Statistical Similarities 4. Industry Classification Systems4.1. Commercial Industry Classification Systems; 4.2. Governmental Industry Classification Systems; 4.3. Strengths and Weaknesses of Current Systems; 4.4. Constructing a Peer Group; 5. Describing and Analyzing an Industry; 5.1. Principles of Strategic Analysis; 5.2. External Influences on Industry Growth, Profitability, and Risk; 6. Company Analysis; 6.1. Elements That Should be Covered in a Company Analysis; 6.2. Spreadsheet Modeling; 7. Summary; References; Problems; Chapter 4 Industry and Company analysis; Learning Outcomes; 1. Introduction 2. Financial Modeling: An Overview2.1. Income Statement Modeling: Revenue; 2.2. Income Statement Modeling: Operating Costs; 2.3. Income Statement Modeling: Non-Operating Costs; 2.4. Income Statement Modeling: Other Items; 2.5. Balance Sheet and Cash Flow Statement Modeling; 2.6. Scenario Analysis and Sensitivity Analysis; 3. The Impact of Competitive Factors on Prices and Costs; 4. Inflation and Deflation; 4.1. Sales Projections with Inflation and Deflation; 4.2. Cost Projections with Inflation and Deflation; 5. Technological Developments; 6. Long-Term Forecasting; 7. Building a Model 7.1. Industry Overview |
| Record Nr. | UNINA-9910460856303321 |
| Hoboken, New Jersey : , : Wiley, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Equity asset valuation / / Jerald E. Pinto [and four others]
| Equity asset valuation / / Jerald E. Pinto [and four others] |
| Edizione | [Third edition.] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2015 |
| Descrizione fisica | 1 online resource (622 p.) |
| Disciplina | 332.6 |
| Collana | CFA Institute Investment Series |
| Soggetto topico |
Investment analysis
Securities - Valuation Investments - Valuation |
| ISBN |
1-119-10464-5
1-119-10462-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Equity Asset Valuation; Contents; Foreword; Preface; Acknowledgments; About the CFA Institute Investment Series; Chapter 1 Equity Valuation: Applications & Processes; Learning Outcomes; 1. Introduction; 2. Value Definitions and Valuation Applications; 2.1. What Is Value?; 2.2. Applications of Equity Valuation; 3. The Valuation Process; 3.1. Understanding the Business; 3.2. Forecasting Company Performance; 3.3. Selecting the Appropriate Valuation Model; 3.4. Converting Forecasts to a Valuation; 3.5. Applying the Valuation Conclusion: The Analyst's Role and Responsibilities
4. Communicating Valuation Results4.1. Contents of a Research Report; 4.2. Format of a Research Report; 4.3. Research Reporting Responsibilities; 5. Summary; References; Problems; Chapter 2 Return Concepts; Learning Outcomes; 1. Introduction; 2. Return Concepts; 2.1. Holding Period Return; 2.2. Realized and Expected (Holding Period) Return; 2.3. Required Return; 2.4. Expected Return Estimates from Intrinsic Value Estimates; 2.5. Discount Rate; 2.6. Internal Rate of Return; 3. The Equity Risk Premium; 3.1. Historical Estimates; 3.2. Forward-Looking Estimates; 4. The Required Return on Equity 4.1. The Capital Asset Pricing Model4.2. Multifactor Models; 4.3. Build-Up Method Estimates of the Required Return on Equity; 4.4. The Required Return on Equity: International Issues; 5. The Weighted Average Cost of Capital; 6. Discount Rate Selection in Relation to Cash Flows; 7. Summary; References; Problems; Chapter 3 Introduction to Industry and Company Analysis; Learning Outcomes; 1. Introduction; 2. Uses of Industry Analysis; 3. Approaches to Identifying Similar Companies; 3.1. Products and/or Services Supplied; 3.2. Business-Cycle Sensitivities; 3.3. Statistical Similarities 4. Industry Classification Systems4.1. Commercial Industry Classification Systems; 4.2. Governmental Industry Classification Systems; 4.3. Strengths and Weaknesses of Current Systems; 4.4. Constructing a Peer Group; 5. Describing and Analyzing an Industry; 5.1. Principles of Strategic Analysis; 5.2. External Influences on Industry Growth, Profitability, and Risk; 6. Company Analysis; 6.1. Elements That Should be Covered in a Company Analysis; 6.2. Spreadsheet Modeling; 7. Summary; References; Problems; Chapter 4 Industry and Company analysis; Learning Outcomes; 1. Introduction 2. Financial Modeling: An Overview2.1. Income Statement Modeling: Revenue; 2.2. Income Statement Modeling: Operating Costs; 2.3. Income Statement Modeling: Non-Operating Costs; 2.4. Income Statement Modeling: Other Items; 2.5. Balance Sheet and Cash Flow Statement Modeling; 2.6. Scenario Analysis and Sensitivity Analysis; 3. The Impact of Competitive Factors on Prices and Costs; 4. Inflation and Deflation; 4.1. Sales Projections with Inflation and Deflation; 4.2. Cost Projections with Inflation and Deflation; 5. Technological Developments; 6. Long-Term Forecasting; 7. Building a Model 7.1. Industry Overview |
| Record Nr. | UNINA-9910797606703321 |
| Hoboken, New Jersey : , : Wiley, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Equity asset valuation / / Jerald E. Pinto [and four others]
| Equity asset valuation / / Jerald E. Pinto [and four others] |
| Edizione | [Third edition.] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2015 |
| Descrizione fisica | 1 online resource (622 p.) |
| Disciplina | 332.6 |
| Collana | CFA Institute Investment Series |
| Soggetto topico |
Investment analysis
Securities - Valuation Investments - Valuation |
| ISBN |
1-119-10464-5
1-119-10462-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Equity Asset Valuation; Contents; Foreword; Preface; Acknowledgments; About the CFA Institute Investment Series; Chapter 1 Equity Valuation: Applications & Processes; Learning Outcomes; 1. Introduction; 2. Value Definitions and Valuation Applications; 2.1. What Is Value?; 2.2. Applications of Equity Valuation; 3. The Valuation Process; 3.1. Understanding the Business; 3.2. Forecasting Company Performance; 3.3. Selecting the Appropriate Valuation Model; 3.4. Converting Forecasts to a Valuation; 3.5. Applying the Valuation Conclusion: The Analyst's Role and Responsibilities
4. Communicating Valuation Results4.1. Contents of a Research Report; 4.2. Format of a Research Report; 4.3. Research Reporting Responsibilities; 5. Summary; References; Problems; Chapter 2 Return Concepts; Learning Outcomes; 1. Introduction; 2. Return Concepts; 2.1. Holding Period Return; 2.2. Realized and Expected (Holding Period) Return; 2.3. Required Return; 2.4. Expected Return Estimates from Intrinsic Value Estimates; 2.5. Discount Rate; 2.6. Internal Rate of Return; 3. The Equity Risk Premium; 3.1. Historical Estimates; 3.2. Forward-Looking Estimates; 4. The Required Return on Equity 4.1. The Capital Asset Pricing Model4.2. Multifactor Models; 4.3. Build-Up Method Estimates of the Required Return on Equity; 4.4. The Required Return on Equity: International Issues; 5. The Weighted Average Cost of Capital; 6. Discount Rate Selection in Relation to Cash Flows; 7. Summary; References; Problems; Chapter 3 Introduction to Industry and Company Analysis; Learning Outcomes; 1. Introduction; 2. Uses of Industry Analysis; 3. Approaches to Identifying Similar Companies; 3.1. Products and/or Services Supplied; 3.2. Business-Cycle Sensitivities; 3.3. Statistical Similarities 4. Industry Classification Systems4.1. Commercial Industry Classification Systems; 4.2. Governmental Industry Classification Systems; 4.3. Strengths and Weaknesses of Current Systems; 4.4. Constructing a Peer Group; 5. Describing and Analyzing an Industry; 5.1. Principles of Strategic Analysis; 5.2. External Influences on Industry Growth, Profitability, and Risk; 6. Company Analysis; 6.1. Elements That Should be Covered in a Company Analysis; 6.2. Spreadsheet Modeling; 7. Summary; References; Problems; Chapter 4 Industry and Company analysis; Learning Outcomes; 1. Introduction 2. Financial Modeling: An Overview2.1. Income Statement Modeling: Revenue; 2.2. Income Statement Modeling: Operating Costs; 2.3. Income Statement Modeling: Non-Operating Costs; 2.4. Income Statement Modeling: Other Items; 2.5. Balance Sheet and Cash Flow Statement Modeling; 2.6. Scenario Analysis and Sensitivity Analysis; 3. The Impact of Competitive Factors on Prices and Costs; 4. Inflation and Deflation; 4.1. Sales Projections with Inflation and Deflation; 4.2. Cost Projections with Inflation and Deflation; 5. Technological Developments; 6. Long-Term Forecasting; 7. Building a Model 7.1. Industry Overview |
| Record Nr. | UNINA-9910818107503321 |
| Hoboken, New Jersey : , : Wiley, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Equity Valuation, Risk and Investment [[electronic resource] ] : A Practitioner's Roadmap
| Equity Valuation, Risk and Investment [[electronic resource] ] : A Practitioner's Roadmap |
| Autore | Stimes Peter C |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Chichester, : Wiley, 2011 |
| Descrizione fisica | 1 online resource (423 p.) |
| Disciplina |
332.63/2
332.632 |
| Collana | Wiley Finance |
| Soggetto topico |
Corporations - Valuation
Corporations -- Valuation Investment analysis Portfolio management Risk Securities - Valuation Securities -- Valuation Financial Management & Planning Finance Business & Economics |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-119-19697-3
1-118-16075-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Contents; Title; Copyright; Dedication; Foreword; Preface; About the Author; Chapter 1: Introduction; Theoretical Precision or Theoretical Resilience?; Practical Difficulties as Well; Overview of Our Analysis; A Quick and Important Note on Mathematical Notation; Chapter 2: Inflation-Protected Bonds as a Valuation Template; Formulas behind the Intuition; TIPS versus Traditional Fixed-Rate Bonds: Measuring the Differences; A Peek Ahead; Chapter 3: Valuing Uncertain, Perpetual Income Streams; Mathematical Development of Unleveraged Firm Valuation
What Does the Valuation Formula Tell Us about Sensitivity to Inflation?Sensitivity to Real Discount Rates and Growth Factors; Comparison with a Traditional Model of Firm Valuation; Chapter 4: Valuing a Leveraged Equity Security; Leverage in the Presence of Corporate Income Taxes; From Theory to Practice; Chapter 4 Supplement: Relationship between Leveraged Equity Discount Rate and Debt-to-Capital Ratio for Highly Leveraged Companies; Chapter 5: Case Studies in Valuation During the Recent Decade; Case 1: Coca-Cola; Case 2: Intel; Case 3: Procter&Gamble Market-Implied, Inflation-Adjusted Discount Rates for Coca-Cola, Intel, and Procter&GambleCase 4: Enron; Tying Up the Package: Practical Lessons from All Four Cases; Chapter 6: Treatment of Mergers and Acquisitions; Generalizing from the P&G/Gillette Example; Applicability of the Results under Alternate Merger Terms; Analytical Postscript 1: Common Stock Buybacks and Issuances Outside the Merger Framework; Analytical Postscript 2: A Word on Executive Stock Option Grants; Chapter 7: A Fair Representation? Broad Sample Testing over a 10-Year Market Cycle; Sample Descriptive Data Basic Valuation ResultsPredictive Strength of the Model for the Whole Period; Predictive Strength of the Model for Subperiods; Chapter 8: Price Volatility and Underlying Causes; Deriving the Formula for Price Changes; Translating the Price Change Formula into Volatility Estimates; Digression: Impact of Debt Leverage on Equity Volatility; Obtaining the Volatility of the Underlying Variables; Chapter 9: Constructing Efficient Portfolios; Extracting Expected Equity Returns from Observed Price/Earnings Ratios: Part I; Extracting Expected Equity Returns from Observed Price/Earnings Ratios: Part II Extracting Expected Equity Returns from Observed Price/Earnings Ratios: Part IIICreating Efficient Portfolios: Unconstrained Case; Creating Efficient Portfolios: Case Where Asset Weights Are Required to Be Nonnegative; Computing the Variance/Covariance Matrix Inputs; Chapter 10: Selecting among Efficient Portfolios and Making Dynamic Rebalancing Adjustments; Reconciling Portfolio Desirability and Feasibility; Turning Theory into Easily Calculated Results; Adjusting for Changes in Long-Term Expected Returns on Common Equity; Adapting to More General Changes in Risk-Adjusted Expected Returns Recapitulation and an Important Caveat |
| Record Nr. | UNINA-9910138907403321 |
Stimes Peter C
|
||
| Chichester, : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Equity Valuation, Risk and Investment [[electronic resource] ] : A Practitioner's Roadmap
| Equity Valuation, Risk and Investment [[electronic resource] ] : A Practitioner's Roadmap |
| Autore | Stimes Peter C |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Chichester, : Wiley, 2011 |
| Descrizione fisica | 1 online resource (423 p.) |
| Disciplina |
332.63/2
332.632 |
| Collana | Wiley Finance |
| Soggetto topico |
Corporations - Valuation
Corporations -- Valuation Investment analysis Portfolio management Risk Securities - Valuation Securities -- Valuation Financial Management & Planning Finance Business & Economics |
| ISBN |
1-119-19697-3
1-118-16075-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Contents; Title; Copyright; Dedication; Foreword; Preface; About the Author; Chapter 1: Introduction; Theoretical Precision or Theoretical Resilience?; Practical Difficulties as Well; Overview of Our Analysis; A Quick and Important Note on Mathematical Notation; Chapter 2: Inflation-Protected Bonds as a Valuation Template; Formulas behind the Intuition; TIPS versus Traditional Fixed-Rate Bonds: Measuring the Differences; A Peek Ahead; Chapter 3: Valuing Uncertain, Perpetual Income Streams; Mathematical Development of Unleveraged Firm Valuation
What Does the Valuation Formula Tell Us about Sensitivity to Inflation?Sensitivity to Real Discount Rates and Growth Factors; Comparison with a Traditional Model of Firm Valuation; Chapter 4: Valuing a Leveraged Equity Security; Leverage in the Presence of Corporate Income Taxes; From Theory to Practice; Chapter 4 Supplement: Relationship between Leveraged Equity Discount Rate and Debt-to-Capital Ratio for Highly Leveraged Companies; Chapter 5: Case Studies in Valuation During the Recent Decade; Case 1: Coca-Cola; Case 2: Intel; Case 3: Procter&Gamble Market-Implied, Inflation-Adjusted Discount Rates for Coca-Cola, Intel, and Procter&GambleCase 4: Enron; Tying Up the Package: Practical Lessons from All Four Cases; Chapter 6: Treatment of Mergers and Acquisitions; Generalizing from the P&G/Gillette Example; Applicability of the Results under Alternate Merger Terms; Analytical Postscript 1: Common Stock Buybacks and Issuances Outside the Merger Framework; Analytical Postscript 2: A Word on Executive Stock Option Grants; Chapter 7: A Fair Representation? Broad Sample Testing over a 10-Year Market Cycle; Sample Descriptive Data Basic Valuation ResultsPredictive Strength of the Model for the Whole Period; Predictive Strength of the Model for Subperiods; Chapter 8: Price Volatility and Underlying Causes; Deriving the Formula for Price Changes; Translating the Price Change Formula into Volatility Estimates; Digression: Impact of Debt Leverage on Equity Volatility; Obtaining the Volatility of the Underlying Variables; Chapter 9: Constructing Efficient Portfolios; Extracting Expected Equity Returns from Observed Price/Earnings Ratios: Part I; Extracting Expected Equity Returns from Observed Price/Earnings Ratios: Part II Extracting Expected Equity Returns from Observed Price/Earnings Ratios: Part IIICreating Efficient Portfolios: Unconstrained Case; Creating Efficient Portfolios: Case Where Asset Weights Are Required to Be Nonnegative; Computing the Variance/Covariance Matrix Inputs; Chapter 10: Selecting among Efficient Portfolios and Making Dynamic Rebalancing Adjustments; Reconciling Portfolio Desirability and Feasibility; Turning Theory into Easily Calculated Results; Adjusting for Changes in Long-Term Expected Returns on Common Equity; Adapting to More General Changes in Risk-Adjusted Expected Returns Recapitulation and an Important Caveat |
| Record Nr. | UNINA-9910829830603321 |
|
Stimes Peter C
|
||
| Chichester, : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Equity Valuation, Risk and Investment [[electronic resource] ] : A Practitioner's Roadmap
| Equity Valuation, Risk and Investment [[electronic resource] ] : A Practitioner's Roadmap |
| Autore | Stimes Peter C |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Chichester, : Wiley, 2011 |
| Descrizione fisica | 1 online resource (423 p.) |
| Disciplina |
332.63/2
332.632 |
| Collana | Wiley Finance |
| Soggetto topico |
Corporations - Valuation
Corporations -- Valuation Investment analysis Portfolio management Risk Securities - Valuation Securities -- Valuation Financial Management & Planning Finance Business & Economics |
| ISBN |
1-119-19697-3
1-118-16075-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Contents; Title; Copyright; Dedication; Foreword; Preface; About the Author; Chapter 1: Introduction; Theoretical Precision or Theoretical Resilience?; Practical Difficulties as Well; Overview of Our Analysis; A Quick and Important Note on Mathematical Notation; Chapter 2: Inflation-Protected Bonds as a Valuation Template; Formulas behind the Intuition; TIPS versus Traditional Fixed-Rate Bonds: Measuring the Differences; A Peek Ahead; Chapter 3: Valuing Uncertain, Perpetual Income Streams; Mathematical Development of Unleveraged Firm Valuation
What Does the Valuation Formula Tell Us about Sensitivity to Inflation?Sensitivity to Real Discount Rates and Growth Factors; Comparison with a Traditional Model of Firm Valuation; Chapter 4: Valuing a Leveraged Equity Security; Leverage in the Presence of Corporate Income Taxes; From Theory to Practice; Chapter 4 Supplement: Relationship between Leveraged Equity Discount Rate and Debt-to-Capital Ratio for Highly Leveraged Companies; Chapter 5: Case Studies in Valuation During the Recent Decade; Case 1: Coca-Cola; Case 2: Intel; Case 3: Procter&Gamble Market-Implied, Inflation-Adjusted Discount Rates for Coca-Cola, Intel, and Procter&GambleCase 4: Enron; Tying Up the Package: Practical Lessons from All Four Cases; Chapter 6: Treatment of Mergers and Acquisitions; Generalizing from the P&G/Gillette Example; Applicability of the Results under Alternate Merger Terms; Analytical Postscript 1: Common Stock Buybacks and Issuances Outside the Merger Framework; Analytical Postscript 2: A Word on Executive Stock Option Grants; Chapter 7: A Fair Representation? Broad Sample Testing over a 10-Year Market Cycle; Sample Descriptive Data Basic Valuation ResultsPredictive Strength of the Model for the Whole Period; Predictive Strength of the Model for Subperiods; Chapter 8: Price Volatility and Underlying Causes; Deriving the Formula for Price Changes; Translating the Price Change Formula into Volatility Estimates; Digression: Impact of Debt Leverage on Equity Volatility; Obtaining the Volatility of the Underlying Variables; Chapter 9: Constructing Efficient Portfolios; Extracting Expected Equity Returns from Observed Price/Earnings Ratios: Part I; Extracting Expected Equity Returns from Observed Price/Earnings Ratios: Part II Extracting Expected Equity Returns from Observed Price/Earnings Ratios: Part IIICreating Efficient Portfolios: Unconstrained Case; Creating Efficient Portfolios: Case Where Asset Weights Are Required to Be Nonnegative; Computing the Variance/Covariance Matrix Inputs; Chapter 10: Selecting among Efficient Portfolios and Making Dynamic Rebalancing Adjustments; Reconciling Portfolio Desirability and Feasibility; Turning Theory into Easily Calculated Results; Adjusting for Changes in Long-Term Expected Returns on Common Equity; Adapting to More General Changes in Risk-Adjusted Expected Returns Recapitulation and an Important Caveat |
| Record Nr. | UNINA-9910841556803321 |
|
Stimes Peter C
|
||
| Chichester, : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The volatility smile : an introduction for students and practitioners / / Emanuel Derman, Michael B. Miller
| The volatility smile : an introduction for students and practitioners / / Emanuel Derman, Michael B. Miller |
| Autore | Derman Emanuel |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2016 |
| Descrizione fisica | 1 online resource (531 p.) |
| Disciplina | 332.63/228301 |
| Collana | Wiley Finance Series |
| Soggetto topico |
Finance - Mathematical models
Securities - Valuation |
| ISBN |
1-118-95918-3
1-118-95917-5 1-119-28925-4 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Machine generated contents note: Preface About the Authors Chapter 1: Overview Chapter 2: The Principle of Replication Chapter 3: Static and Dynamic Replication Chapter 4: Variance Swaps: A Lesson in Replication Chapter 5: The P&L of Hedged Option Strategies in a Black-Scholes-Merton World Chapter 6: The Effect of Discrete Hedging on P&L Chapter 7: The Effect of Transactions Costs on P&L Chapter 8: The Smile: Stylized Facts and Their Interpretation Chapter 9: No-Arbitrage Bounds on the Smile Chapter 10: A Survey of Smile Models Chapter 11: Implied Distributions and Static Replication Chapter 12: Weak Static Replication Chapter 13: The Binomial Model and Its Extensions Chapter 14: Local Volatility Models Chapter 15: Consequences of Local Volatility Models Chapter 16: Local Volatility Models: Hedge Ratios and Exotic Option Values Chapter 17: Some Final Remarks on Local Volatility Models Chapter 18: Patterns of Volatility Change Chapter 19: Introducing Stochastic Volatility Models Chapter 20: Approximate Solutions to Some Stochastic Volatility Models Chapter 21: Stochastic Volatility Models: The Smile for Zero Correlation Chapter 22: Stochastic Volatility Models: The Smile with Mean Reversion and Correlation Chapter 23: Jump-Diffusion Models of the Smile: Introduction Chapter 24: The Full Jump-Diffusion Model Appendix A: Some Useful Derivatives of the Black-Scholes-Merton Model Appendix B: Backward Itô Integrals References Answers to End-of-Chapter Problems Index. |
| Record Nr. | UNINA-9910135014203321 |
|
Derman Emanuel
|
||
| Hoboken, New Jersey : , : Wiley, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The volatility smile : an introduction for students and practitioners / / Emanuel Derman, Michael B. Miller
| The volatility smile : an introduction for students and practitioners / / Emanuel Derman, Michael B. Miller |
| Autore | Derman Emanuel |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2016 |
| Descrizione fisica | 1 online resource (531 p.) |
| Disciplina | 332.63/228301 |
| Collana | Wiley Finance Series |
| Soggetto topico |
Finance - Mathematical models
Securities - Valuation |
| ISBN |
1-118-95918-3
1-118-95917-5 1-119-28925-4 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Machine generated contents note: Preface About the Authors Chapter 1: Overview Chapter 2: The Principle of Replication Chapter 3: Static and Dynamic Replication Chapter 4: Variance Swaps: A Lesson in Replication Chapter 5: The P&L of Hedged Option Strategies in a Black-Scholes-Merton World Chapter 6: The Effect of Discrete Hedging on P&L Chapter 7: The Effect of Transactions Costs on P&L Chapter 8: The Smile: Stylized Facts and Their Interpretation Chapter 9: No-Arbitrage Bounds on the Smile Chapter 10: A Survey of Smile Models Chapter 11: Implied Distributions and Static Replication Chapter 12: Weak Static Replication Chapter 13: The Binomial Model and Its Extensions Chapter 14: Local Volatility Models Chapter 15: Consequences of Local Volatility Models Chapter 16: Local Volatility Models: Hedge Ratios and Exotic Option Values Chapter 17: Some Final Remarks on Local Volatility Models Chapter 18: Patterns of Volatility Change Chapter 19: Introducing Stochastic Volatility Models Chapter 20: Approximate Solutions to Some Stochastic Volatility Models Chapter 21: Stochastic Volatility Models: The Smile for Zero Correlation Chapter 22: Stochastic Volatility Models: The Smile with Mean Reversion and Correlation Chapter 23: Jump-Diffusion Models of the Smile: Introduction Chapter 24: The Full Jump-Diffusion Model Appendix A: Some Useful Derivatives of the Black-Scholes-Merton Model Appendix B: Backward Itô Integrals References Answers to End-of-Chapter Problems Index. |
| Record Nr. | UNINA-9910822185903321 |
|
Derman Emanuel
|
||
| Hoboken, New Jersey : , : Wiley, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
