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Lee, Cheng-Few

Handbook of Quantitative Finance and Risk Management

Lee, Cheng-Few - Handbook of Quantitative Finance and Risk Management, ebook

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ISBN: 9780387771175
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Table of contents

Part I. Overview of Quantitative Finance and Risk Management Research

1. Theoretical Framework of Finance

2. Investment, Dividend, Financing, and Production Policies: Theory and Implications

3. Research Methods in Quantitative Finance and Risk Management

Part II. Portfolio Theory and Investment Analysis

4. Foundation of Portfolio Theory
Cheng-Few Lee, Alice C. Lee, John Lee

5. Risk-Aversion, Capital Asset Allocation, and Markowitz Portfolio-Selection Model
Cheng-Few Lee, Joseph E. Finnerty, Hong-Yi Chen

6. Capital Asset Pricing Model and Beta Forecasting
Cheng-Few Lee, Joseph E. Finnerty, Donald H. Wort

7. Index Models for Portfolio Selection
Cheng-Few Lee, Joseph E. Finnerty, Donald H. Wort

8. Performance-Measure Approaches for Selecting Optimum Portfolios
Cheng-Few Lee, Hong-Yi Chen, Jessica Shin-Ying Mai

9. The Creation and Control of Speculative Bubbles in a Laboratory Setting
James S. Ang, Dean Diavatopoulos, Thomas V. Schwarz

10. Portfolio Optimization Models and Mean–Variance Spanning Tests
Wei-Peng Chen, Huimin Chung, Keng-Yu Ho, Tsui-Ling Hsu

11. Combining Fundamental Measures for Stock Selection
Kenton K. Yee

12. On Estimation Risk and Power Utility Portfolio Selection
Robert R. Grauer, Frederick C. Shen

13. International Portfolio Management: Theory and Method
Wan-Jiun Paul Chiou, Cheng-Few Lee

14. The Le Chatelier Principle in the Markowitz Quadratic Programming Investment Model: A Case of World Equity Fund Market
Chin W. Yang, Ken Hung, Jing Cui

15. Risk-Averse Portfolio Optimization via Stochastic Dominance Constraints
Darinka Dentcheva, Andrzej Ruszczyński

16. Portfolio Analysis
Jack Clark Francis

17. Portfolio Theory, CAPM and Performance Measures
Luis Ferruz, Fernando Gómez-Bezares, María Vargas

18. Intertemporal Equilibrium Models, Portfolio Theory and the Capital Asset Pricing Model
Stephen J. Brown

19. Persistence, Predictability, and Portfolio Planning
Michael J. Brennan, Yihong Xia

20. Portfolio Insurance Strategies: Review of Theory and Empirical Studies
Lan-chih Ho, John Cadle, Michael Theobald

21. Security Market Microstructure: The Analysis of a Non-Frictionless Market
Reto Francioni, Sonali Hazarika, Martin Reck, Robert A. Schwartz

Part III. Options and Option Pricing Theory

22. Options Strategies and Their Applications
Cheng Few Lee, John Lee, Wei-Kang Shih

23. Option Pricing Theory and Firm Valuation
Cheng Few Lee, Joseph E. Finnerty, Wei-Kang Shih

24. Applications of the Binomial Distribution to Evaluate Call Options
Alice C. Lee, John Lee, Jessica Shin-Ying Mai

25. Multinomial Option Pricing Model
Cheng Few Lee, Jack C. Lee

26. Two Alternative Binomial Option Pricing Model Approaches to Derive Black-Scholes Option Pricing Model
Cheng-Few Lee, Carl Shu-Ming Lin

27. Normal, Lognormal Distribution and Option Pricing Model
Cheng Few Lee, Jack C. Lee, Alice C. Lee

28. Bivariate Option Pricing Models
Cheng Few Lee, Alice C. Lee, John Lee

29. Displaced Log Normal and Lognormal American Option Pricing: A Comparison
Ren-Raw Chen, Cheng-Few Lee

30. Itô’s Calculus and the Derivation of the Black–Scholes Option-Pricing Model
George Chalamandaris, A. G. Malliaris

31. Constant Elasticity of Variance Option Pricing Model: Integration and Detailed Derivation
Y. L. Hsu, T. I. Lin, C. F. Lee

32. Stochastic Volatility Option Pricing Models
Cheng Few Lee, Jack C. Lee

33. Derivations and Applications of Greek Letters: Review and Integration
Hong-Yi Chen, Cheng-Few Lee, Weikang Shih

34. A Further Analysis of the Convergence Rates and Patterns of the Binomial Models
San-Lin Chung, Pai-Ta Shih

35. Estimating Implied Probabilities from Option Prices and the Underlying
Bruce Mizrach

36. Are Tails Fat Enough to Explain Smile
Ren-Raw Chen, Oded Palmon, John Wald

37. Option Pricing and Hedging Performance Under Stochastic Volatility and Stochastic Interest Rates
Gurdip Bakshi, Charles Cao, Zhiwu Chen

38. Application of the Characteristic Function in Financial Research
H. W. Chuang, Y. L. Hsu, C. F. Lee

39. Asian Options
Itzhak Venezia

40. Numerical Valuation of Asian Options with Higher Moments in the Underlying Distribution
Kehluh Wang, Ming-Feng Hsu

41. The Valuation of Uncertain Income Streams and the Pricing of Options
Mark Rubinstein

42. Binomial OPM, Black-Scholes OPM and Their Relationship: Decision Tree and Microsoft Excel Approach
John Lee

Part IV. Risk Management

43. Combinatorial Methods for Constructing Credit Risk Ratings
Alexander Kogan, Miguel A. Lejeune

44. The Structural Approach to Modeling Credit Risk
Jing-zhi Huang

45. An Empirical Investigation of the Rationales for Integrated Risk-Management Behavior
Michael S. Pagano

46. Copula, Correlated Defaults, and Credit VaR
Jow-Ran Chang, An-Chi Chen

47. Unspanned Stochastic Volatilities and Interest Rate Derivatives Pricing
Feng Zhao

48. Catastrophic Losses and Alternative Risk Transfer Instruments
Jin-Ping Lee, Min-Teh Yu

49. A Real Option Approach to the Comprehensive Analysis of Bank Consolidation Values
Chuang-Chang Chang, Pei-Fang Hsieh, Hung-Neng Lai

50. Dynamic Econometric Loss Model: A Default Study of US Subprime Markets
C. H. Ted Hong

51. The Effect of Default Risk on Equity Liquidity: Evidence Based on the Panel Threshold Model
Huimin Chung, Wei-Peng Chen, Yu-Dan Chen

52. Put Option Approach to Determine Bank Risk Premium
Dar Yeh Hwang, Fu-Shuen Shie, Wei-Hsiung Wu

53. Keiretsu Style Main Bank Relationships, R&D Investment, Leverage, and Firm Value: Quantile Regression Approach
Hai-Chin Yu, Chih-Sean Chen, Der-Tzon Hsieh

54. On the Feasibility of Laddering
Joshua Ronen, Bharat Sarath

55. Stock Returns, Extreme Values, and Conditional Skewed Distribution
Thomas C. Chiang, Jiandong Li

56. Capital Structure in Asia and CEO Entrenchment
Kin Wai Lee, Gillian Hian Heng Yeo

57. A Generalized Model for Optimum Futures Hedge Ratio
Cheng-Few Lee, Jang-Yi Lee, Kehluh Wang, Yuan-Chung Sheu

58. The Sensitivity of Corporate Bond Volatility to Macroeconomic Announcements
Nikolay Kosturov, Duane Stock

59. Raw Material Convenience Yields and Business Cycle
Chang-Wen Duan, William T. Lin

60. Alternative Methods to Determine Optimal Capital Structure: Theory and Application
Sheng-Syan Chen, Cheng-Few Lee, Han-Hsing Lee

61. Actuarial Mathematics and Its Applications in Quantitative Finance
Cho-Jieh Chen

62. The Prediction of Default with Outliers: Robust Logistic Regression
Chung-Hua Shen, Yi-Kai Chen, Bor-Yi Huang

63. Term Structure of Default-Free and Defaultable Securities: Theory and Empirical Evidence
Hai Lin, Chunchi Wu

64. Liquidity Risk and Arbitrage Pricing Theory
Umut Çetin, Robert A Jarrow, Philip Protter

65. An Integrated Model of Debt Issuance, Refunding, and Maturity
Manak C. Gupta, Alice C. Lee

Part V. Theory, Methodology, and Applications

66. Business Models: Applications to Capital Budgeting, Equity Value, and Return Attribution
Thomas S. Y. Ho, Sang Bin Lee

67. Dividends Versus Reinvestments in Continuous Time: A More General Model
Ren-Raw Chen, Ben Logan, Oded Palmon, Larry Shepp

68. Segmenting Financial Services Market: An Empirical Study of Statistical and Non-parametric Methods
Kenneth Lawrence, Dinesh Pai, Ronald Klimberg, Stephen Kudbya, Sheila Lawrence

69. Spurious Regression and Data Mining in Conditional Asset Pricing Models
Wayne Ferson, Sergei Sarkissian, Timothy Simin

70. Issues Related to the Errors-in-Variables Problems in Asset Pricing Tests
Dongcheol Kim

71. McMC Estimation of Multiscale Stochastic Volatility Models
German Molina, Chuan-Hsiang Han, Jean-Pierre Fouque

72. Regime Shifts and the Term Structure of Interest Rates
Chien-Chung Nieh, Shu Wu, Yong Zeng

73. ARM Processes and Their Modeling and Forecasting Methodology
Benjamin Melamed

74. Alternative Econometric Methods for Information-based Equity-selling Mechanisms
Lee Cheng-Few, Yi Lin Wu

75. Implementation Problems and Solutions in Stochastic Volatility Models of the Heston Type
Jia-Hau Guo, Mao-Wei Hung

76. Revisiting Volume vs. GARCH Effects Using Univariate and Bivariate GARCH Models: Evidence from U.S. Stock Markets
Zhuo Qiao, Wing-Keung Wong

77. Application of Fuzzy Set Theory to Finance Research: Method and Application
Shin-Yun Wang, Cheng Few Lee

78. Hedonic Regression Analysis in Real Estate Markets: A Primer
Ben J. Sopranzetti

79. Numerical Solutions of Financial Partial Differential Equations
Gang Nathan Dong

80. A Primer on the Implicit Financing Assumptions of Traditional Capital Budgeting Approaches
Ivan E. Brick, Daniel G. Weaver

81. Determinants of Flows into U.S.-Based International Mutual Funds
Dilip K. Patro

82. Predicting Bond Yields Using Defensive Forecasting
Glenn Shafer, Samuel Ring

83. Range Volatility Models and Their Applications in Finance
Ray Yeutien Chou, Hengchih Chou, Nathan Liu

84. Examining the Impact of the U.S. IT Stock Market on Other IT Stock Markets
Zhuo Qiao, Venus Khim-Sen Liew, Wing-Keung Wong

85. Application of Alternative ODE in Finance and Economics Research
Cheng-Few Lee, Junmin Shi

86. Application of Simultaneous Equation in Finance Research
Carl R. Chen, Cheng Few Lee

87. The Fuzzy Set and Data Mining Applications in Accounting and Finance
Wikil Kwak, Yong Shi, Cheng-Few Lee

88. Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High-Frequency Index Returns
Bevan J Blair, Ser-Huang Poon, Stephen J Taylor

89. Detecting Structural Instability in Financial Time Series
Derann Hsu

90. The Instrument Variable Approach to Correct for Endogeneity in Finance
Chia-Jane Wang

91. Bayesian Inference of Financial Models Using MCMC Algorithms
Xianghua Liu, Liuling Li, Hiroki Tsurumi

92. On Capital Structure and Entry Deterrence
Fathali Firoozi, Donald Lien

93. VAR Models: Estimation, Inferences, and Applications
Yangru Wu, Xing Zhou

94. Signaling Models and Product Market Games in Finance: Do We Know What We Know?
Kose John, Anant K. Sundaram

95. Estimation of Short- and Long-Term VaR for Long-Memory Stochastic Volatility Models
Hwai-Chung Ho, Fang-I Liu

96. Time Series Modeling and Forecasting of the Volatilities of Asset Returns
Tze Leung Lai, Haipeng Xing

97. Listing Effects and the Private Company Discount in Bank Acquisitions
Atul Gupta, Lalatendu Misra

98. An ODE Approach for the Expected Discounted Penalty at Ruin in Jump Diffusion Model (Reprint)
Yu-Ting Chen, Cheng-Few Lee, Yuan-Chung Sheu

99. Alternative Models for Estimating the Cost of Equity Capital for Property/Casualty Insurers
Alice C. Lee, J. David Cummins

100. Implementing a Multifactor Term Structure Model
Ren-Raw Chen, Louis O. Scott

101. Taking Positive Interest Rates Seriously
Enlin Pan, Liuren Wu

102. Positive Interest Rates and Yields: Additional Serious Considerations
Jonathan Ingersoll

103. Functional Forms for Performance Evaluation: Evidence from Closed-End Country Funds
Cheng-Few Lee, Dilip K. Patro, Bo Liu

104. A Semimartingale BSDE Related to theMinimal Entropy Martingale Measure
Michael Mania, Marina Santacroce, Revaz Tevzadze

105. The Density Process of theMinimal Entropy Martingale Measure in a Stochastic Volatility Model with Jumps (Reprint)
Fred Espen Benth, Thilo Meyer-Brandis

106. Arbitrage Detection from Stock Data: An Empirical Study
Cheng-Der Fuh, Szu-Yu Pai

107. Detecting Corporate Failure
Yanzhi Wang, Lin Lin, Hsien-Chang Kuo, Jenifer Piesse

108. Genetic Programming for Option Pricing
N. K. Chidambaran

109. A Constant Elasticity of Variance (CEV) Family of Stock Price Distributions in Option Pricing, Review, and Integration

Ren-Raw Chen, Cheng-Few Lee

Keywords: Economics/Management Science, Finance /Banking, Quantitative Finance, Econometrics

Author(s)
 
 
Publisher
Springer
Publication year
2010
Language
en
Edition
1
Page amount
1754 pages
Category
Economy
Format
Ebook
eISBN (PDF)
9780387771175

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