HandbookofQuantitativeFinanceandRiskManagement

按一下以編輯母片標題樣式,按一下以編輯母片,第二層,第三層,第四層,第五層,*,*,Handbook of Quantitative Finance and Risk Management,Edited by,Cheng-Few Lee,Rutgers University,Alice C. Lee,San Francisco State University,This handbook expects to be published by Springer by January 2009. Please send all comments and suggestions to C.F. Lee at,1,Table of Contents for Handbook of Quantitative Finance and Risk Management,PREFACE,List of Contributors,Part I Introduction,Part II Essays,Chapter 1Theoretical Framework of Finance,Chapter 2 Policy Framework of Finance,Chapter 3 Research Methods of Finance,Chapter 4 Overview of Finance Research,Part III Portfolio Analysis,Chapter 1Basic Concepts of Portfolio Analysis,Chapter 2Markowitz Portfolio-Selection Model,Chapter 3Capital Asset Pricing Model and Beta Forecasting,Chapter 4Index Model for Portfolio Selection,Chapter 5Performance-Measure Approaches for Selecting Optimum Portfolios,2,Table of Contents for Handbook of Quantitative Finance and Risk Management,Part IV Options and Futures,A. Basic Concepts and Strategies,Chapter 1Introduction,Chapter 2Options and Option Strategy,2.1 The Option Market and Related Definition,2.1 .1 What Is an Option?,2.1 .2 Types of Options and Their Characteristics,2.1 .3 Relationships Between the Option Price and the Underlying Asset,Price,2.1 .4 Additional Definitions and Distinguishing Features,2.1 .5 Types of Underlying Asset,2.1 .6 Institutional Characteristics,2.2 Index and Futures Options,3,Table of Contents for Handbook of Quantitative Finance and Risk Management,2.3 Put-Call Parity,2.3.1 European Options,2.3.2 American Options,2.3.3 Futures Options,2.3.4 Market Applications,2.4 Risk-Return Characteristics of Options,2.4.1 Long Call,2.4.2 Short Call,2.4.3 Long Put,2.4.4 Short Put,2.4.5 Long Straddle,2.4.6 Short Straddle,2.4.7 Long Vertical (Butt) Spread,2.4.8 Short Vertical (Butt) Spread,2.4.9 Calender (time) Spreads,2.5 Summary,4,Table of Contents for Handbook of Quantitative Finance and Risk Management,B.Statistical Analysis Approaches,Chapter 3 Binomial Option Pricing Models,3.1 Introduction,3.2 Some Properties of the Binomial Distribution,3.3 Some Properties of the Normal Distribution,3.4 The Binomial Option Pricing of Cox, Ross and Rubinstein,3.4.1 Derivation of the Option Pricing Model,3.4.2 The Black and Scholes Model as a Limiting Case,3.5 The Binomial Option Pricing of Rendleman and Barter,3.5.1 Derivation of the Option Pricing Model,3.5.2 The Black and Scholes Model as a Limiting Case,Chapter 4 Multinomial Option Pricing Model,4.1 Introduction,4.2 Multinomial Option Pricing Model,4.2.1 Derivation of the Option Pricing Model,4.2.2 The Black and Scholes Model as a Limiting Case,4.3 A Lattice Framework for Option Pricing,4.3.1 Modification of the Two State Approach for a Single State,Variable,4.3.2 A Lattice Model for Valuation of Options on Two Underlying Assets,5,Table of Contents for Handbook of Quantitative Finance and Risk Management,Chapter 5 The Lognormal Option Pricing Model,5.1 Introduction,5.2 The Lognormal Distribution,5.2.1Some Properties of the Lognormal Distribution,5.2.2The Lognormal Distribution and Its Relationship,to the Normal Distribution,5.2.3Derivation of the Black and Scholes Option,Pricing Model,5.3Limitations of The Lognormal Option Pricing Model,Chapter 6Bivariate Normal Option Pricing Models,6.1Introduction,6.2European Options versus American Options,6.3The Bivariate Normal Option Pricing Models,6.4Examples,6,Table of Contents for Handbook of Quantitative Finance and Risk Management,C.Stochastic Calculus Approaches,Chapter 7 Ito Calculus and The Black and Scholes Option Pricing Model,7.1 Introduction,7.2 Review of Stochastic Processes,7.3 Review of Ito Calculus,7.4 Ito Calculus Approach to The Black and Scholes Options Pricing,Model,7.4.1 Derivation of the Black and Scholes Option Pricing Model,7.4.2 Limitations of the Black and Scholes Option Pricing Model,Chapter 8 Constant Elasticity of Variance (CEV) Option Pricing Model,8.1Introduction,8.2Review of Noncentral,x,2,Distribution,8.3Noncentral,x,2,Approach to Option Pricing Models,8.3.1Derivation of the Probability Density Function under CEV,8.3.2The Option Pricing Model under CEV,7,Table of Contents for Handbook of Quantitative Finance and Risk Management,Chapter 9Stochastic Volatility Option Pricing Model,9.1Introduction,9.2Review of Characteristic Function,9.3Nonclosed-Form type of Option Pricing Model,9.4Closed-Form type of Option Pricing Model,Chapter 10A General Option Pricing Model,10.1Introduction,10.2The Jump Diffusion Model,10.3Option Pricing Model with Random Variance and,Interest Rate,10.4Stochastic Volatility, Interest Rates, and Jumps,Option Pricing Model,8,Table of Contents for Handbook of Quantitative Finance and Risk Management,D.Applications,Chapter 11 Option Valuation and Hedging,11.1 Introduction,11.2 The Hedge Ratio,11.3 The Sensitivities of the Black-Scholes OPM to the Inputs,11.4 Option Elasticity and Beta,11.5 Estimating the Inputs,11.6 Extensions of the Black-Scholes OPM,11.7 Pricing Other Financial Securities Using Option Pricing Theory,11.8 Evaluating the Black-Scholes Option-Pricing Model,11.9 Estimating the Implied Standard Deviation with OLS,Chapter 12 Foreign Exchange Option Pricing Models,12.1 Introduction,12.2Derivation of Foreign Exchange Option Pricing Models,12.2.1Option on Foreign Exchange,12.2.2Options on Foreign Exchange Futures,12.3Applications of Foreign Exchange Option Pricing Models,9,Table of Contents for Handbook of Quantitative Finance and Risk Management,Chapter 13 Index Option Pricing Models,13.1 Introduction,13.2 Derivation of Index Option Pricing Models,13.2.1Option on Index,13.2.2Option on Index Futures,13.3 Applications of Index Option Pricing Models,Chapter 14 Real Options,14.1 Introduction,14.2 Traditional Approaches of Capital Budgeting Under Uncertainty,14.2.1 Statistical Distribution Approach,14.2.2 Decision Tree Approach,14.2.3 Certainty Equivalence Approach,14.3 Real Option Approach to Capital Budgeting Decisions,14.3.1 Venture Capital Investment Decision,14.3.2 New Product Investment Decision,14.4 Real Option Pricing Models,14.4.1 Univariate Normal Model,14.4.2 Bivariate Normal Model,14.4.3 Multivariate Normal Model,Chapter 15Summary and Concluding Remarks,10,Table of Contents for Handbook of Quantitative Finance and Risk Management,Part V Contributed Papers,Chapter 1: The Creation and Control of Speculative Bubbles in a Laboratory Setting,James S. Ang, Florida State University, USA,Dean Diavatopoulous, Florida State University, USA,Thomas V. Schwarz, Grand Valley State University, USA,Chapter 2: Business Models: Applications to Capital Budgeting, Equity Value and Return Attribution,Thomas S. Y. Ho,Sang Bin Lee, Hanyang University, Korea,Chapter 3: Risk and Valuation Under an Intertemporal Capital Asset Pricing Models,Michael J. Brennan, Anderson School, USA,Yihong Xia, Pennsylvania University, USA,Chapter 4: Portfolio Optimization Models and Mean-Variance Spanning Tests,Wei-Peng Chen, Shih Hsin University, Taiwan,Huimin Chung, National Chiao Tung University, Taiwan,Keng-Yu Ho, National Central University, Taiwan,Tsui-Ling Hseu, National Chiao Tung University, Taiwan,Chapter 5: A Further Analysis of Convergence Rate and Pattern of the Binomial Models,San-Lin Chung, National Taiwan University, Taiwan,Pai-Ta Shih, National Dong Hwa University, Taiwan,11,Table of Contents for Handbook of Quantitative Finance and Risk Management,Chapter 6: Combining Fundamental Measures for Stock Selection: Some Thoughts,Kenton K. Yee, Columbia Business School, USA,Chapter 7: Dividends vs. Reinvestments in Continuous Time: A More General Model,Ren-Raw Chen, Rutgers University, USA,Ben Logan,Oded Palmon, Rutgers University, USA,Larry Shepp, Rutgers University, USA,Chapter 8: Time Series Modeling of Asset Returns Volatilities,Tze Leung Lai, Stanford University, USA,Haipeng Xing, Columbia University, USA,Chapter 9: On Estimation Risk and Power Utility Portfolio Selection,Robert R. Grauer, Simon Fraser University, USA,Frederick C. Shen,Chapter 10: Segmenting financial services market: An Empirical Study of Statistical and Non-parametric Methods,Kenneth Lawrence, New Jersey Institute of Technology, USA,Dinesh Pai, Rutgers University, USA,Ronald Klimberg, St. Josephs University, USA,Stephen Kudbya, New Jersey Institute of Technology, USA,Sheila Lawrence, Rutgers University, USA,12,Table of Contents for Handbook of Quantitative Finance and Risk Management,Chapter 11: Recovering Probabilistic Information From Options Prices and the Underlying,Bruce Mizrach, Rutgers University, USA,Chapter 12: Combinatorial Methods for Reverse-Engineering and Construction of Credit Risk Ratings,Alexander Kogan, Rutgers University, USA,Miguel A. Lejeune, Carnegie Mellon University, USA,Chapter 13: Displaced Log Normal and Lognormal American Option Pricing: A Comparison,Ren-Raw Chen, Rutgers University, USA,Cheng-Few Lee, Rutgers University, USA,Chapter 14: Are Tails Fast Enough to Explain Smile,Ren-Raw Chen, Rutgers University, USA,Oded Palmon, Rutgers University, USA,John Wald, Pennsylvania State University, USA,Chapter 15: Two Alternative Approaches to Derive Black-Schools Option Pricing Model: Comparison and Analysis,Cheng-Few Lee, Rutgers University, USA,Carle Shu Ming Lin, Rutgers University, USA,13,Table of Contents for Handbook of Quantitative Finance and Risk Management,Chapter 16: Spurious Regression and Data Mining in Conditional Asset Pricing Models,Wayne Ferson, University of Southern California, USA,Sergei Sarkissian, McGill University, USA,Timothy Simin, Pennsylvania State University, USA,Chapter 17: Structural Approach for Credit Risk Modeling,Jingzhi Huang, Pennsylvania State University, USA,Chapter 18: An Empirical Investigation of the Rationales for Integrated Risk-Management Behavior,Michael S. Pagano, Villanova University, USA,Chapter 19: Implementing Risk Management Systems with a Benchmark: a Web-Based DSS Approach,Larry Eisenberg, University of Southern Mississippi, USA,Chang-tseh Hsieh, University of Southern Mississippi, USA,Chapter 20: The Le Chatelier Principle in the Markowitz Quadratic Programming Investment Model: A Case of World Equity Fund Market,Chin W. Yang, Clarion University of Pennsylvania, USA,Ken Hung, National Dong Hwa University, Taiwan,Jing Chui, Clarion University of Pennsylvania, USA,14,Table of Contents for Handbook of Quantitative Finance and Risk Management,Chapter 21: Copula, Correlated Defaults and Credit VaR,Jow-Ran Chang, National Tsing Hua University, Taiwan,An-Chi Chen, KGI Securities Co. Ltd., Taiwan,Chapter 22: An Errors-in-variables Problem in Asset Pricing Tests,Dongcheol Kim, Rutgers University, USA,Chapter 23: Pricing and Hedging Interest Rate Derivatives In the Presence of Unspanned Stochastic Volatilities,Feng Zhao, Rutgers University, USA,Chapter 24: Liquidity Risk and Arbitrage Pricing Theory,Umut Cetin, Technische University Wein, USA,Robert A. Jarrow, Cornell University, USA,Philip Protter, Cornell University, USA,Chapter 25: Stock Returns, Extreme Values, and Conditional Skewed Distribution,Thomas C. Chiang, Drexel University, USA,Jiandong Li, Drexel University, USA,15,Table of Contents for Handbook of Quantitative Finance and Risk Management,Chapter 26: MCMC Estimation of Multiscale Stochastic Volatility Models,German Molina, Vega Capital Services Ltd., UK,Chuan-Hsiang Han, National Tsing Hua University, Taiwan,Jean-Pierre Fouque, University of California, USA,Chapter 27: Security Market Microstructure: The Analysis of a Non-Frictionless Market,Robert Schwartz, Zicklin School of Business, USA,Reto Francioni,Martin Reck,Chapter 28: Robust prediction of default risk?,Chung-Hua Shen, National Taiwan University, Taiwan,Yi-Kai Chen,National University of Kaohsiung, Taiwan,Chapter 29: Risk Management for Catastrophe Loss,Jin-Ping Lee, Feng Chia University, Taiwan,Min-Teh Yu, Providence University, Taiwan,Chapter 30: Regime Shifts and the Term Structure of Interest Rates,Chien-Chung Nieh, Tamkang University, Taiwan,Shu Wu, The University of Kansas, USA,Yong Zeng, The University of Missouri at Kansas City, USA,16,Table of Contents for Handbook of Quantitative Finance and Risk Management,Chapter 31: ARM Processes and Their Modeling and Forecasting Methodology,Benjamin Melamed, Rutgers Business School, USA,Chapter 32: Alternative Econometric Methods for Information-based Equity-selling Mechanisms,Cheng Few Lee, Rutgers University, USA,Yi Lin Wu, National Tsing Hua University, Taiwan,Chapter 33: Implementation Problems and Solutions in Stochastic Volatility Models of the Heston Type,Jia-Hau Guo, Soochow University, Taiwan,Mao-Wei Hung, National Taiwan University, Taiwan,Chapter 34: Univariate and Bivariate GARCH Analyses for the Volume versus GARCH effects,Zhuo Qiao, National University of Singapore, Singapore,Wing-Keung Wong, National University of Singapore, Singapore,Chapter 35: Application of Fuzzy Set Theory in Option Research,Shin-Yun Wang, National Dong Hwa University, Taiwan,Cheng-Few Lee, Rutgers University, USA,17,Table of Contents for Handbook of Quantitative Finance and Risk Management,Chapter 36: Hedonic Regression Analysis: A Primer,Ben J. Sopranzetti, Rutgers University, USA,Chapter 37: Risk-Adverse Portfolio Optimization via Stochastic Dominance Contraints,Darinka Dentcheva,Andrzej Ruszczynski,Chapter 38: A Real Option Approach to the Comprehensive Analysis of Bank Consolidation Values,Chuang-Chang Chang, National Central University, Taiwan,Pei-Fang Hsieh, National Central University, Taiwan,Hung-Neng Lai, National Central University, Taiwan,Chapter 39: Numerical Solution of Partial Differential Equation in Computational Finance,Gang Nathan Dong, Rutgers University, USA,Chapter 40: Capital Structure in Asia and CEO Entrenchment,Kin Wai Lee, Nanyang Technological University, Singapore,Gillian Hian Heng Yeo, Nanyang Technological University, Singapore,18,Table of Contents for Handbook of Quantitative Finance and Risk Management,Chapter 41: Estimating Future Hedge Ratio: A General Hyperbolic Distribution Approach,Cheng-Few Lee, National Chiao Tung University, Taiwan,Jang-Yi Lee, Tunghai University, Taiwan,Kehluh Wang, National Chiao Tung University, Taiwan,Yuan-Chung Sheu, National Chiao Tung University, Taiwan,Chapter 42: The Sensitivity of Corporate Bond Volatility to Macroeconomic Announcements,Nikolay Kosturov, University of Oklahoma, USA,Duane Stock, University of Oklahoma, USA,Chapter 43: Option Pricing and Hedging Performance under Stochastic Volatility and Stochastic Interest Rates,Gurdip Bakshi, University of Maryland, USA,Charles Cao, Penn State University, USA,Zhiwu Chen, Yale University, USA,Chapter 44: Its Calculus and the Derivation of the Black-Scholes Option-Pricing Model,George Chalamandaris, Athens University of Economics and Business, Greece,A.G. Malliaris, Loyola University Chicago, USA,Chapter 45: Portfolio Analysis,Jack Clark Francis, Baruch College, USA,19,Table of Contents for Handbook of Quantitative Finance and Risk Management,Chapter 46: Equity Market Microstructure: The Analysis of a Non-Frictionless Market,Reto Francioni, Deutsche Bank, USA,Sonali Hazarika, Baruch College, USA,Martin Reck, Deutsche Bank, USA,Robert A. Schwartz, Baruch College, USA,Chapter 47: Raw Material Convenience Yields and Business Cycle,Chang-Wen Duan, Tamkang University, Taiwan,William T. Lin,Tamkang University, Taiwan,Chapter 48: SubprimeMarket - A Default Study,C.H. Ted Hong, Beyondbond, USA,Chapter 49: The Valuation of Uncertain Income Streams and the Pricing of Options,Mark Rubinstein, University of California Berkley, USA,Chapter 50: A Primer on the Implicit Financing Assumptions of Traditional Capital Budgeting Approaches,Ivan Brick, Rutgers University, USA,Daniel Weaver, Rutgers University, USA,20,Table of Contents for Handbook of Quantitative Finance and Risk Management,Chapter 51: Portfolio Theory, CAPM, and Performance Measures,Luis Ferruz, University of Zaragoza, Spain,Chapter 52: Markov Chain Monte Carlo and Stochastic Volatility Model,Chapter 53: Derivation and application of Greek letters,Cheng-Few Lee, Rutgers University, USA,David Chen, Rutgers University, USA,Weikang Shih, Rutgers University, USA,Chapter 54: Put option approach to determine bank risk premium,Dar-Yeh Huang, National Taiwan University, Taiwan,Fu-Shuen Shie, National Taiwan University, Taiwan,Wei-Hsiung Wu, National Taiwan University, Taiwan,Chapter 55: Determination of Capital Structure: An Option Pricing Approach,Sheng-Syan Chen, National Taiwan University, Taiwan,Cheng-Few Lee, National Chiao Tung University, Taiwan,Han-Hsing Lee, National Chiao Tung University, Taiwan,21,Table of Contents for Handbook of Quantitative Finance and Risk Management,Chapter 56: Characteristic function and Finance Research,Ying-Lin Hsu, National Chung Hsing University, Taiwan,Cheng-Few Lee, Rutgers University, USA,Chapter 57: Entropy and Its Application in Finance Research,Hyley Huang, National Chiao Tung University and Wintek Corporation, Taiwan,Cheng-Few Lee, Rutgers University, USA,Chapter 58: Structure Equation Model in Finance and Accounting Research,Chingfu Chang, National Chengchi University, Taiwan,Cheng-Few Lee, Rutgers University, USA,Chapter 59: Genetic Programming for Options Pricing,Nemmara Chidambaran, Rutgers University, USA,Chapter 60: Predicting Prices with Defense Forecasting,Glenn Schafer, Rutgers University, USA,Sam Ring, Rutgers University, USA,22,Table of Contents for Handbook of Quantitative Finance and Risk Management,Chapter 61: Hedging Theories and Applications,Keshab Shrestha, Nanyang Technological University, Singapore,Chapter 62: Intertemporal CAPM,Steve Brown, New York University, USA,Chapter 63: Corporate Finance,Kose John, New York University, USA,Chapter 64: Asian Options,Itzhak Venezia, Hebrew University, USA,Chapter 65: Keiretsu Style Main Bank Relationships, R&D Investment, Leverage, and Firm Value: Evidence from Japanese Listed Companies,Hai-Chin Yu, Chung Yuan University, Taiwan,Chih-Sean Chen, Chung Yuan University, Taiwan,Der-Tzon Hsieh, National Taiwan University, Taiwan,23,Table of Contents for Handbook of Quantitative Finance and Risk Management,Chapter 66: Alternative Models for Estimating the Cost of Equity Capital for Property/Casualty Insurers,Alice Lee, San Francisco State University, USA,J.D. Cumming, Temple University, USA,Chapter 67: An ODE Approach for the Expected Discounted Penalty at Ruin,Cheng Few Lee, Rutgers University, USA,Yu-Ting Chen, National Chao Tung University, Taiwan,Yuan-Chung Sheu, National Chao Tung University, Taiwan,Chapter 68: Functional Forms, Market Segmentation and Pricing of Closed-end Country Funds,Cheng-Few Lee, Rutgers University, USA,Dilip K. Patro, Federal Deposit Insurance Company, USA,Bo Liu, Rutgers University, USA,Alice C. Lee, San Francisco State University, USA,Chapter 69: Actuarial mathematics and its applications in quantitative finance,Cho-Jieh Chen, University of Alberta, USA,Chapter 70: Examining the Impact of US IT Stock Market on Other IT Stock Markets,Zhuo Qiao, National University of Singapore, Singapore,Venus Khim-Sen Liew, Universiti Malaysia Sabah, Malaysia,Wing-Keung Wong, Hong Kong Baptist University, Hong Kong,24,Table of Contents for Handbook of Quantitative Finance and Risk Management,Chapter 71: Time-Series Econometrics and Dynamic Financial Models,Robert H. Patrick, Rutge