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El. knyga: Risk Finance and Asset Pricing: Value, Measurements, and Markets

4.50/5 (4 ratings by Goodreads)
(ESSEC Business School, Paris, France)
  • Formatas: PDF+DRM
  • Serija: Wiley Finance
  • Išleidimo metai: 02-Sep-2010
  • Leidėjas: John Wiley & Sons Inc
  • Kalba: eng
  • ISBN-13: 9780470892367
Kitos knygos pagal šią temą:
Risk Finance and Asset Pricing: Value, Measurements, and MarketsDidesnis paveikslėlis
  • Formatas: PDF+DRM
  • Serija: Wiley Finance
  • Išleidimo metai: 02-Sep-2010
  • Leidėjas: John Wiley & Sons Inc
  • Kalba: eng
  • ISBN-13: 9780470892367
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"Charles Tapiero, as the head of the biggest financial engineering program in the world and business consultant, has his finger on the pulse of the shift that is coming in financial engineering applications and study. With an eye toward the future, he has crafted a comprehensive and practical book that emphasizes an intuitive approach to the financial and quantitative foundations of financial and risk engineering and its many applications to asset pricing and risk management. Covering the theory from a practitioner perspective, he then applies it to a variety of real world problems. The book presents important techniques to price, hedge, and manage risks in general - while acknowledging the high degree of uncertainty in the real world"--



A comprehensive guide to financial engineering that stresses real-world applications

Financial engineering expert Charles S. Tapiero has his finger on the pulse of shifts coming to financial engineering and its applications. With an eye toward the future, he has crafted a comprehensive and accessible book for practitioners and students of Financial Engineering that emphasizes an intuitive approach to financial and quantitative foundations in financial and risk engineering. The book covers the theory from a practitioner perspective and applies it to a variety of real-world problems.

  • Examines the cornerstone of the explosive growth in markets worldwide
  • Presents important financial engineering techniques to price, hedge, and manage risks in general
  • Author heads the largest financial engineering program in the world
    Author Charles Tapiero wrote the seminal work Risk and Financial Management.
Introduction xv
Who This Book Is For
xvi
How This Book Is Structured
xvii
What's on the Companion Web Site
xix
Chapter 1 Risk, Finance, Corporate Management, and Society 1(34)
Overview
1(6)
Risks Everywhere—A Consequence of Uncertainty
1(3)
Risk and Finance; Basic Concepts
4(3)
Finance and Risks
6(1)
Financial Instruments
7(4)
Securities or Stocks
7(1)
Example: An IBM Day-Trades Record
7(4)
Bonds
9(1)
Portfolios
10(1)
Example: Constructing a Portfolio
11(6)
Derivatives and Options
12(3)
Real and Financial Assets
15(1)
Financial Markets
16(1)
Option Contracts
16(1)
Problem 1.1: Options and Their Prices
17(2)
Options and Specific Needs
18(1)
Example: Options and The Price of Equity
19(1)
Example: Management Stock Options
19(16)
Options and Trading in Specialized Markets
20(2)
Trading the CO2 Index
20(1)
Trading on Commodities (Metal, Gold, Silver, Corn, Oil)
20(1)
Trading the Weather and Insurance
21(1)
Securitization, Mortgage-Backed Securities, and Credit Derivatives
21(1)
Real-Life Crises and Finance
22(2)
The ARS Crisis
22(1)
The Banking–Money System Crisis
23(1)
The 2008 Meltdown and Financial Theory
24(3)
Finance and Ethics
27(3)
Crime and Punishment
29(1)
Summary
30(5)
Chapter 2 Applied Finance 35(28)
Overview
35(28)
Finance and Practice
35(9)
Risk Finance and Insurance
35(1)
Infrastructure Finance
36(1)
Finance, the Environment, and Exchange-Traded Funds Indexes
37(1)
Finance and Your Pension
38(1)
Contract Pricing and Franchises
39(1)
Catastrophic Risks, Insurance and Finance
40(1)
The Price of Safety
41(1)
The Price of Inventories
42(1)
Pricing Reliability and Warranties
42(1)
The Price of Quality Claims
43(1)
Financial Risk Pricing: A Historical Perspective
44(3)
Essentials of Financial Risk Management
47(2)
Comprehensive Financial Risk Management
49(1)
Technology and Complexity
49(4)
Retailing and Finance
51(1)
Finance, Cyber Risks, and Terrorism
52(1)
IT and Madoff
52(1)
Virtual Markets
52(1)
Virtual Products
52(1)
Virtual Markets Participants
53(1)
Virtual Economic Universes
53(1)
Market Making and Pricing Practice
53(4)
Market Makers, Market Liquidity, and Bid-Ask Spreads
55(1)
Alternative Market Structures
56(1)
Summary
57(6)
Chapter 3 Risk Measurement and Volatility 63(46)
Overview
63(6)
Risk, Volatility, and Measurement
63(3)
Moments and Measures of Volatility
66(6)
Expectations, Volatility, Skewness, Kurtosis, and the Range
67(2)
Example: IBM Returns Statistics
69(1)
Example: Moments and the CAPM
70(2)
Problem 3.1: Calculating the Beta of a Security
72(9)
Modeling Rates of Return
72(1)
Models of Rate of Returns
73(4)
Statistical Estimations
77(6)
Least Squares Estimation
77(2)
Maximum Likelihood
79(1)
ARCH and GARCH Estimators
80(1)
Example: The AR(1)-ARCH(1) Model
81(2)
Example: A GARCH (1,1) Model
83(4)
High-Low Estimators of Volatility
83(1)
Extreme Measures, Volume, and Intraday Prices
84(3)
Statistical Orders, Volume, and Prices
85(2)
Problem 3.2: The Probability of the Range
87(2)
Intraday Prices and Extreme Distributions
87(1)
Data Transformation
88(1)
Example: Taylor Series
89(5)
Value at Risk and Risk Exposure
90(5)
VaR and Its Application
92(2)
Example: VaR and Shortfall
94(1)
Example: VaR, Normal ROR, and Portfolio Design
95(14)
The Estimation of Gains and Losses
97(2)
Summary
99(10)
Chapter 4 Risk Finance Modeling and Dependence 109(32)
Overview
109(6)
Introduction
109(2)
Dependence and Probability Models
111(1)
Statistical Dependence
111(8)
Dependence and Quantitative Statistical Probability Models
113(1)
Many Sources of Normal Risk: Aggregation and Risk Factors Reduction
114(1)
Example: Risk Factors Aggregation
115(1)
Example: Principal Component Analysis (PCA)
116(1)
Example: A Bivariate Data Matrix and PCA
117(2)
Example: A Market Index and PCA
119(4)
Dependence and Copulas
120(3)
Example: The Gumbel Copula, the Highs and the Lows
123(1)
Example: Copulas and Conditional Dependence
124(1)
Example: Copulas and the Conditional Distribution
125(16)
Financial Modeling and Intertemporal Models
126(7)
Time, Memory, and Causal Dependence
127(2)
Quantitative Time and Change
129(1)
Persistence and Short-term Memory
130(3)
The R/S Index
133(2)
Summary
135(6)
Chapter 5 Risk, Value, and Financial Prices 141(36)
Overview
141(7)
Value and Price
141(2)
Utility, Risk, and Money
143(4)
Utility's Normative Principles: A Historical Perspective
144(1)
Prelude to Utility and Expected Utility
145(2)
Lotteries and Utility Functions
147(1)
Example: The Utility of a Lottery
148(3)
Quadratic Utility and Portfolio Pricing
149(1)
Utility and an Insurance Exchange
150(1)
Example: The Power Utility Function
151(1)
Example: Valuation and the Pricing of Cash Flows
152(1)
Example: Risk and the Financial Meltdown
153(2)
Utility Rational Foundations
155(4)
The Risk Premium
155(1)
Utility and Its Behavioral Derivatives
156(3)
Examples: Specific Utility Functions
159(5)
The Price and the Utility of Consumption
161(3)
Example: Kernel Pricing and the Exponential Utility Function
164(1)
Example: The Pricing Kernel and the CAPM
165(1)
Example: Kernel Pricing and the HARA Utility Function
166(11)
The Price and Demand for Insurance
167(3)
Summary
170(7)
Chapter 6 Applied Utility Finance 177(28)
Overview
177(5)
Risk and the Utility of Time
177(3)
Expected Utility and the Time Utility Price of Money
177(1)
Risk, Safety, and Reliability
178(2)
Asset Allocation and Investments
180(2)
Example: A Two-Securities Problem
182(2)
Example: A Two-Stocks Portfolio
184(1)
Problem 6.1: The Efficiency Frontier
185(2)
Problem 6.2: A Two-Securities Portfolio
187(7)
Conditional Kernel Pricing and the Price of Infrastructure Investments
188(3)
Conditional Kernel Pricing and the Pricing of Inventories
191(2)
Agency and Utility
193(1)
Example: A Linear Risk-Sharing Rule
194(11)
Information Asymmetry: Moral Hazard and Adverse Selection
195(1)
Adverse Selection
196(1)
The Moral Hazard Problem
197(2)
Signaling and Screening
199(1)
Summary
200(5)
Chapter 7 Derivative Finance and Complete Markets 205(54)
Overview
205(5)
The Arrow-Debreu Fundamental Approach to Asset Pricing
206(4)
Example: Generalization to n States
210(2)
Example: Binomial Option Pricing
212(1)
Problem 7.1: The Implied Risk-Neutral Probability
213(1)
Example: The Price of a Call Option
213(2)
Example: A Generalization to Multiple Periods
215(3)
Problem 7.2: Options and Their Prices
218(1)
Put-Call Parity
218(1)
Problem 7.3: Proving the Put-Call Parity
219(1)
Example: Put-Call Parity and Dividend Payments
219(1)
Problem 7.4: Options Put-Call Parity
220(7)
The Price Deflator and the Pricing Martingale
220(2)
Pricing and Complete Markets
222(4)
Risk-Neutral Pricing and Market Completeness
224(2)
Options Galore
226(3)
Packaged and Binary Options
227(1)
Example: Look-Back Options
227(1)
Example: Asian Options
227(1)
Example: Exchange Options
228(1)
Example: Chooser Options
228(1)
Example: Barrier and Other Options
228(1)
Example: Passport Options
229(2)
Options and Their Real Uses
229(2)
Fixed-Income Problems
231(1)
Example: Pricing a Forward
231(1)
Example: Pricing a Fixed-Rate Bond
232(2)
Pricing a Term Structure of Interest Rates
232(2)
Example: The Term Structure of Interest Rates
234(1)
Problem 7.5: Annuities and Obligations
235(5)
Options Trading, Speculation, and Risk Management
235(5)
Option Trading Strategies
237(3)
Problem 7.6: Portfolio Strategies
240(9)
Summary
245(1)
Appendix A: Martingales
246(5)
Essentials of Martingales
246(2)
The Change of Measures and Martingales
248(1)
Example: Change of Measure in a Binomial Model
249(2)
Example: A Two-Stage Random Walk and the Radon Nikodym Derivative
251(8)
Appendix B: Formal Notations, Key Terms, and Definitions
253(6)
Chapter 8 Options Applied 259(32)
Overview
259(5)
Option Applications
259(7)
Risk-Free Portfolios and Immunization
260(1)
Selling Short
261(1)
Future Prices
262(2)
Problem 8.1: Pricing a Multiperiod Forward
264(2)
Pricing and New Insurance Business
264(2)
Example: Options Implied Insurance Pricing
266(25)
Option Pricing in a Trinomial Random Walk
267(2)
Pricing and Spread Options
269(1)
Self-Financing Strategy
270(1)
Random Volatility and Options Pricing
271(2)
Real Assets and Real Options
273(3)
The Option to Acquire the License for a New Technology
275(1)
The Black-Scholes Vanilla Option
276(8)
The Binomial Process as a Discrete Time Approximation
277(1)
The Black-Scholes Model Option Price and Portfolio Replication
278(3)
Risk-Neutral Pricing and the Pricing Martingale
281(3)
The Greeks and Their Applications
284(3)
Summary
287(4)
Chapter 9 Credit Scoring and the Price of Credit Risk 291(62)
Overview
291(3)
Credit and Money
291(3)
Credit and Credit Risk
294(16)
Pricing Credit Risk: Principles
296(3)
Credit Scoring and Granting
299(5)
What Is an Individual Credit Score?
299(1)
Bonds Rating or Scoring Business Enterprises
300(1)
Scoring/Rating Financial Enterprises and Financial Products
301(3)
Credit Scoring: Real Approaches
304(7)
The Statistical Estimation of Default
305(5)
Example: A Separatrix
310(1)
Example: The Separatrix and Bayesian Probabilities
311(3)
Probability Default Models
312(2)
Example: A Bivariate Dependent Default Distribution
314(1)
Example: A Portfolio of Default Loans
315(1)
Example: A Portfolio of Dependent Default Loans
316(1)
Problem 9.1: The Joint Bernoulli Default Distribution
317(2)
Credit Granting
317(2)
Example: Credit Granting and Creditor's Risks
319(3)
Example: A Bayesian Default Model
322(1)
Example: A Financial Approach
323(3)
Example: An Approximate Solution
326(1)
Problem 9.2: The Rate of Return of Loans
327(1)
The Reduced Form (Financial) Model
327(1)
Example: Calculating the Spread of a Default Bond
328(1)
Example: The Loan Model Again
329(1)
Example: Pricing Default Bonds
330(1)
Example: Pricing Default Bonds and the Hazard Rate
331(2)
Examples
332(1)
Example: The Bank Interest Rate on a House Loan
333(1)
Example: Buy Insurance to Protect the Portfolio from Loan Defaults
333(1)
Problem 9.3: Use the Portfolio as an Underlying and Buy or Sell Derivatives on This Underlying
334(1)
Problem 9.4: Lending Rates of Return
334(3)
Credit Risk and Collateral Pricing
334(3)
Example: Hedge Funds Rates of Return
337(1)
Example: Equity-Linked Life Insurance
338(1)
Example: Default and the Price of Homes
339(2)
Example: A Bank's Profit from a Loan
341(12)
Risk Management and Leverage
342(2)
Summary
344(9)
Chapter 10 Multi-Name and Structured Credit Risk Porfolios 353(54)
Overview
353(6)
Introduction
353(4)
Credit Default Swaps
357(2)
Example: Total Return Swaps
359(1)
Pricing Credit Default Swaps—The Implied Market Approach
359(1)
Example: The CDS Price Spread
360(4)
Example: An OTC (Swap) Contract under Risk-Neutral Pricing and Collateral Prices
362(2)
Example: Pricing a Project Launch
364(12)
Credit Derivatives: A Historical Perspective
368(28)
Credit Derivatives: Historical Modeling
369(3)
Credit Derivatives and Product Innovation
372(4)
CDO Example: Collateralized Mortgage Obligations (CMOs)
376(1)
Example: The CDO and SPV
377(3)
Modeling Credit Derivatives
379(1)
CDO: Quantitative Models
380(1)
Example: A CDO with Numbers
380(2)
Example: A CDO of Zero Coupon Bonds
382(3)
Example: A CDO of Default Coupon-Paying bonds
385(2)
Example: A CDO of Rated Bonds
387(4)
Examples: Default Models for Bonds
391(5)
CDO Models and Price Applications
395(1)
Example: The KMV Loss Model
396(11)
CDOs of Baskets of Various Assets
397(1)
Credit Risk versus Insurance
398(1)
Summary
399(8)
Chapter 11 Engineered Implied Volatility and Implied Risk-Neutral Distributions 407(32)
Overview
407(3)
Introduction
407(2)
The Implied Volatility
409(1)
Example: The Implied Volatility in a Lognormal Process
410(3)
The Dupire Model
411(1)
The Implied Risk-Neutral Distribution
412(1)
Example: An Implied Binomial Distribution
413(1)
Example: Calculating the Implied Risk-Neutral Probability
414(4)
Implied Distributions: Parametric Models
417(1)
Example: The Generalized Beta of the Second Kind
418(3)
The A-parametric Approach and the Black-Scholes Model
420(1)
Example: The Shimko Technique
421(5)
The Implied Risk Neutral Distribution and Entropy
423(3)
Examples and Applications
426(13)
Risk Attitude, Implied Risk-Neutral Distribution and Entropy
431(1)
Summary
432(1)
Appendix: The Implied Volatility—The Dupire Model
433(6)
Acknowledgments 439(2)
About the Author 441(2)
Index 443
CHARLES S. TAPIERO is the Topfer Distinguished Professor of Financial Engineering and Technology Management at the New York University Polytechnic Institute. He is also Chair and founder of the Department of Finance and Risk Engineering, as well as cofounder and co–Editor in Chief of Risk and Decision Analysis. An active researcher and consultant, Professor Tapiero has published over 350 papers and thirteen books on a broad range of issues spanning risk analysis, actuarial and financial risk engineering, and management, including Risk and Financial Management: Mathematical and Computational Methods, also by Wiley.
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