Handbook of Quantitative Finance and Risk Management

  • 54h 9m
  • Alice C. Lee, Cheng-Few Lee, John Lee (eds)
  • Springer
  • 2010
  • The most comprehensive resource on the topic of quantitative finance and risk management to date — including theories, models and tools, and practical applications
  • Features a variety of elements, including definitional terms and descriptive entries, thematic essays from authoritative contributors, and empirical methodologies
  • Global in coverage, integrates concepts from the fields of economics, accounting, statistics, mathematics, and computer science
  • The lead editor, C.F. Lee, is one of the most prolific and well-known authors in the field

Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This three-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.

About the Editors

Cheng-Few Lee is Distinguished Professor of Finance at Rutgers Business School, Rutgers University and was chairperson of the Department of Finance from 1988 to 1995. He has also served on the faculty of the University of Illinois (IBE Professor of Finance) and the University of Georgia. He has maintained academic and consulting ties in Taiwan, Hong Kong, China, and the United States for the past three decades. He has been a consultant to many prominent groups, including the American Insurance Group, the World Bank, the United Nations, The Marmon Group Inc., Wintek Corporation, and Polaris Financial Group.

Professor Lee founded the Review of Quantitative Finance and Accounting (RQFA) in 1990 and the Review of Pacific Basin Financial Markets and Policies (RPBFMP) in 1998, and serves as managing editor for both journals. He was also a co-editor of the Financial Review (1985-1991) and the Quarterly Review of Economics and Business (1987-1989). In the past 36 years, Dr. Lee has written numerous textbooks ranging in subject matters from financial management to corporate finance, security analysis and portfolio management to financial analysis, planning and forecasting, and business statistics. In addition, he edited a popular book entitled Encyclopedia of Finance (with Alice C. Lee). Dr. Lee has also published more than 170 articles in more than 20 different journals in finance, accounting, economics, statistics, and management. Professor Lee was ranked the most published finance professor worldwide during the period 1953-2008.

Professor Lee was the intellectual force behind the creation of the new Masters of Quantitative Finance program at Rutgers University. This program began in 2001 and has been ranked as one of the top ten quantitative finance programs in the United States. These top ten programs are located at Carnegie Mellon University, Columbia University, Cornell University, New York University, Princeton University, Rutgers University, Stanford University, University of California at Berkley, University of Chicago, and University of Michigan.

Alice C. Lee is currently a Director in the Model Validation Group, Enterprise Risk Management, at State Street Corporation. Most recently, she was an Assistant Professor of Finance at San Francisco State University. She has more than 20 years of experience and has a diverse background, which includes academia, engineering, sales, and management consulting. Her primary areas of teaching and research are corporate finance and financial institutions. She is coauthor of Statistics for Business and Financial Economics, 2e (with Cheng F. Lee and John C. Lee) and Financial Analysis, Planning and Forecasting, 2e (with Cheng F. Lee and John C. Lee). In addition, she has co-edited other annual publications including Advances in Investment Analysis and Portfolio Management (with Cheng F. Lee).

John C. Lee is a Microsoft Certified Professional in Microsoft Visual Basic and Microsoft Excel VBA. He has a bachelor and masters degree in accounting from the University of Illinois at Urbana-Champaign.

In this Book

  • Theoretical Framework of Finance
  • Investment, Dividend, Financing, and Production Policies—Theory and Implications
  • Research Methods in Quantitative Finance and Risk Management
  • Foundation of Portfolio Theory
  • Risk-Aversion, Capital Asset Allocation, and Markowitz Portfolio-Selection Model
  • Capital Asset Pricing Model and Beta Forecasting
  • Index Models for Portfolio Selection
  • Performance-Measure Approaches for Selecting Optimum Portfolios
  • The Creation and Control of Speculative Bubbles in a Laboratory Setting
  • Portfolio Optimization Models and Mean–Variance Spanning Tests
  • Combining Fundamental Measures for Stock Selection
  • On Estimation Risk and Power Utility Portfolio Selection
  • International Portfolio Management—Theory and Method
  • The Le Chatelier Principle in the Markowitz Quadratic Programming Investment Model—A Case of World Equity Fund Market
  • Risk-Averse Portfolio Optimization via Stochastic Dominance Constraints
  • Portfolio Analysis
  • Portfolio Theory, CAPM and Performance Measures
  • Intertemporal Equilibrium Models, Portfolio Theory and the Capital Asset Pricing Model
  • Persistence, Predictability, and Portfolio Planning
  • Portfolio Insurance Strategies—Review of Theory and Empirical Studies
  • Security Market Microstructure—The Analysis of a Non-Frictionless Market
  • Options Strategies and Their Applications
  • Option Pricing Theory and Firm Valuation
  • Applications of the Binomial Distribution to Evaluate Call Options
  • Multinomial Option Pricing Model
  • Two Alternative Binomial Option Pricing Model Approaches to Derive Black-Scholes Option Pricing Model
  • Normal, Lognormal Distribution and Option Pricing Model
  • Bivariate Option Pricing Models
  • Displaced Log Normal and Lognormal American Option Pricing—A Comparison
  • Itô's Calculus and the Derivation of the Black-Scholes Option-Pricing Model
  • Constant Elasticity of Variance Option Pricing Model—Integration and Detailed Derivation
  • Stochastic Volatility Option Pricing Models
  • Derivations and Applications of Greek Letters—Review and Integration
  • A Further Analysis of the Convergence Rates and Patterns of the Binomial Models
  • Estimating Implied Probabilities from Option Prices and the Underlying
  • Are Tails Fat Enough to Explain Smile
  • Option Pricing and Hedging Performance under Stochastic Volatility and Stochastic Interest Rates
  • Application of the Characteristic Function in Financial Research
  • Asian Options
  • Numerical Valuation of Asian Options with Higher Moments in the Underlying Distribution
  • The Valuation of Uncertain Income Streams and the Pricing of Options
  • Binomial OPM, Black-Scholes OPM and Their Relationship—Decision Tree and Microsoft Excel Approach
  • Combinatorial Methods for Constructing Credit Risk Ratings
  • The Structural Approach to Modeling Credit Risk
  • An Empirical Investigation of the Rationales for Integrated Risk-Management Behavior
  • Copula, Correlated Defaults, and Credit VaR
  • Unspanned Stochastic Volatilities and Interest Rate Derivatives Pricing
  • Catastrophic Losses and Alternative Risk Transfer Instruments
  • A Real Option Approach to the Comprehensive Analysis of Bank Consolidation Values
  • Dynamic Econometric Loss Model—A Default Study of US Subprime Markets
  • The Effect of Default Risk on Equity Liquidity—Evidence Based on the Panel ThresholdModel
  • Put Option Approach to Determine Bank Risk Premium
  • Keiretsu StyleMain Bank Relationships, R&D Investment, Leverage, and Firm Value—Quantile Regression Approach
  • On the Feasibility of Laddering
  • Stock Returns, Extreme Values, and Conditional Skewed Distribution
  • Capital Structure in Asia and CEO Entrenchment
  • A Generalized Model for Optimum Futures Hedge Ratio
  • The Sensitivity of Corporate Bond Volatility to Macroeconomic Announcements
  • Raw Material Convenience Yields and Business Cycle
  • Alternative Methods to Determine Optimal Capital Structure—Theory and Application
  • Actuarial Mathematics and its Applications in Quantitative Finance
  • The Prediction of Default with Outliers—Robust Logistic Regression
  • Term Structure of Default-Free and Defaultable Securities—Theory and Empirical Evidence
  • Liquidity Risk and Arbitrage Pricing Theory
  • An Integrated Model of Debt Issuance, Refunding, and Maturity
  • Business Models—Applications to Capital Budgeting, Equity Value, and Return Attribution
  • Dividends versus Reinvestments in Continuous Time—A More General Model
  • Segmenting Financial Services Market—An Empirical Study of Statistical and Non-parametric Methods
  • Spurious Regression and Data Mining in Conditional Asset Pricing Models
  • Issues Related to the Errors-in-Variables Problems in Asset Pricing Tests
  • McMC Estimation of Multiscale Stochastic Volatility Models
  • Regime Shifts and the Term Structure of Interest Rates
  • ARM Processes and Their Modeling and Forecasting Methodology
  • Alternative Econometric Methods for Information-Based Equity-Selling Mechanisms
  • Implementation Problems and Solutions in Stochastic Volatility Models of the Heston Type
  • Revisiting Volume vs. GARCH Effects Using Univariate and Bivariate GARCH Models—Evidence from U.S. Stock Markets
  • Application of Fuzzy Set Theory to Finance Research—Method and Application
  • Hedonic Regression Analysis in Real Estate Markets—A Primer
  • Numerical Solutions of Financial Partial Differential Equations
  • A Primer on the Implicit Financing Assumptions of Traditional Capital Budgeting Approaches
  • Determinants of Flows into U.S.-Based International Mutual Funds
  • Predicting Bond Yields Using Defensive Forecasting
  • Range Volatility Models and Their Applications in Finance
  • Examining the Impact of the U.S. IT Stock Market on other IT Stock Markets
  • Application of Alternative ODE in Finance and Economics Research
  • Application of Simultaneous Equation in Finance Research
  • The Fuzzy Set and Data Mining Applications in Accounting and Finance
  • Forecasting S&P 100 Volatility—The Incremental Information Content of Implied Volatilities and High-Frequency Index Returns
  • Detecting Structural Instability in Financial Time Series
  • The Instrument Variable Approach to Correct for Endogeneity in Finance
  • Bayesian Inference of Financial Models Using MCMC Algorithms
  • On Capital Structure and Entry Deterrence
  • VAR Models—Estimation, Inferences, and Applications
  • Signaling Models and Product Market Games in Finance—Do We Know What We Know?
  • Estimation of Short- and Long-Term VaR for Long-Memory Stochastic Volatility Models
  • Time Series Modeling and Forecasting of the Volatilities of Asset Returns
  • Listing Effects and the Private Company Discount in Bank Acquisitions
  • An ODE Approach for the Expected Discounted Penalty at Ruin in Jump Diffusion Model (Reprint)
  • Alternative Models for Estimating the Cost of Equity Capital for Property/Casualty Insurers
  • Implementing a Multifactor Term Structure Model
  • Taking Positive Interest Rates Seriously
  • Positive Interest Rates and Yields—Additional Serious Considerations
  • Functional Forms for Performance Evaluation—Evidence from Closed-End Country Funds
  • A Semimartingale BSDE Related to the Minimal Entropy Martingale Measure
  • The Density Process of the Minimal Entropy Martingale Measure in a Stochastic Volatility Model with Jumps (Reprint)
  • Arbitrage Detection from Stock Data—An Empirical Study
  • Detecting Corporate Failure
  • Genetic Programming for Option Pricing
  • A Constant Elasticity of Variance (CEV) Family of Stock Price Distributions in Option Pricing, Review, and Integration
  • References
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