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Handbook of Quantitative Finance and Risk Management

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Table of Contents

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    Book Overview
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    Chapter 1 Theoretical Framework of Finance
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    Chapter 2 Investment, Dividend, Financing, and Production Policies: Theory and Implications
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    Chapter 3 Research Methods in Quantitative Finance and Risk Management
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    Chapter 4 Foundation of Portfolio Theory
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    Chapter 5 Risk-Aversion, Capital Asset Allocation, and Markowitz Portfolio-Selection Model
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    Chapter 6 Capital Asset Pricing Model and Beta Forecasting
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    Chapter 7 Index Models for Portfolio Selection
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    Chapter 8 Performance-Measure Approaches for Selecting Optimum Portfolios
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    Chapter 9 The Creation and Control of Speculative Bubbles in a Laboratory Setting
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    Chapter 10 Portfolio Optimization Models and Mean–Variance Spanning Tests
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    Chapter 11 Combining Fundamental Measures for Stock Selection
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    Chapter 12 On Estimation Risk and Power Utility Portfolio Selection
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    Chapter 13 International Portfolio Management: Theory and Method
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    Chapter 14 The Le Chatelier Principle in the Markowitz Quadratic Programming Investment Model: A Case of World Equity Fund Market
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    Chapter 15 Risk-Averse Portfolio Optimization via Stochastic Dominance Constraints
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    Chapter 16 Portfolio Analysis
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    Chapter 17 Portfolio Theory, CAPM and Performance Measures
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    Chapter 18 Intertemporal Equilibrium Models, Portfolio Theory and the Capital Asset Pricing Model
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    Chapter 19 Persistence, Predictability, and Portfolio Planning
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    Chapter 20 Portfolio Insurance Strategies: Review of Theory and Empirical Studies
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    Chapter 21 Security Market Microstructure: The Analysis of a Non-Frictionless Market
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    Chapter 22 Options Strategies and Their Applications
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    Chapter 23 Option Pricing Theory and Firm Valuation
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    Chapter 24 Applications of the Binomial Distribution to Evaluate Call Options
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    Chapter 25 Multinomial Option Pricing Model
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    Chapter 26 Two Alternative Binomial Option Pricing Model Approaches to Derive Black-Scholes Option Pricing Model
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    Chapter 27 Normal, Lognormal Distribution and Option Pricing Model
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    Chapter 28 Bivariate Option Pricing Models
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    Chapter 29 Displaced Log Normal and Lognormal American Option Pricing: A Comparison
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    Chapter 30 Itô’s Calculus and the Derivation of the Black–Scholes Option-Pricing Model
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    Chapter 31 Constant Elasticity of Variance Option Pricing Model: Integration and Detailed Derivation
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    Chapter 32 Stochastic Volatility Option Pricing Models
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    Chapter 33 Derivations and Applications of Greek Letters: Review and Integration
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    Chapter 34 A Further Analysis of the Convergence Rates and Patterns of the Binomial Models
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    Chapter 35 Estimating Implied Probabilities from Option Prices and the Underlying
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    Chapter 36 Are Tails Fat Enough to Explain Smile
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    Chapter 37 Option Pricing and Hedging Performance Under Stochastic Volatility and Stochastic Interest Rates
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    Chapter 38 Application of the Characteristic Function in Financial Research
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    Chapter 39 Asian Options
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    Chapter 40 Numerical Valuation of Asian Options with Higher Moments in the Underlying Distribution
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    Chapter 41 The Valuation of Uncertain Income Streams and the Pricing of Options
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    Chapter 42 Binomial OPM, Black-Scholes OPM and Their Relationship: Decision Tree and Microsoft Excel Approach
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    Chapter 43 Combinatorial Methods for Constructing Credit Risk Ratings
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    Chapter 44 The Structural Approach to Modeling Credit Risk
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    Chapter 45 An Empirical Investigation of the Rationales for Integrated Risk-Management Behavior
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    Chapter 46 Copula, Correlated Defaults, and Credit VaR
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    Chapter 47 Unspanned Stochastic Volatilities and Interest Rate Derivatives Pricing
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    Chapter 48 Catastrophic Losses and Alternative Risk Transfer Instruments
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    Chapter 49 A Real Option Approach to the Comprehensive Analysis of Bank Consolidation Values
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    Chapter 50 Dynamic Econometric Loss Model: A Default Study of US Subprime Markets
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    Chapter 51 The Effect of Default Risk on Equity Liquidity: Evidence Based on the Panel Threshold Model
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    Chapter 52 Put Option Approach to Determine Bank Risk Premium
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    Chapter 53 Keiretsu Style Main Bank Relationships, R&D Investment, Leverage, and Firm Value: Quantile Regression Approach
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    Chapter 54 On the Feasibility of Laddering
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    Chapter 55 Stock Returns, Extreme Values, and Conditional Skewed Distribution
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    Chapter 56 Capital Structure in Asia and CEO Entrenchment
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    Chapter 57 A Generalized Model for Optimum Futures Hedge Ratio
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    Chapter 58 The Sensitivity of Corporate Bond Volatility to Macroeconomic Announcements
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    Chapter 59 Raw Material Convenience Yields and Business Cycle
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    Chapter 60 Alternative Methods to Determine Optimal Capital Structure: Theory and Application
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    Chapter 61 Actuarial Mathematics and Its Applications in Quantitative Finance
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    Chapter 62 The Prediction of Default with Outliers: Robust Logistic Regression
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    Chapter 63 Term Structure of Default-Free and Defaultable Securities: Theory and Empirical Evidence
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    Chapter 64 Liquidity Risk and Arbitrage Pricing Theory
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    Chapter 65 An Integrated Model of Debt Issuance, Refunding, and Maturity
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    Chapter 66 Business Models: Applications to Capital Budgeting, Equity Value, and Return Attribution
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    Chapter 67 Dividends Versus Reinvestments in Continuous Time: A More General Model
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    Chapter 68 Segmenting Financial Services Market: An Empirical Study of Statistical and Non-parametric Methods
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    Chapter 69 Spurious Regression and Data Mining in Conditional Asset Pricing Models
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    Chapter 70 Issues Related to the Errors-in-Variables Problems in Asset Pricing Tests
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    Chapter 71 McMC Estimation of Multiscale Stochastic Volatility Models
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    Chapter 72 Regime Shifts and the Term Structure of Interest Rates
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    Chapter 73 ARM Processes and Their Modeling and Forecasting Methodology
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    Chapter 74 Alternative Econometric Methods for Information-based Equity-selling Mechanisms
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    Chapter 75 Implementation Problems and Solutions in Stochastic Volatility Models of the Heston Type
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    Chapter 76 Revisiting Volume vs. GARCH Effects Using Univariate and Bivariate GARCH Models: Evidence from U.S. Stock Markets
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    Chapter 77 Application of Fuzzy Set Theory to Finance Research: Method and Application
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    Chapter 78 Hedonic Regression Analysis in Real Estate Markets: A Primer
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    Chapter 79 Numerical Solutions of Financial Partial Differential Equations
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    Chapter 80 A Primer on the Implicit Financing Assumptions of Traditional Capital Budgeting Approaches
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    Chapter 81 Determinants of Flows into U.S.-Based International Mutual Funds
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    Chapter 82 Predicting Bond Yields Using Defensive Forecasting
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    Chapter 83 Range Volatility Models and Their Applications in Finance
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    Chapter 84 Examining the Impact of the U.S. IT Stock Market on Other IT Stock Markets
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    Chapter 85 Application of Alternative ODE in Finance and Economics Research
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    Chapter 86 Application of Simultaneous Equation in Finance Research
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    Chapter 87 The Fuzzy Set and Data Mining Applications in Accounting and Finance
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    Chapter 88 Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High-Frequency Index Returns
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    Chapter 89 Detecting Structural Instability in Financial Time Series
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    Chapter 90 The Instrument Variable Approach to Correct for Endogeneity in Finance
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    Chapter 91 Bayesian Inference of Financial Models Using MCMC Algorithms
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    Chapter 92 On Capital Structure and Entry Deterrence
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    Chapter 93 VAR Models: Estimation, Inferences, and Applications
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    Chapter 94 Signaling Models and Product Market Games in Finance: Do We Know What We Know?
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    Chapter 95 Estimation of Short- and Long-Term VaR for Long-Memory Stochastic Volatility Models
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    Chapter 96 Time Series Modeling and Forecasting of the Volatilities of Asset Returns
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    Chapter 97 Listing Effects and the Private Company Discount in Bank Acquisitions
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    Chapter 98 An ODE Approach for the Expected Discounted Penalty at Ruin in Jump Diffusion Model (Reprint)
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    Chapter 99 Alternative Models for Estimating the Cost of Equity Capital for Property/Casualty Insurers
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    Chapter 100 Implementing a Multifactor Term Structure Model
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    Chapter 101 Taking Positive Interest Rates Seriously
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    Chapter 102 Positive Interest Rates and Yields: Additional Serious Considerations
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    Chapter 103 Functional Forms for Performance Evaluation: Evidence from Closed-End Country Funds
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    Chapter 104 A Semimartingale BSDE Related to theMinimal Entropy Martingale Measure
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    Chapter 105 The Density Process of theMinimal Entropy Martingale Measure in a Stochastic Volatility Model with Jumps (Reprint)
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    Chapter 106 Arbitrage Detection from Stock Data: An Empirical Study
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    Chapter 107 Detecting Corporate Failure
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    Chapter 108 Genetic Programming for Option Pricing
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    Chapter 109 A Constant Elasticity of Variance (CEV) Family of Stock Price Distributions in Option Pricing, Review, and Integration
Overall attention for this book and its chapters
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Title
Handbook of Quantitative Finance and Risk Management
Published by
Springer, Boston, MA, January 2010
DOI 10.1007/978-0-387-77117-5
ISBNs
978-0-387-77116-8, 978-0-387-77117-5
Editors

Cheng-Few Lee, Alice C. Lee, John Lee

Mendeley readers

Mendeley readers

The data shown below were compiled from readership statistics for 304 Mendeley readers of this research output. Click here to see the associated Mendeley record.

Geographical breakdown

Country Count As %
Colombia 2 <1%
France 2 <1%
Brazil 2 <1%
Portugal 1 <1%
Malaysia 1 <1%
Netherlands 1 <1%
Sweden 1 <1%
United Kingdom 1 <1%
Canada 1 <1%
Other 3 <1%
Unknown 289 95%

Demographic breakdown

Readers by professional status Count As %
Student > Ph. D. Student 79 26%
Student > Master 64 21%
Student > Bachelor 23 8%
Researcher 20 7%
Student > Doctoral Student 16 5%
Other 52 17%
Unknown 50 16%
Readers by discipline Count As %
Economics, Econometrics and Finance 95 31%
Business, Management and Accounting 77 25%
Mathematics 17 6%
Engineering 17 6%
Social Sciences 9 3%
Other 34 11%
Unknown 55 18%