Relevant bibliographies by topics / Pricing of Securities

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  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'Pricing of Securities'

Author: Grafiati
Published: 4 June 2021
Last updated: 12 February 2022

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Journal articles on the topic "Pricing of Securities"

1

Maxam, Clark L., and Jeffrey Fisher. "Pricing commercial mortgage‐backed securities." Journal of Property Investment & Finance 19, no. 6 (December 2001): 498–518. http://dx.doi.org/10.1108/14635780110406860.

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Duffie, Darrell, Nicolae Gârleanu, and Lasse Heje Pedersen. "Securities lending, shorting, and pricing." Journal of Financial Economics 66, no. 2-3 (November 2002): 307–39. http://dx.doi.org/10.1016/s0304-405x(02)00226-x.

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Hull, John, and Alan White. "Pricing Interest-Rate-Derivative Securities." Review of Financial Studies 3, no. 4 (October 1990): 573–92. http://dx.doi.org/10.1093/rfs/3.4.573.

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Sialm, Clemens. "Tax Changes and Asset Pricing." American Economic Review 99, no. 4 (August 1, 2009): 1356–83. http://dx.doi.org/10.1257/aer.99.4.1356.

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The tax burden on equity securities has varied substantially over time and remains a source of continuing policy debate. This paper investigates whether investors were compensated for the tax burden of equity securities over the period between 1913 and 2006. Taxes on equity securities vary over time due to changes in dividend and capital gains tax rates and due to changes in corporate payout policies. Equity taxes also vary across firms due to persistent differences in propensities to pay dividends. The results indicate an economically plausible and statistically significant tax capitalization over time and cross-sectionally. (JEL G10, G12, H22, H24, N21, N22)
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Su, Yi, and Michael Fu. "Optimal importance sampling in securities pricing." Journal of Computational Finance 5, no. 4 (2002): 27–50. http://dx.doi.org/10.21314/jcf.2002.081.

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Kao, Duen-Li. "Illiquid Securities: Pricing and Performance Measurement." Financial Analysts Journal 49, no. 2 (March 1993): 28–35. http://dx.doi.org/10.2469/faj.v49.n2.28.

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Chamberlain, Gary. "Asset Pricing in Multiperiod Securities Markets." Econometrica 56, no. 6 (November 1988): 1283. http://dx.doi.org/10.2307/1913098.

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SUN, You-fa, Cheng-ke ZHANG, Jing-guang GAO, and Fei-qi DENG. "Study of Modern Securities Pricing Model." Systems Engineering - Theory & Practice 27, no. 5 (May 2007): 1–11. http://dx.doi.org/10.1016/s1874-8651(08)60031-9.

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Broadie, Mark, and Paul Glasserman. "Pricing American-style securities using simulation." Journal of Economic Dynamics and Control 21, no. 8-9 (June 1997): 1323–52. http://dx.doi.org/10.1016/s0165-1889(97)00029-8.

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Lamoureux, Christopher G., and James W. Wansley. "The Pricing of When-Issued Securities." Financial Review 24, no. 2 (May 1989): 183–98. http://dx.doi.org/10.1111/j.1540-6288.1989.tb00338.x.

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Dissertations / Theses on the topic "Pricing of Securities"

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Xu, Qing. "Pricing multi-state lookback-style derivatives /." View abstract or full-text, 2009. http://library.ust.hk/cgi/db/thesis.pl?MATH%202009%20XU.

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Hutton, J. P. "Fast valuation of derivative securities." Thesis, University of Essex, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.282493.

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Khadem, Varqa. "Pricing corporate securities and stochastic differential games." Thesis, University of Oxford, 2001. https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.393555.

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Kazi, Mazharul Haque. "Systematic risk factors in Australian security pricing /." View thesis, 2004. http://library.uws.edu.au/adt-NUWS/public/adt-NUWS20050913.105500/index.html.

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Thesis (Ph.D.) -- University of Western Sydney, 2004.
"A thesis submitted in fulfilment of requirements for the degree of Doctor of Philosophy in Economics and Finance" Bibliography : leaves 211-226.
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Wong, Chun-keung Damian. "Pricing of initial public offerings in Hong Kong /." Hong Kong : University of Hong Kong, 1998. http://sunzi.lib.hku.hk/hkuto/record.jsp?B19878515.

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Milic, Ivona. "Pricing and hedging derivative securities with interrupted trading." Thesis, Imperial College London, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.268675.

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黃瑞斌 and Sui-pan Ben Wong. "Pricing of mortgage-backed securities via genetic programming." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2001. http://hub.hku.hk/bib/B31225342.

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Wong, Sui-pan Ben. "Pricing of mortgage-backed securities via genetic programming." Hong Kong : University of Hong Kong, 2001. http://sunzi.lib.hku.hk/hkuto/record.jsp?B23273343.

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Acheampong, Osman K. "Pricing mortgage-backed securities using prepayment functions and pathwise Monte Carlo simulation." Link to electronic thesis, 2003. http://www.wpi.edu/Pubs/ETD/Available/etd-0430103-010005.

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Staunton, Michael Douglas. "Pricing of airline assets and their valuation by securities markets." Thesis, London Business School (University of London), 1992. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.294540.

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Books on the topic "Pricing of Securities"

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Pricing derivative securities. 2nd ed. Singapore: World Scientific, 2008.

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2

Asset pricing. Princeton, NJ: Princeton University Press, 2005.

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3

Nielsen, L. T. Pricing and hedging of derivative securities. Oxford: Oxford University Press, 1999.

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Laurent, Allaz Blaise, ed. Financial securities: Market equilibrium and pricing methods. Cincinnati, Ohio: South-Western College Pub., 1996.

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Aït-Sahalia, Yacine. Nonparametric pricing of interest rate derivative securities. Cambridge, MA: National Bureau of Economic Research, 1995.

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Heynen, Ronald C. Essays on derivatives pricing theory. Amsterdam: Thesis Publishers, 1995.

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7

Ammann, Manuel. Pricing derivative credit risk. Berlin: Springer, 1999.

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8

Casabona, Patrick. Investment Pricing Methods. New York: John Wiley & Sons, Ltd., 2001.

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9

Lowry, Michelle. Biases in the IPO pricing process. Cambridge, MA: National Bureau of Economic Research, 2001.

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Merton, Robert C. Capital market theory and the pricing of financial securities. Cambridge, Mass: MassachusettsInstitute of Technology, 1987.

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Book chapters on the topic "Pricing of Securities"

1

Kariya, Takeaki, and Regina Y. Liu. "Pricing Mortgage-Backed Securities." In Asset Pricing, 251–68. Boston, MA: Springer US, 2003. http://dx.doi.org/10.1007/978-1-4419-9230-7_14.

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Liberadzki, Kamil, and Marcin Liberadzki. "Contingent Convertible Bonds Pricing." In Hybrid Securities, 163–81. London: Palgrave Macmillan UK, 2016. http://dx.doi.org/10.1007/978-1-137-58971-2_16.

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Dumas, Bernard, and Blaise Allaz. "Option pricing in continuous time." In Financial Securities, 205–48. Boston, MA: Springer US, 1996. http://dx.doi.org/10.1007/978-1-4899-7116-6_7.

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Dumas, Bernard, and Blaise Allaz. "Option pricing by the arbitrage method." In Financial Securities, 157–203. Boston, MA: Springer US, 1996. http://dx.doi.org/10.1007/978-1-4899-7116-6_6.

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Dumas, Bernard, and Blaise Allaz. "The Capital Asset Pricing Model: statement and use." In Financial Securities, 77–112. Boston, MA: Springer US, 1996. http://dx.doi.org/10.1007/978-1-4899-7116-6_4.

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Tebaldi, Claudio, and Pietro Veronesi. "Risk-Neutral Pricing: Trees." In Handbook of Fixed-Income Securities, 389–413. Hoboken, NJ, USA: John Wiley & Sons, Inc, 2016. http://dx.doi.org/10.1002/9781118709207.ch17.

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Campolieti, Giuseppe, and Roman N. Makarov. "Primer on Pricing Risky Securities." In Financial Mathematics, 65–112. 2nd ed. Boca Raton: Chapman and Hall/CRC, 2021. http://dx.doi.org/10.1201/9780429503665-2.

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Vassiliou, P.-C. G. "American Derivative Securities." In Discrete-time Asset Pricing Models in Applied Stochastic Finance, 241–72. Hoboken, NJ USA: John Wiley & Sons, Inc., 2013. http://dx.doi.org/10.1002/9781118557860.ch7.

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Fraser, W. D. "Analysis of Stock-Market Securities." In Principles of Property Investment and Pricing, 29–44. London: Macmillan Education UK, 1993. http://dx.doi.org/10.1007/978-1-349-13311-6_4.

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Tebaldi, Claudio, and Pietro Veronesi. "Risk-Neutral Pricing: Monte Carlo Simulations." In Handbook of Fixed-Income Securities, 435–68. Hoboken, NJ, USA: John Wiley & Sons, Inc, 2016. http://dx.doi.org/10.1002/9781118709207.ch19.

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Conference papers on the topic "Pricing of Securities"

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Liu, Ming, Barry L. Nelson, and Jeremy Staum. "Simulation on demand for pricing many securities." In 2010 Winter Simulation Conference - (WSC 2010). IEEE, 2010. http://dx.doi.org/10.1109/wsc.2010.5678973.

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Bielecki, Tomasz R., Stephane Crepey, Monique Jeanblanc, and Marek Rutkowski. "Arbitrage Pricing of Convertible Securities with Credit Risk." In Proceedings of the 45th IEEE Conference on Decision and Control. IEEE, 2006. http://dx.doi.org/10.1109/cdc.2006.377343.

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Micocci, Marco. "The use of Markov discontinuous processes in the pricing of derivative securities." In the APL98 conference. New York, New York, USA: ACM Press, 1998. http://dx.doi.org/10.1145/327559.327727.

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Tang, Zheng-hong, Jian-min He, and Xin Sui. "Research on the pricing of guarantee-backed securities based on Monte Carlo simulation." In 2014 International Conference on Management Science and Engineering (ICMSE). IEEE, 2014. http://dx.doi.org/10.1109/icmse.2014.6930376.

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Kuzu, Serdar. "The Effects of the Illiquidity Premium on Security Returns and its Importantance for Eurasia." In International Conference on Eurasian Economies. Eurasian Economists Association, 2011. http://dx.doi.org/10.36880/c02.00269.

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This study investigates the illiquidity premium, which has major impact on Eurasian economies, and its term structure. For this aim, The Germany which is very important for Europa and Asia countries is investigated. In this study, the effects of the term structure of the illiquidity premium on government and corporate bonds and “the return of securities – illiquidity premium – expectation theory relationship” are investigated through various parameters and formulations. Consequently, the study is used to Kempf, Korn and Uhrig-Homburg’ study, which aims to investigate relations between German public sector’s bonds and private sector’s bonds and it was realized 2009. It is found that illiquidity premium varies in short, medium and long terms depending upon different factors and the curve that connects illiquidity premiums with different terms is a U shaped curve. Studies that use traditional methods in asset pricing evaluate the illiquidity premium as a systematic risk criteria. But, illiquidity is a risk factor that should be investigated alone instead of be investigated with all of the risk factors. Financial market makers aim to make arrangements that remove the problems arising from the level of liquidity, in other words increase the level of liquidity, and contribute to the formation of efficient price.Further studies in this field will be very important in the development process of corporate bonds market with the decrease of interest rates in international markets and the issue of new corporate bonds in developing countries recently.
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Reports on the topic "Pricing of Securities"

1

Ait-Sahalia, Yacine. Nonparametric Pricing of Interest Rate Derivative Securities. Cambridge, MA: National Bureau of Economic Research, November 1995. http://dx.doi.org/10.3386/w5345.

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Tsai, Jerry, and Jessica Wachter. Pricing Long-Lived Securities in Dynamic Endowment Economies. Cambridge, MA: National Bureau of Economic Research, May 2018. http://dx.doi.org/10.3386/w24641.

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Hutchinson, James, Andrew Lo, and Tomaso Poggio. A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks. Cambridge, MA: National Bureau of Economic Research, April 1994. http://dx.doi.org/10.3386/w4718.

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Bertsimas, Dimitris, Leonid Kogan, and Andrew Lo. Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model. Cambridge, MA: National Bureau of Economic Research, November 1997. http://dx.doi.org/10.3386/w6250.

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He, Jie (Jack), Jun 'QJ' Qian, and Philip Strahan. Are All Ratings Created Equal? The Impact of Issuer Size on the Pricing of Mortgage-backed Securities. Cambridge, MA: National Bureau of Economic Research, July 2011. http://dx.doi.org/10.3386/w17238.

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