Globalization of Financial Markets
Author:CM Buch;
Kiel Studies - Vol 328
The internationalization of financial markets is one of the focal points in the discussion about recent globalization trends. These discussions suggest that capital can move freely between countries. However, there is ample evidence that national borders do matter and that there are many implicit and explicit barriers to integration. Understanding the factors that unify and that separate financial markets and thus reconciling these two stylized facts is at the core of this book. While the main focus of the empirical work is on banking industry, results are yet informative also with regard to developments in other financial market segments. Also, the book uses European financial integration as a case study for general integration trends.
Soveriegn Risk and Financial Crises
Author:M Frenkel; A Karmann; B Scholtens;
Sovereign risk and financial crises play a key role in current international economic developments, particularly in the case of economic downturns. As the Asian economic crisis in the late 1990s revealed once again, financial crises are the rule rather than the exception in capitalist economies. The event also revealed that international public debt agreements are contingent claims. In a world of increasing economic interdependencies, the issues of financial crises and country defaults are of critical importance. This volume goes to the heart of the academic discussion on sovereign risk and financial crises by centering on quantitative-empirical aspects, evaluating prominent approaches, and by proposing new methods. Part I of the volume identifies key factors and processes that are central in analyzing sovereign risk while Part II focuses on the determinants and effects of financial crises.
Mathematics of Financial Markets
Author:Robert J Elliot;P. Ekkehard Kopp;
This book presents the mathematics that underpins pricing models for derivative securities, such as options, futures, and swaps, in modern financial markets. The mathematical concepts used in idealised continuous-time models are sophisticated, relying for the most part on the modern stochastic calculus and its ramifications. In the discrete-time framework, however, many of the underlying ideas can be explained much more simply. This is presented first and used to motivate the development of continuous-time models, including a detailed analysis of Black-Scholes theory and its generalisations, American put options, term structure models, and consumption-investment problems.
The mathematics of martingales and stochastic calculus is developed where it is needed. The treatment is careful and detailed rather than comprehensive, aiming in particular to provide a clear understanding of pricing and hedging for call and put options. From here the reader can progress to the use of similar methods for more exotic instruments and further research.
This text should prove useful to graduates with a sound mathematical background, ideally including a first course on measure-theoretic probability, who wish to understand the mathematical models on which the multitude of current financial instruments used in derivative markets is based. It is well suited to the needs of the rapidly increasing range of quantitatively oriented Master's programmes that provide an entry into this burgeoning field of research and practice, and should equally be useful to risk managers and other practitioners looking for the mathematical tools with which to understand modern pricing and hedging models and their application.
Dynamic Efficiency and Path Dependencies inn Venture Capital Markets
Author:A Schertler;
Kiel Studies - Vol 327
This book offers a new explanation why venture capital in investments differ substantially between countries. Recent literature has attributed these differences to differences in the financial architecture and tax regulations. By contrast, this book shows by using simulations of a general equilibrium model that interactions between venture capitalists' reputation building and experience accumulation lead to different levels of venture capital investments. The interactions taking place in venture capital markets can result in inefficiencies in experience accumulation. The study argues that government subsidies in such a situation may increase venture capitalists' experience accumulation. However, using an agency model, this study shows that subsidies can have negative effects since they reduce venture capitalists' incentives to support the management teams.
Financial Theory and Corporate Policy
Author:Thomas Copeland;J. Weston;Kuldeep Shastri
This classic textbook in the field, now completely revised and updated, provides a bridge between theory and practice. Appropriate for the second course in Finance for MBA students and the first course in Finance for doctoral students, the text prepares students for the complex world of modern financial scholarship and practice. It presents a unified treatment of finance combining theory, empirical evidence and applications.
- Clear and succinct discussion of current trends and recent contributions to finance literature Provides a solid foundation in established finance theory.
- Emphasizes applications to help students better understand the uses of Finance theory.
- End-of-chapter problems challenge students to think analytically and apply their understanding of the theory.
Author:CM Buch;
Kiel Studies - Vol 328
The internationalization of financial markets is one of the focal points in the discussion about recent globalization trends. These discussions suggest that capital can move freely between countries. However, there is ample evidence that national borders do matter and that there are many implicit and explicit barriers to integration. Understanding the factors that unify and that separate financial markets and thus reconciling these two stylized facts is at the core of this book. While the main focus of the empirical work is on banking industry, results are yet informative also with regard to developments in other financial market segments. Also, the book uses European financial integration as a case study for general integration trends.
Soveriegn Risk and Financial Crises
Author:M Frenkel; A Karmann; B Scholtens;
Sovereign risk and financial crises play a key role in current international economic developments, particularly in the case of economic downturns. As the Asian economic crisis in the late 1990s revealed once again, financial crises are the rule rather than the exception in capitalist economies. The event also revealed that international public debt agreements are contingent claims. In a world of increasing economic interdependencies, the issues of financial crises and country defaults are of critical importance. This volume goes to the heart of the academic discussion on sovereign risk and financial crises by centering on quantitative-empirical aspects, evaluating prominent approaches, and by proposing new methods. Part I of the volume identifies key factors and processes that are central in analyzing sovereign risk while Part II focuses on the determinants and effects of financial crises.
Mathematics of Financial Markets
Author:Robert J Elliot;P. Ekkehard Kopp;
This book presents the mathematics that underpins pricing models for derivative securities, such as options, futures, and swaps, in modern financial markets. The mathematical concepts used in idealised continuous-time models are sophisticated, relying for the most part on the modern stochastic calculus and its ramifications. In the discrete-time framework, however, many of the underlying ideas can be explained much more simply. This is presented first and used to motivate the development of continuous-time models, including a detailed analysis of Black-Scholes theory and its generalisations, American put options, term structure models, and consumption-investment problems.
The mathematics of martingales and stochastic calculus is developed where it is needed. The treatment is careful and detailed rather than comprehensive, aiming in particular to provide a clear understanding of pricing and hedging for call and put options. From here the reader can progress to the use of similar methods for more exotic instruments and further research.
This text should prove useful to graduates with a sound mathematical background, ideally including a first course on measure-theoretic probability, who wish to understand the mathematical models on which the multitude of current financial instruments used in derivative markets is based. It is well suited to the needs of the rapidly increasing range of quantitatively oriented Master's programmes that provide an entry into this burgeoning field of research and practice, and should equally be useful to risk managers and other practitioners looking for the mathematical tools with which to understand modern pricing and hedging models and their application.
Dynamic Efficiency and Path Dependencies inn Venture Capital Markets
Author:A Schertler;
Kiel Studies - Vol 327
This book offers a new explanation why venture capital in investments differ substantially between countries. Recent literature has attributed these differences to differences in the financial architecture and tax regulations. By contrast, this book shows by using simulations of a general equilibrium model that interactions between venture capitalists' reputation building and experience accumulation lead to different levels of venture capital investments. The interactions taking place in venture capital markets can result in inefficiencies in experience accumulation. The study argues that government subsidies in such a situation may increase venture capitalists' experience accumulation. However, using an agency model, this study shows that subsidies can have negative effects since they reduce venture capitalists' incentives to support the management teams.
Financial Theory and Corporate Policy
Author:Thomas Copeland;J. Weston;Kuldeep Shastri
This classic textbook in the field, now completely revised and updated, provides a bridge between theory and practice. Appropriate for the second course in Finance for MBA students and the first course in Finance for doctoral students, the text prepares students for the complex world of modern financial scholarship and practice. It presents a unified treatment of finance combining theory, empirical evidence and applications.
- Clear and succinct discussion of current trends and recent contributions to finance literature Provides a solid foundation in established finance theory.
- Emphasizes applications to help students better understand the uses of Finance theory.
- End-of-chapter problems challenge students to think analytically and apply their understanding of the theory.
posted by Think at 2:11 am
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