This book outlines the epistemic (modeling) risks associated with the valuation of current financial instruments and their corresponding risk management strategies. The essence of empirically accurate modeling is shown to be the identification of the underlying geometric structure of the incomplete data. Starting from traditional fundamental analysis, it discusses bonds, stocks, options, futures, swaps, and their portfolio selection. By adding three new chapters, this second edition now takes the reader right up to the most advanced methods of optimal multi-country-asset-currency portfolio management and persistence analysis of international financial markets, impacting the modern valuation of risk by options.Numerous empirical financial examples were collected by the author during his 30-year professional and academic career in economics and finance. These examples elaborate on the points he makes, while detailed footnotes introduce many scientists who have presented similar arguments in physics, biology and mathematics.
Auflage
Sprache
Verlagsort
Zielgruppe
Für höhere Schule und Studium
Editions-Typ
ISBN-13
978-981-281-382-4 (9789812813824)
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Schweitzer Klassifikation
A Scientific Perspective: Balance Equations; Capital Budgeting and Analytic Formulas; Fundamental Security Valuation; Analysis of Inexact Data I: Bivariate Projections; Analysis of Inexact Data II: Multivariate Projections; Optimal Portfolio Formation; Systematic Financial Risk Analysis; Complete Valuation and Dynamic Risk Theory; Degrees of Financial Market Persistence and Risk; Option Pricing I: Binomial Pricing; Option Pricing II: Risk-Neutral Pricing; Option Pricing III: Persistence Pricing; Option Pricing IV: Strategic Investing; Bond Portfolio Valuation and Management; Forwards and Futures; Swaps; Optimal Multi-Country-Asset-Currency Portfolios; Exact Performance Attribution.
