Written by leading market risk academic, Professor Carol Alexander, Pricing, Hedging and Trading Financial Instruments forms part three of the Market Risk Analysis four volume set. This book is an in-depth, practical and accessible guide to the models that are used for pricing and the strategies that are used for hedging financial instruments, and to the markets in which they trade. It provides a comprehensive, rigorous and accessible introduction to bonds, swaps, futures and forwards and options, including variance swaps, volatility indices and their futures and options, to stochastic volatility models and to modelling the implied and local volatility surfaces. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Duration-Convexity approximation to bond portfolios, and portfolio immunization; Pricing floaters and vanilla, basis and variance swaps; Coupon stripping and yield curve fitting; Proxy hedging, and hedging international securities and energy futures portfolios; Pricing models for European exotics, including barriers, Asians, look-backs, choosers, capped, contingent, power, quanto, compo, exchange, ‘best-of’ and spread options; Libor model calibration; Dynamic models for implied volatility based on principal component analysis; Calibration of stochastic volatility models (Matlab code); Simulations from stochastic volatility and jump models; Duration, PV01 and volatility invariant cash flow mappings; Delta-gamma-theta-vega mappings for options portfolios; Volatility beta mapping to volatility indices.
A definitive study that uses a blend of theory, history, and data to analyze the evolution of the US brewing industry; draws on theoretical tools of industrial organization, game theory, and management strategy. This definitive study uses theory, history, and data to analyze the evolution of the US brewing industry from a fragmented market to an emerging oligopoly. Drawing on a rich and extensive data set and applying the theoretical tools of industrial organization, game theory, and management strategy, the authors provide new quantitative and qualitative perspectives on an industry they characterize as "a veritable market laboratory." The US brewing industry illustrates many of the important topics in industrial organization, economic policy, and business strategy, including industry concentration, technological change, brand proliferation, and mixed pricing strategies. After giving an overview of the industry, Tremblay and Tremblay discuss basic demand and cost conditions and industry concentration. They describe the evolution of the leading mass-producing brewers and the emergence of both specialty brewers and imports. They analyze the history and the causes of product and brand proliferation (showing how product proliferation leads to firm dominance), discuss price, advertising, merger, and other management strategies, and examine the industry's economic performance. Finally, they discuss public policy, including anti-trust and public health issues. The authors' set of industry, firm, and brand data for the period 1950-2002 -- the most comprehensive data set of economic variables available for an oligopolistic industry -- will be available to purchasers of the book who send an e-mail request. Data sources are listed in an appendix. Robert S. Weinberg, a management strategy scholar and leading consultant to the brewing industry, contributes a foreword. This ambitious, authoritative work, capping the authors' 25-year study of the brewing industry, will be a valuable resource for industry analysts, economists, and students of industrial organization.
This book covers the main topics that students need to learn in a course on Industrial Organization. It reviews the classic models and important empirical evidence related to the field. However, it will differ from prior textbooks in two ways. First, this book incorporates contributions from behavioral economics and neuroeconomics, providing the reader with a richer understanding of consumer preferences and the motivation for many of the business practices we see today. The book discusses how firms exploit consumers who are prone to making mistakes and who suffer from cognitive dissonance, attention lapses, and bounded rationality, for example and will help explain why firms invest in persuasive advertising, offer 30-day free trials, offer money-back guarantees, and engage in other observed phenomena that cannot be explained by the traditional approaches to industrial organization. A second difference is that this book achieves a balance between textbooks that emphasize formal modeling and those that emphasize the history of the field, empirical evidence, case studies, and policy analysis. This text puts more emphasis on the micro-foundations (i.e., consumer and producer theory), classic game theoretic models, and recent contributions from behavioral economics that are pertinent to industrial organization. Each topic will begin with a discussion of relevant theory and models and will also include a discussion of concrete examples, empirical evidence, and evidence from case studies. This will provide students with a deeper understanding of firm and consumer behavior, of the factors that influence market structure and economic performance, and of policy issues involving imperfectly competitive markets. The book is intended to be a textbook for graduate students, MBAs and upper-level undergraduates and will use examples, graphical analysis, algebra, and simple calculus to explain important ideas and theories in industrial organization.
The fourth edition of this acclaimed text is a rich resource for undergraduate and graduate courses in industrial organization, applied game theory, and management strategy. It incorporates game theory into industry analysis by studying the behavior of successful and failing firms as well as the structure-conduct-performance of particular industries. Chapters address a wide variety of issues concerning industry structure, policy towards business, and the strategic innovations and blunders of individual firms. New coverage of professional sports, soft drinks, distilled spirits, and cigarettes complements revised and updated chapters on airline services, retail and commercial banking, health insurance, motion pictures, and brewing. The book includes firm case studies of General Motors, Microsoft, Schlitz, and TiVo.
Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. It rests on the basic knowledge of financial mathematics and statistics gained from Volume I, of factor models, principal component analysis, statistical models of volatility and correlation and copulas from Volume II and, from Volume III, knowledge of pricing and hedging financial instruments and of mapping portfolios of similar instruments to risk factors. A unifying characteristic of the series is the pedagogical approach to practical examples that are relevant to market risk analysis in practice. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Parametric linear value at risk (VaR)models: normal, Student t and normal mixture and their expected tail loss (ETL); New formulae for VaR based on autocorrelated returns; Historical simulation VaR models: how to scale historical VaR and volatility adjusted historical VaR; Monte Carlo simulation VaR models based on multivariate normal and Student t distributions, and based on copulas; Examples and case studies of numerous applications to interest rate sensitive, equity, commodity and international portfolios; Decomposition of systematic VaR of large portfolios into standard alone and marginal VaR components; Backtesting and the assessment of risk model risk; Hypothetical factor push and historical stress tests, and stress testing based on VaR and ETL.
The Bellagio Group was founded at a time of global economic crisis. This collection brings together the private correspondence and published papers of the Group’s founders, creating a picture of the personalities, issues, debates and compromises leading to the adoption of flexible exchange rates and a modified Triffin plan.
Written by leading market risk academic, Professor Carol Alexander, Quantitative Methods in Finance forms part one of the Market Risk Analysis four volume set. Starting from the basics, this book helps readers to take the first step towards becoming a properly qualified financial risk manager and asset manager, roles that are currently in huge demand. Accessible to intelligent readers with a moderate understanding of mathematics at high school level or to anyone with a university degree in mathematics, physics or engineering, no prior knowledge of finance is necessary. Instead the emphasis is on understanding ideas rather than on mathematical rigour, meaning that this book offers a fast-track introduction to financial analysis for readers with some quantitative background, highlighting those areas of mathematics that are particularly relevant to solving problems in financial risk management and asset management. Unique to this book is a focus on both continuous and discrete time finance so that Quantitative Methods in Finance is not only about the application of mathematics to finance; it also explains, in very pedagogical terms, how the continuous time and discrete time finance disciplines meet, providing a comprehensive, highly accessible guide which will provide readers with the tools to start applying their knowledge immediately. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Principal component analysis of European equity indices; Calibration of Student t distribution by maximum likelihood; Orthogonal regression and estimation of equity factor models; Simulations of geometric Brownian motion, and of correlated Student t variables; Pricing European and American options with binomial trees, and European options with the Black-Scholes-Merton formula; Cubic spline fitting of yields curves and implied volatilities; Solution of Markowitz problem with no short sales and other constraints; Calculation of risk adjusted performance metrics including generalised Sharpe ratio, omega and kappa indices.
An intuitive and straightforward introduction to management accounting In the newly revised second edition of Management Accounting: An Integrative Approach, a team of distinguished accountants and educators delivers a comprehensive and authoritative discussion of key management accounting subjects. From business planning and analysis to the measurement and evaluation of performance, estimating costs, activity-based costing, and management accounting in large, complex organizations, this book covers every critical component of a rapidly evolving and centrally important subject. This latest edition includes updated data tables, revised practice problems, corrected and simplified formulas, new "In the News" and "Looking Back" sections, and updated figures. It is essential reading for students of business, managerial accounting, and related subjects.
This well respected textbook has been fully updated to reflect how economic policies on housing, crime, the environment, pensions among other areas, have changed in recent years. The book offers a lucid, non-technical introduction to important economic concepts, showing how they are applied in a real world setting.
Written by leading market risk academic, Professor Carol Alexander, Practical Financial Econometrics forms part two of the Market Risk Analysis four volume set. It introduces the econometric techniques that are commonly applied to finance with a critical and selective exposition, emphasising the areas of econometrics, such as GARCH, cointegration and copulas that are required for resolving problems in market risk analysis. The book covers material for a one-semester graduate course in applied financial econometrics in a very pedagogical fashion as each time a concept is introduced an empirical example is given, and whenever possible this is illustrated with an Excel spreadsheet. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM. Empirical examples and case studies specific to this volume include: Factor analysis with orthogonal regressions and using principal component factors; Estimation of symmetric and asymmetric, normal and Student t GARCH and E-GARCH parameters; Normal, Student t, Gumbel, Clayton, normal mixture copula densities, and simulations from these copulas with application to VaR and portfolio optimization; Principal component analysis of yield curves with applications to portfolio immunization and asset/liability management; Simulation of normal mixture and Markov switching GARCH returns; Cointegration based index tracking and pairs trading, with error correction and impulse response modelling; Markov switching regression models (Eviews code); GARCH term structure forecasting with volatility targeting; Non-linear quantile regressions with applications to hedging.
Containing rigorous hard evidence, this book is of immense practical use to postgraduates, researchers and business communities affected by or working in environmental regulation. The author, a leading name in the environmental economics community, examines the problem of urban smog in cityscapes and the difficulty of achieving cost-effective controls. Analyzing the key areas of urban smog, low-level ozone and volatile organic compound emissions and their impact on health and welfare of communities this text assesses and evaluates the performance of emissions trading systems and suggests alternative market designs for incentive control of pollution. Taking a well-reasoned approach to the contentious area of the use of market incentives to achieve environmental goals, it provides a study of the pioneering cap-and-trade market, particularly focusing on its poor performance in Chicago. A perfect supplementary text postgraduates and researchers, this is also an essential read for all those interested in environmental economics.
The history and the business of coffee are the stories that this book will tell, through the lens of the law--that is, through legal cases involving the production, distribution, marketing, and sale of coffee in the Americas during a brief moment in coffee history--from the early days of the new Republic of the United States to the present"--Introduction, p. xiii.
The Bellagio Group was founded at a time of global economic crisis. This collection brings together the private correspondence and published papers of the Group’s founders, creating a picture of the personalities, issues, debates and compromises leading to the adoption of flexible exchange rates and a modified Triffin plan.
“Michels explodes the romantic notion of the starving artist.” —The New York Times “Michels is a tough but compassionate advocate, savvy in the ways of the world and the demands on artists in this materialistic society.” —The Miami Herald Written for fine artists ready to launch their careers as well as experienced artists who wish to relaunch their careers, How to Survive and Prosper as an Artist, Seventh Edition, an acclaimed guide, empowers artists to take control of their careers to create a fulfilling life and earn a decent income. In this newly revised edition, Caroll Michels continues to demystify the inner workings of the art world and challenge the status quo. New chapters discuss such topics as: New business models for artists: Going to the extreme The use of social media and website development as marketing and publicity tools and what does and doesn’t work The confusion between the “art-buying public” and the “general public” and their differences New suggestions for establishing and calculating prices for artwork Neighborhood gentrification and the growing challenges of securing a reasonably priced live/work space How dealers find artists, how to negotiate with dealers, and how to understand a dealer’s agenda Using her own experiences as an artist as well as the experiences of her clients, Michels crafts a must-read guidebook for anyone interested in embarking upon a successful career as an artist.
A comprehensive guide to taking full advantage of current employee stock options plans The phenomenon of stock options as employee compensation continues to grow in importance in more and more online and traditional businesses. In fact, an estimated eight million Americans-some eight percent of the workforce-currently hold options, in comparison with only a million workers back in 1992. Yet many people don't know how to take advantage of these plans and are unsure when to exercise their options or how to negotiate to get more options. This much-needed book helps employees and management understand how options plans work in order to use them to their best advantage. Here are specific strategies on vesting schedules and tax implications, along with real-life examples from plans that readers can learn from.
This comprehensive, revised edition offers how-to information for starting a small business in specialized retailing, from the mom and pop operation to a chain memorabilia store. Highly practical, it incorporates the newest developments within retail sales, including information on the changing economy (such as how e-commerce affects small business owners).
Besides defining approximately 1900 terms and phrases with specialised meanings for agriculture and related terms (such as food programmes, conservation, forestry and environmental protection), this glossary also identifies acronyms, agencies, programmes and laws related to agriculture. This book also provides a sampling of the rapidly proliferating number of agricultural sources available on the Internet. This section is divided into 26 categories and is arranged alphabetically for ease of access.
Stunning . . . a strikingly impressive memoir. A magically whimsical examination, a wide-ranging assortment, and a remarkable collection of full-bodied, all encompassing detail . . . a powerful tribute to the structure and all who dwelled within its walls." -Mary Louise Prudhomme, executive director, Louisiana Old State Capitol "Carol Haase has captured the spirit of the Old State Capitol. Her insight into the fascinating history of this building enables the reader to view the Old State Capitol as a long-lost friend who has encountered countless difficulties but managed to survive over the years." -Jay Dardenne, Louisiana secretary of state Overlooking the Mississippi River in Baton Rouge, Louisiana, a Gothic-style castle stands out in dignity among neighboring buildings. Despite the elegant architecture with impressive turrets, stained-glass windows, and pitched gables, this remarkable structure is more than bricks and iron. The first Louisiana state house is a lasting reminder of what the building once symbolized: the hope for prosperity. During Louisiana's seminal years, the location of the state capital was the cause of fiery disputes. Originally located in New Orleans, it was relocated to Donaldsonville and eventually moved to Baton Rouge. On October 26, 1847, Baton Rougeans broke ground, commencing the capitol's construction. Over a century the Old State Capitol and surrounding landscapes have withstood fires, Union control during the Civil War, economic depression, and hurricanes. It served as a venue to galas in support of WWI troops, rallies promoting women's suffrage, and the inauguration of nineteen Louisiana governors. Although it was replaced by the new state capitol building in 1932, the magnificence of the structure remains, serving as a public museum.
The Bellagio Group was founded at a time of global economic crisis. This collection brings together the private correspondence and published papers of the Group’s founders, creating a picture of the personalities, issues, debates and compromises leading to the adoption of flexible exchange rates and a modified Triffin plan.
Offers tips on identifying, collecting, and caring for furniture, photographs, posters and illustration art, costume jewelry and wristwatches, dolls, toys, advertising and sports memorabilia, and glass and pottery.
The application of learning styles theory and research continues to hold great promise for practitioners in both education and training as a potentially powerful mechanism for enabling pupils, students and trainees to better manage their own learning throughout their educational and working lives. The selection of papers from the 10th annual European Learning Styles Information Network conference (held in July 2005 at the School of Management, University of Surrey) presented here raise a number of pertinent issues which are significant in the on-going debate regarding the value of cognitive a.
Selected Commercial Statutes supplements casebooks and other teaching materials in commercial law and related courses. This statutory supplement includes the official text of the Uniform Commercial Code (UCC) prepared under the joint sponsorship of the American Law Institute and the National Conference of Commissioners on Uniform State Laws. It also provides the full official text and comments to the UCC as revised following the 2004 Annual Meeting, as well as pre-revision versions of Articles 1, 2, 3, 4, and 7.
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