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Books on the topic 'Non arbitrage pricing theory'

Author: Grafiati

Published: 4 June 2021

Last updated: 18 February 2022

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1

Huberman, Gur. Arbitrage pricing theory. [New York, N.Y.]: Federal Reserve Bank of New York, 2005.

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2

Arbitrage theory: Introductory lectures on arbitrage-based financial asset pricing. Berlin: Springer-Verlag, 1985.

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3

Breen, Richard. Non-arbitrage and recursive competetive equilibrium pricing. London: London School of Economics, Financial Markets Group, 1992.

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4

Breen, Richard. Non-arbitrage and recursive competitive equilibrium pricing. London: LSE Financial Markets Group, 1992.

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5

Perraudin, William R. M. Continuous time international arbitrage pricing: Theory and estimation. Cambridge: University of Cambridge Department of Applied Economics, 1994.

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6

1940-, Harrington Diana R., ed. Modern portfolio theory, the capital asset pricing model, and arbitrage pricing theory: A user's guide. 2nd ed. Englewood Cliffs, N.J: Prentice-Hall, 1987.

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7

Coulter, Martin D. The relevance of the arbitrage pricing theory to Irish equity returns. Dublin: University College Dublin, 1988.

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8

Bray, Margaret. The arbitrage pricing theory is not robust 2: Factor structures and factor pricing. London: London School of Economics, Financial Markets Group, 1994.

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9

Connor, Gregory. The arbitrage pricing theory and multifactor models of asset returns. London: London School of Economics, Financial Markets Group, 1992.

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10

New methods for the arbitrage pricing theory and the present value model. Singapore: World Scientific, 1994.

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11

Soufian, Nasreen. Empirical content of capital asset pricing model (CAPM) and arbitrage pricing theory (APT) across time. Manchester: Manchester Metropolitan University, Business School, 2001.

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12

Yli-Olli, Paavo. Arbitrage pricing theory and its empirical applicability for the Helsinki Stock Exchange. Brussels: European Institute For Advanced Studies in Management, 1989.

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13

Bray, Margaret. The arbitrage pricing theory is not robust 1: Variance matrices and portfolio theory in pictures. London: London School of Economics, Financial Markets Group, 1994.

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14

Roman, Steven. Introduction to the mathematics of finance: Arbitrage and option pricing. 2nd ed. New York: Springer, 2012.

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15

Lee, Cheng F. A simultaneous test of the intertemporal capital asset pricing model, the arbitrage pricing theory, and the index model. [Urbana, Ill.]: University of Illinois at Urbana-Champaign, College of Commerce and Business Administration, 1985.

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16

Ho, M. S. Multivariate tests of a continuous time equilibrium arbitrage pricing theory with conditional heteroscedasticity and jumps. Cambridge: University of Cambridge, Department of Applied Economics, 1992.

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17

Giovannini, Alberto. Time-series tests of a non-expected-utility model of asset pricing. Cambridge, MA: National Bureau of Economic Research, 1989.

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18

Björk, Tomas. Arbitrage Theory in Continuous Time. Oxford University Press, 2019. http://dx.doi.org/10.1093/oso/9780198851615.001.0001.

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The fourth edition of this textbook on pricing and hedging of financial derivatives, now also including dynamic equilibrium theory, continues to combine sound mathematical principles with economic applications. Concentrating on the probabilistic theory of continuous time arbitrage pricing of financial derivatives, including stochastic optimal control theory and optimal stopping theory, the book is designed for graduate students in economics and mathematics, and combines the necessary mathematical background with a solid economic focus. It includes a solved example for every new technique presented, contains numerous exercises, and suggests further reading in each chapter. All concepts and ideas are discussed, not only from a mathematics point of view, but the mathematical theory is also always supplemented with lots of intuitive economic arguments. In the substantially extended fourth edition Tomas Björk has added completely new chapters on incomplete markets, treating such topics as the Esscher transform, the minimal martingale measure, f-divergences, optimal investment theory for incomplete markets, and good deal bounds. There is also an entirely new part of the book presenting dynamic equilibrium theory. This includes several chapters on unit net supply endowments models, and the Cox–Ingersoll–Ross equilibrium factor model (including the CIR equilibrium interest rate model). Providing two full treatments of arbitrage theory—the classical delta hedging approach and the modern martingale approach—the book is written in such a way that these approaches can be studied independently of each other, thus providing the less mathematically oriented reader with a self-contained introduction to arbitrage theory and equilibrium theory, while at the same time allowing the more advanced student to see the full theory in action.

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19

C, Christofi Andreas, ed. Arbitrage pricing theory: Some applications. Hull: MCB University Press, 1993.

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20

Arbitrage pricing theory: The way forward? Manchester: Manchester Business School, 1985.

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21

Chen, Mei-Lin. The Capital Asset Pricing Model versus the Arbitrage Pricing Theory. 1996.

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22

Pde And Martingale Methods In Option Pricing. Springer, 2011.

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23

Pascucci, Andrea. PDE and Martingale Methods in Option Pricing. Springer, 2014.

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24

Pascucci, Andrea. PDE and Martingale Methods in Option Pricing. Springer, 2011.

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25

Physics of Finance: Gauge Modelling in Non-Equilibrium Pricing. Wiley, 2001.

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26

Ilinski, Kirill. Physics of Finance: Gauge Modelling in Non-Equilibrium Pricing. Wiley & Sons, Incorporated, John, 2007.

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27

Back, Kerry E. Asset Pricing and Portfolio Choice Theory. Oxford University Press, 2017. http://dx.doi.org/10.1093/acprof:oso/9780190241148.001.0001.

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This book is intended as a textbook for asset pricing theory courses at the Ph.D. or Masters in Quantitative Finance level and as a reference for financial researchers. The first two parts of the book explain portfolio choice and asset pricing theory in single‐period, discrete‐time, and continuous‐time models. For valuation, the focus throughout is on stochastic discount factors and their properties. Traditional factor models, including the CAPM, are related to or derived from stochastic discount factors. A chapter on stochastic calculus provides the needed tools for analyzing continuous‐time models. A chapter on “ex‐plaining puzzles” and the last two parts of the book provide introductions to a number of current topics in asset pricing research, including rare disasters, long‐run risks, external and internal habits, real options, corporate financing options, asymmetric and incomplete information, heterogeneous beliefs, and non‐expected‐utility preferences. Each chapter includes a “Notes and References” section and exercises for students.

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28

Tunaru, Radu S. Real-Estate Derivatives. Oxford University Press, 2017. http://dx.doi.org/10.1093/oso/9780198742920.001.0001.

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This book brings together the latest concepts and models in real-estate derivatives, the new frontier in financial markets. The importance of real-estate derivatives in managing property price risk that has destabilized economies frequently in the last hundred years has been brought into the limelight by Robert Shiller over the last three decades. In spite of his masterful campaign for the introduction of real-estate derivatives, these financial instruments are still in a state of infancy. This book aims to provide a state-of-the-art overview of real-estate derivatives at this moment in time, covering the description of these financial products, their applications, and the most important models proposed in the literature in this area. In order to facilitate a better understanding of the situations when these products can be successfully used, ancillary topics such as real-estate indices, mortgages, securitization, and equity release mortgages are also discussed. The book is designed to pay attention to the econometric aspects of realestate index prices, time series, and also to financial engineering no-arbitrage principles governing pricing of derivatives. The emphasis is on understanding the financial instruments through their mechanics and comparative description. The examples are based on real-world data from exchanges or frommajor investment banks or financial houses in London. The numerical analysis is easily replicable with Excel and Matlab. This is the most advanced published book in this area, combining practical relevance with intellectual rigour. Real-estate derivatives will become important for managing macro risks in order to pass stress tests imposed by regulators.

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29

Back, Kerry E. Factor Models. Oxford University Press, 2017. http://dx.doi.org/10.1093/acprof:oso/9780190241148.003.0006.

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The CAPM and factor models in general are explained. Factors can be replaced by the returns or excess returns that are maximally correlated (the projections of the factors). A factor model is equivalent to an affine representation of an SDF and to spanning a return on the mean‐variance frontier. The use of alphas for performance evaluation is explained. Statistical factor models are defined as models in which factors explain the covariance matrix of returns. A proof is given of the Arbitrage Pricing Theory, which states that statistical factors are approximate pricing factors. The CAPM and the Fama‐French‐Carhart model are evaluated relative to portfolios based on sorts on size, book‐to‐market, and momentum.

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30

Davis, Mark H. A. Mathematical Finance: A Very Short Introduction. Oxford University Press, 2019. http://dx.doi.org/10.1093/actrade/9780198787945.001.0001.

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In recent years, the finance industry has mushroomed to become an important part of modern economies with many science and engineering graduates joining the industry as quantitative analysts, using mathematical and computational skills to solve complex problems of asset valuation and risk management. Mathematical Finance: A Very Short Introduction provides an overview of mathematical finance today. It introduces arbitrage theory, explaining why it works the way it does, and how it is key to pricing financial contracts, to credit trading, fund management, and the setting of interest rates. It also discusses developments to mathematical finance in the wake of the 2008 financial crash, and surveys the most pressing issues in mathematical finance today.

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