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Financial hedging /
The problem of credit risk is an important problem in finance. It consists of computing the probability of a firm defaulting on a debt. The time evolution of rating for credit risk models can be studied by means of Markov transition models. This book looks at the homogeneous and non-homogeneous semi...
| Clasificación: | Libro Electrónico |
|---|---|
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
New York :
Nova Science Publishers,
©2009.
|
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 245 | 0 | 0 | |a Financial hedging / |c Patrick N. Catlere, editor. |
| 260 | |a New York : |b Nova Science Publishers, |c ©2009. | ||
| 300 | |a 1 online resource (x, 271 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
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| 504 | |a Includes bibliographical references and index. | ||
| 505 | 0 | |a Financial Hedging; Contents; Preface; Research and Review Studies; Homogeneous and Non-homogeneous Semi-markov Backward Credit Risk Migration Models; Abstract; 1. Introduction; 2. Discrete Time Semi-markov Processes; 3. Discrete Time Backward Semi-markov Processes; 4. Reliability Models; 5. Credit Risk Problem; 6. Results from Homogeous Credit Risk Model; 7. Results from Non Homogeous Credit Risk Model; References; Towards an Integrated Theory of Corporate Hedging and Capital Structure Decisions; Abstract; I. Introduction. | |
| 505 | 8 | |a II. Financial Distress Costs and Corporate Taxes Constitute an Optimal Degree of LeverageIII. Corporate Hedging Benefits Shareholders by Reducing Financial Distress Costs and Taxes; IV. Corporate Hedging Benefits Shareholders by Raising Optimal Leverage; V. Trading-off the Costs and Benefits of Corporate Hedging: Who Hedges More?; VI. Case Study: Hewlett-Packard vs. Safeway; VII. Conclusions; References; Probability Weighting in Futures Hedging; Abstract; Introduction; Prospect Theory; The Weighting Function; Parameters of the Weighting Function; Empirical Evidence; Research Method. | |
| 505 | 8 | |a Numerical SimulationResults; Conclusion; References; Hedging Effectiveness with S & P500 Index Futures under Different Volatility Regimes; Abstract; 1. Introduction; 2. Hedging Strategy -- Minimum Variance Hedge Ratio; 3. Implementation of MVHR; 4. Data and Empirical Results; 5. Conclusion; References; American and European Portfolio Selection Strategies: The Markovian Approach; Abstract; 1. Introduction; 2. Modeling Markov Processes; 3. The Portfolio Selection Problem; 4. A First Ex-Post Empirical Comparison among Dynamic Portfolio Strategies; 5. Conclusion. | |
| 505 | 8 | |a 6. Appendix: Some Possible ImprovementsAcknowledgement; References; Hedging, Liquidity, and the Multinational Firm under Exchange Rate Uncertainty; Abstract; 1. Introduction; 2. The Model; 3. Optimal Hedging and Sales Decisions; 4. Hedging Role of Futures Spreads; 5. Hedging Role of Options; 6. Conclusions; References; Cross-Hedging for the Multinational Firm under Exchange Rate Uncertainty; Abstract; 1. Introduction; 2. The Model; 3. The Benchmark Case of Perfect Hedging; 4. Optimal Decisions under Cross-Hedging; 5. Hedging Role of Options; 6. Conclusion; References. | |
| 505 | 8 | |a Option Pricing and Hedging in the Presence of Transaction Costs and Nonlinear Partial Differential EquationsAbstract; 1. Introduction; 2. Modelling the Transaction Costs; 3. The Leland's Approach to Option Pricing and Hedging; 4. Utility-Based Option Pricing and Hedging; 5. Conclusion; Acknowledgements; References; Short Communications; Time Horizon-Specific Hedging in Commodity Markets; Abstract; 1. Introduction; 2. The Minimum-Variance Approach to Hedging; 3. Wavelet Transform Analysis; 4. Description of the Data and Variable Construction; 5. Time Horizon-Specific Optimal Hedge Ratios. | |
| 520 | 8 | |a The problem of credit risk is an important problem in finance. It consists of computing the probability of a firm defaulting on a debt. The time evolution of rating for credit risk models can be studied by means of Markov transition models. This book looks at the homogeneous and non-homogeneous semi-Markov backward credit risk migration models. | |
| 590 | |a eBooks on EBSCOhost |b EBSCO eBook Subscription Academic Collection - Worldwide | ||
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Financial futures. | |
| 650 | 0 | |a Hedging (Finance) | |
| 650 | 0 | |a Risk management. | |
| 650 | 2 | |a Risk Management | |
| 650 | 6 | |a Marchés à terme d'instruments financiers. | |
| 650 | 6 | |a Couverture (Finances) | |
| 650 | 6 | |a Gestion du risque. | |
| 650 | 7 | |a risk management. |2 aat | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Investments & Securities |x Futures. |2 bisacsh | |
| 650 | 7 | |a Financial futures |2 fast | |
| 650 | 7 | |a Hedging (Finance) |2 fast | |
| 650 | 7 | |a Risk management |2 fast | |
| 700 | 1 | |a Catlere, Patrick N. | |
| 758 | |i has work: |a Financial hedging (Text) |1 https://id.oclc.org/worldcat/entity/E39PD3JvW3ywd8tWKbvJJc3GYd |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |t Financial hedging. |d New York : Nova Science Publishers, ©2009 |w (DLC) 2009000608 |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=3018358 |z Texto completo |
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