Incomplete information and heterogeneous beliefs in continuous-time finance

This book considers the impact of incomplete information and heterogeneous beliefs on investor's optimal portfolio and consumption behavior and equilibrium asset prices. After a brief review of the existing incomplete information literature, the effect of incomplete information on investors' exptected utility, risky asset prices ...

Asset pricing

discrete time approach

The theory of asset pricing has grown markedly more sophisticated since the early 1980s, with the application of powerful mathematical tools such as probability theory, stochastic processes and numerical analysis. The main goal of this text is to provide a systematic exposition, with practical applications ...

Value-at-risk

theory and practice

Value-at-risk (VaR) is a measure of market risk that has been widely adopted since the mid-1990s for use on trading floors. This is the first advanced book published on VaR. It describes how to design, implement, and use scalable production VaR measures on actual trading ...

Advances in portfolio construction and implementation

Advances in Portfolio Construction and Implementation offers practical guidance in addition to the theory, and is therefore ideal for Risk Mangers, Actuaries, Investment Managers, and Consultants worldwide. Issues are covered from a global perspective and all the recent developments of financial risk management are presented ...

Investment

theories and analysis

This text provides an examination of the key macroeconomic theories which underpin fixed asset investment. It would make ideal reading for an intermediate level macroeconomics course or a module on fixed asset investment taking an applied macroeconomic perspective. Table of Contents Section I Introduction: introduction ...

Bond pricing and portfolio analysis

protecting investors in the long run

This text makes accessible the most important methodological advances in bond evaluation from the past twenty years. With uncommon precision and a strong emphasis on the underlying economic fundamentals, Olivier de La Grandville presents a unified framework for understanding the basic tools of bond evaluation ...

Quantitative methods for trading and investment

This much-needed book, from a selection of top international experts, fills a gap by providing a manual of applied quantitative financial analysis. It focuses on advanced empirical methods for modelling financial markets in the context of practical financial applications. Data, software and techniques specifically aligned ...

Currency overlay

Currency overlay has grown in parallel with the international diversification of institutional investment portfolios. Currency overlay mandates now cover around $100bn in assets, and 18 years since the first overlay mandate, currency overlay has now come of age. Currency Overlay looks at all the components ...

Portfolio theory and performance analysis

Asset management has become central to the development of the financial industry, both in the United States and Europe. The increasing number of cross-border merger and acquisition operations and the extremely high valuations that are put on those operations are evidence of the major financial ...

Managing collective investment funds

Managing Collective Investment Funds is designed as a practical introduction to collective investment funds and their management, drawing on the experience of the authors in both developed and emerging markets. It identifies best practice internationally, and also highlights the challenges of regulating and operating collective ...

Urcentainty and expectation

strategies for the trading of risk

1. Losers Anonymous.2. Past Masters. 3. Basic Building Blocks. 4. Mental Curves. 5. Assorted Killers. 6. Chartists, Economists and Gurus. 7. Quantum(ish) Finance. 8. This is the First Time since the Last Time. 9. The Divine Right of Failure. 10. Signposts. Bibliography. A ...

Elements of financial risk management

Value-at-Risk has emerged as the standard tool for measuring and reporting financial market risk. More than 80 commercial vendors offer enterprise or trading risk management systems that provide VAR-like measures. Risk managers are therefore often left with the daunting task of having to choose from ...

Asset pricing

Vol. 1-Frontiers of real estate finance

Real estate finance is a fast-developing area where top quality research is in great demand. In the US, the real estate market is worth about US$4 trillion, and the REITs market about US$200 billion; tens of thousands of real estate professionals are working ...

The bond and money markets

strategy, trading, analysis

The Bond and Money Markets is an invaluable reference to all aspects of fixed income markets and instruments. It is highly regarded as an introduction and an advanced text for professionals and graduate students. Features comprehensive coverage of: Government and Corporate bonds, Eurobonds, callable bonds ...

Weak convergence of financial markets

The book provides an overview of weak convergence of stochastic processes and its application to the study of financial markets. Split into three parts, the first recalls the mathematics of stochastic processes and stochastic calculus with special emphasis on contiguity properties and weak convergence of ...

Modern investment management

an equilibrium approach

Bob Litterman and the Quantitative Reource Group Goldman Sachs Asset Management This powerful book brilliantly discovers the routes to superior investment results in the roots of economic theory. In the process, it combines elegance of presentation with the highest levels of lucidity. The authors offer ...

Venture capital

a Euro-System approach

Covers a wide spectrum of topics: it investigates the way venture capital really works, the relations between venture capital, corporate banking and stock exchanges, market trends in Europe and the US, legal issues related to the creation of venture capital firms and closed end funds ...

Real estate investment trusts

structure, performance, and investment opportunities

The book provides the investing public, real estates practitioners, regulators, and real estate and finance academics with up-to-date information on what modern scholarly research tells us about Real Estate Investment Trusts (REITs). REITs are credited to allow institutional and individual investors to invest in real ...

Asset management and investor protection

an international analysis

Scandals in financial institutions, weakness in the world economy, and volatility in financial markets bring to the fore issues of regulation and consumer protection. This comparative survey of how investors are currently protected in a range of European countries and the USA is set in ...

Corporate treasury and cash management

The book is an analysis of corporate treasury and cash management with the principal financial instruments used by the corporate treasurer. The objectives of the book are to describe how corporate treasury departments should establish a framework for the identity, measurement and management of risk ...