An Application Of Arbitrage Pricing Theory To Futures Markets PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download An Application Of Arbitrage Pricing Theory To Futures Markets PDF full book. Access full book title An Application Of Arbitrage Pricing Theory To Futures Markets.
| Author | : Michael Ehrhardt |
| Publisher | : |
| Total Pages | : 14 |
| Release | : 2011 |
| Genre | : |
| ISBN | : |
Download An Application of Arbitrage Pricing Theory to Futures Markets Book in PDF, ePub and Kindle
Keynes (1923) and Hicks (1939), hypothesized that futures prices are downward biased estimates of expected spot prices. Any empirical study that employs returns on futures contracts is actually a joint test of both the Keynes-Hicks hypothesis and of the assumed model of returns. Models based on the Capital Asset Pricing Model have been used to test the hypothesis, with different models implying different conclusions. As shown in this article, these models are all special cases of a general linear model. Arbitrage Pricing Theory provides the most powerful test for this class of linear models. No other linear model will provide greater explanatory power or account for more systematic risk. An Arbitrage Pricing Theory model is estimated in this article and the results appear inconsistent with the Keynes-Hicks hypothesis.
| Author | : Michael C. Ehrhardt |
| Publisher | : |
| Total Pages | : 24 |
| Release | : 1987 |
| Genre | : Arbitrage |
| ISBN | : |
Download An Application of Arbitrage Pricing Theory to Futures Markets Book in PDF, ePub and Kindle
| Author | : Bharat K. Kaku |
| Publisher | : |
| Total Pages | : 600 |
| Release | : 1987 |
| Genre | : Arbitrage |
| ISBN | : |
Download An Application of Arbitrage Pricing Theory to Futures Markets Book in PDF, ePub and Kindle
| Author | : Abraham Lioui |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 268 |
| Release | : 2005-12-06 |
| Genre | : Business & Economics |
| ISBN | : 038724106X |
Download Dynamic Asset Allocation with Forwards and Futures Book in PDF, ePub and Kindle
This book is an advanced text on the theory of forward and futures markets which aims at providing readers with a comprehensive knowledge of how prices are established and evolve in time, what optimal strategies one can expect the participants to follow, whether they pertain to arbitrage, speculation or hedging, what characterizes such markets and what major theoretical and practical differences distinguish futures from forward contracts. It should be of interest to students (MBAs majoring in finance with quantitative skills and PhDs in finance and financial economics), academics (both theoreticians and empiricists), practitioners, and regulators. Standard textbooks dealing with forward and futures markets generally focus on the description of the contracts, institutional details, and the effective (as opposed to theoretically optimal) use of these instruments by practitioners. The theoretical analysis is often reduced to the (undoubtedly important) cash-and-carry relationship and the computation of the simple, static, minimum variance hedge ratio. This book proposes an alternative approach of these markets from the perspective of dynamic asset allocation and asset pricing theory within an inter-temporal framework that is in line with what has been done many years ago for options markets.
| Author | : Michael Clyde Ehrhardt |
| Publisher | : |
| Total Pages | : 48 |
| Release | : 1986 |
| Genre | : Arbitrage |
| ISBN | : |
Download An Application of Arbitrage Pricing Theory to Future Markets Book in PDF, ePub and Kindle
| Author | : Jianping Mei |
| Publisher | : World Scientific |
| Total Pages | : 132 |
| Release | : 1994 |
| Genre | : Business & Economics |
| ISBN | : 9789810218393 |
Download New Methods for the Arbitrage Pricing Theory and the Present Value Model Book in PDF, ePub and Kindle
This book consists of two essays on new approaches for the Arbitrage Pricing Theory and the Present Value Model, and one essay on cross-sectional correlations in panel data. The new approaches are designed to study a large number of securities over time. They can be employed by security analysts to discover market anomalies without assuming observable factors or constant risk premium. The book shows how these two approaches can be used to determine how many systematic factors affect the U.S. stock market.
| Author | : Christian Koch |
| Publisher | : GRIN Verlag |
| Total Pages | : 81 |
| Release | : 2009-03 |
| Genre | : Business & Economics |
| ISBN | : 3640277856 |
Download The Arbitrage Pricing Theory as an Approach to Capital Asset Valuation Book in PDF, ePub and Kindle
Diploma Thesis from the year 1996 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,3, European Business School - International University Schlo Reichartshausen Oestrich-Winkel, 160 entries in the bibliography, language: English, abstract: A "few surprises" could be the trivial answer of the Arbitrage Pricing Theory if asked for the major determinants of stock returns. The APT was developed as a traceable framework of the main principles of capital asset pricing in financial markets. It investigates the causes underlying one of the most important fields in financial economics, namely the relationship between risk and return. The APT provides a thorough understanding of the nature and origins of risk inherent in financial assets and how capital markets reward an investor for bearing risk. Its fundamental intuition is the absence of arbitrage which is, indeed, central to finance and which has been used in virtually all areas of financial study. Since its introduction two decades ago, the APT has been subject to extensive theoretical as well as empirical research. By now, the arbitrage theory is well established in both respects and has enlightened our perception of capital markets. This paper aims to present the APT as an appropriate instrument of capital asset pricing and to link its principles to the valuation of risky income streams. The objective is also to provide an overview of the state of art of APT in the context of alternative capital market theories. For this purpose, Section 2 describes the basic concepts of the traditional asset pricing model, the CAPM, and indicates differences to arbitrage theory. Section 3 constitutes the main part of this paper introducing a derivation of the APT. Emphasis is laid on principles rather than on rigorous proof. The intuition of the pricing formula and its consistency with the state space preference theory are discussed. Important contributions to the APT are classified and br
| Author | : Jochen E.M. Wilhelm |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 124 |
| Release | : 2012-12-06 |
| Genre | : Business & Economics |
| ISBN | : 3642500943 |
Download Arbitrage Theory Book in PDF, ePub and Kindle
The present 'Introductory Lectures on Arbitrage-based Financial Asset Pricing' are a first attempt to give a comprehensive presentation of Arbitrage Theory in a discrete time framework (by the way: all the re sults given in these lectures apply to a continuous time framework but, probably, in continuous time we could achieve stronger results - of course at the price of stronger assumptions). It has been turned out in the last few years that capital market theory as derived and evolved from the capital asset pricing model (CAPM) in the middle sixties, can, to an astonishing extent, be based on arbitrage arguments only, rather than on mean-variance preferences of investors. On the other hand, ar bitrage arguments provided access to a wider range of results which could not be obtained by standard CAPM-methods, e. g. the valuation of contingent claims (derivative assets) Dr the_ investigation of futures prices. To some extent the presentation will loosely follow historical lines. A selected set of capital asset pricing models will be derived according to their historical progress and their increasing complexity as well. It will be seen that they all share common structural properties. After having made this observation the presentation will become an axiomatical one: it will be stated in precise terms what arbitrage is about and what the consequences are if markets do not allow for risk-free arbitrage opportunities. The presentation will partly be accompanied by an illus trating example: two-state option pricing.
| Author | : Robert A. Jarrow |
| Publisher | : Springer |
| Total Pages | : 457 |
| Release | : 2018-06-04 |
| Genre | : Mathematics |
| ISBN | : 3319778218 |
Download Continuous-Time Asset Pricing Theory Book in PDF, ePub and Kindle
Yielding new insights into important market phenomena like asset price bubbles and trading constraints, this is the first textbook to present asset pricing theory using the martingale approach (and all of its extensions). Since the 1970s asset pricing theory has been studied, refined, and extended, and many different approaches can be used to present this material. Existing PhD–level books on this topic are aimed at either economics and business school students or mathematics students. While the first mostly ignore much of the research done in mathematical finance, the second emphasizes mathematical finance but does not focus on the topics of most relevance to economics and business school students. These topics are derivatives pricing and hedging (the Black–Scholes–Merton, the Heath–Jarrow–Morton, and the reduced-form credit risk models), multiple-factor models, characterizing systematic risk, portfolio optimization, market efficiency, and equilibrium (capital asset and consumption) pricing models. This book fills this gap, presenting the relevant topics from mathematical finance, but aimed at Economics and Business School students with strong mathematical backgrounds.
| Author | : Robert A. Jarrow |
| Publisher | : World Scientific |
| Total Pages | : 609 |
| Release | : 2008 |
| Genre | : Business & Economics |
| ISBN | : 9812819207 |
Download Financial Derivatives Pricing Book in PDF, ePub and Kindle
This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk.Part II relates to pricing derivatives under stochastic interest rates. Included is the paper introducing the famous Heath?Jarrow?Morton (HJM) model, together with papers on topics like the characterization of the difference between forward and futures prices, the forward price martingale measure, and applications of the HJM model to foreign currencies and commodities.Part III deals with the pricing of financial derivatives considering both stochastic interest rates and the likelihood of default. Papers cover the reduced form credit risk model, in particular the original Jarrow and Turnbull model, the Markov model for credit rating transitions, counterparty risk, and diversifiable default risk.
