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.
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Investment, Dividend, Financing, and Production Policies: Theory and Implications
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International Portfolio Management: Theory and Method
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The Le Chatelier Principle in the Markowitz Quadratic Programming Investment Model: A Case of World Equity Fund Market
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Jack Clark Francis
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Portfolio Theory, CAPM and Performance Measures
Luis Ferruz Agudo, Fernando Gómez-Bezares Pascual, María Vargas Magallón
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Portfolio Insurance Strategies: Review of Theory and Empirical Studies
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Security Market Microstructure: The Analysis of a Non-Frictionless Market
Reto Francioni, Sonali Hazarika, Martin Reck, Robert A. Schwartz
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Constant Elasticity of Variance Option Pricing Model: Integration and Detailed Derivation
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Derivations and Applications of Greek Letters: Review and Integration
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Binomial OPM, Black-Scholes OPM and Their Relationship: Decision Tree and Microsoft Excel Approach
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Dynamic Econometric Loss Model: A Default Study of US Subprime Markets
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The Effect of Default Risk on Equity Liquidity: Evidence Based on the Panel Threshold Model
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Keiretsu Style Main Bank Relationships, R&D Investment, Leverage, and Firm Value: Quantile Regression Approach
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Alternative Methods to Determine Optimal Capital Structure: Theory and Application
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The Prediction of Default with Outliers: Robust Logistic Regression
Chung-Hua Shen, Yi-Kai Chen, Bor-Yi Huang
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Term Structure of Default-Free and Defaultable Securities: Theory and Empirical Evidence
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Dividends Versus Reinvestments in Continuous Time: A More General Model
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Segmenting Financial Services Market: An Empirical Study of Statistical and Non-parametric Methods
Kenneth Lawrence, Dinesh K. Pai, R. Klimberg, Stephen Kudbya, Sheila Lawrence
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McMC Estimation of Multiscale Stochastic Volatility Models
German Molina, Chuan-Hsiang Han, Jean-Pierre Fouque
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Application of Fuzzy Set Theory to Finance Research: Method and Application
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Bevan J. Blair, Ser-Huang Poon, Stephen J. Taylor
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Positive Interest Rates and Yields: Additional Serious Considerations
Jonathan E. Ingersoll
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Functional Forms for Performance Evaluation: Evidence from Closed-End Country Funds
Cheng-Few Lee, Dilip K. Patro, Bo Liu
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