The Derivatives Sourcebook is a citation study and classification system that organizes the many strands of the derivatives literature and assigns each citation to a category. Over 1800 research articles are collected and organized into a simple web-based searchable database. We have also included the 1997 Nobel lectures of Robert Merton and Myron Scholes as a backdrop to this literature.
This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk.Part II relates to pricing derivatives under stochastic interest rates. Included is the paper introducing the famous Heath?Jarrow?Morton (HJM) model, together with papers on topics like the characterization of the difference between forward and futures prices, the forward price martingale measure, and applications of the HJM model to foreign currencies and commodities.Part III deals with the pricing of financial derivatives considering both stochastic interest rates and the likelihood of default. Papers cover the reduced form credit risk model, in particular the original Jarrow and Turnbull model, the Markov model for credit rating transitions, counterparty risk, and diversifiable default risk.
Market Volatility proposes an innovative theory, backed by substantial statistical evidence, on the causes of price fluctuations in speculative markets. It challenges the standard efficient markets model for explaining asset prices by emphasizing the significant role that popular opinion or psychology can play in price volatility. Why does the stock market crash from time to time? Why does real estate go in and out of booms? Why do long term borrowing rates suddenly make surprising shifts? Market Volatility represents a culmination of Shiller's research on these questions over the last dozen years. It contains reprints of major papers with new interpretive material for those unfamiliar with the issues, new papers, new surveys of relevant literature, responses to critics, data sets, and reframing of basic conclusions. Included is work authored jointly with John Y. Campbell, Karl E. Case, Sanford J. Grossman, and Jeremy J. Siegel. Market Volatility sets out basic issues relevant to all markets in which prices make movements for speculative reasons and offers detailed analyses of the stock market, the bond market, and the real estate market. It pursues the relations of these speculative prices and extends the analysis of speculative markets to macroeconomic activity in general. In studies of the October 1987 stock market crash and boom and post-boom housing markets, Market Volatility reports on research directly aimed at collecting information about popular models and interpreting the consequences of belief in those models. Shiller asserts that popular models cause people to react incorrectly to economic data and believes that changing popular models themselves contribute significantly to price movements bearing no relation to fundamental shocks.
Known for its clarity, comprehensiveness, and balance, the latest edition of A History of Economic Theory and Method continues that tradition of excellence. Ekelund and Hébert’s survey provides historical and international contexts for how economic models have served social needs throughout the centuries—beginning with the ancient Greeks through the present time. The authors not only trace ideas that have persisted but skillfully demonstrate that past, discredited ideas also have a way of spawning critical thinking and encouraging new directions in economic analysis. Coverage that distinguishes the Sixth Edition from its predecessors includes a detailed analysis of economic solutions by John Stuart Mill and Edwin Chadwick to problems raised by the Industrial Revolution; the role of psychology and “experiments” in understanding demand and consumer behavior; discussions of modern economic theory as it interrelates with other social sciences; and a close look at the historical development of the critical role of entrepreneurship, both in its productive and unproductive variants. The authors’ creative approach gives readers a feel for the thought processes of the great minds in economics and underscores key ideas impacting contemporary thought and practice. Well-crafted discussions are further enriched by absorbing examples and figures. Thorough suggested reading lists give options for more in-depth explorations by interested readers.
The third edition updates the text in two significant ways. First, it updates the presentation to reflect changes that have occurred in financial markets since the publication of the 2nd edition. One such change is with respect to the over-the-counter interest rate derivatives markets and the abolishment of LIBOR as a reference rate. Second, it updates the theory to reflect new research related to asset price bubbles and the valuation of options. Asset price bubbles are a reality in financial markets and their impact on derivative pricing is essential to understand. This is the only introductory textbook that contains these insights on asset price bubbles and options.
More than ten years after the worst crisis since the Great Depression, the financial sector is thriving. But something is deeply wrong. Taxpayers bore the burden of bailing out “too big to fail” banks, but got nothing in return. Inequality has soared, and a populist backlash against elites has shaken the foundations of our political order. Meanwhile, financial capitalism seems more entrenched than ever. What is the left to do? Justice Is an Option uses those problems—and the framework of finance that created them—to reimagine historical justice. Robert Meister returns to the spirit of Marx to diagnose our current age of finance. Instead of closing our eyes to the political and economic realities of our era, we need to grapple with them head-on. Meister does just that, asking whether the very tools of finance that have created our vastly unequal world could instead be made to serve justice and equality. Meister here formulates nothing less than a democratic financial theory for the twenty-first century—one that is equally conversant in political philosophy, Marxism, and contemporary politics. Justice Is an Option is a radical, invigorating first page of a new—and sorely needed—leftist playbook.
With playfulness and a large dose of wit, Robert Merton traces the origin of Newton's aphorism, "If I have seen farther, it is by standing on the shoulders of giants." Using as a model the discursive and digressive style of Sterne's Tristram Shandy, Merton presents a whimsical yet scholarly work which deals with the questions of creativity, tradition, plagiarism, the transmission of knowledge, and the concept of progress. "This book is the delightful apotheosis of donmanship: Merton parodies scholarliness while being faultlessly scholarly; he scourges pedantry while brandishing his own abstruse learning on every page. The most recondite and obscure scholarly squabbles are transmuted into the material of comedy as the ostensible subject is shouldered to one side by yet another hobby horse from Merton's densely populated stable. He has created a jeu d'esprit which is profoundly suggestive both in detail and as a whole."—Sean French, Times Literary Supplement
Written by two of the most distinguished finance scholars in the industry, this introductory textbook on derivatives and risk management is highly accessible in terms of the concepts as well as the mathematics.With its economics perspective, this rewritten and streamlined second edition textbook, is closely connected to real markets, and:Beginning at a level that is comfortable to lower division college students, the book gradually develops the content so that its lessons can be profitably used by business majors, arts, science, and engineering graduates as well as MBAs who would work in the finance industry. Supplementary materials are available to instructors who adopt this textbook for their courses. These include:Solutions Manual with detailed solutions to nearly 500 end-of-chapter questions and problemsPowerPoint slides and a Test Bank for adoptersPRICED! In line with current teaching trends, we have woven spreadsheet applications throughout the text. Our aim is for students to achieve self-sufficiency so that they can generate all the models and graphs in this book via a spreadsheet software, Priced!
This book focuses on the core issues in money and banking providing students with a background in how financial markets work, how banks as businesses function, how central banks make decisions, and how monetary policy affects the global economy.
An introduction to many mathematical topics applicable to quantitative finance that teaches how to “think in mathematics” rather than simply do mathematics by rote. This text offers an accessible yet rigorous development of many of the fields of mathematics necessary for success in investment and quantitative finance, covering topics applicable to portfolio theory, investment banking, option pricing, investment, and insurance risk management. The approach emphasizes the mathematical framework provided by each mathematical discipline, and the application of each framework to the solution of finance problems. It emphasizes the thought process and mathematical approach taken to develop each result instead of the memorization of formulas to be applied (or misapplied) automatically. The objective is to provide a deep level of understanding of the relevant mathematical theory and tools that can then be effectively used in practice, to teach students how to “think in mathematics” rather than simply to do mathematics by rote. Each chapter covers an area of mathematics such as mathematical logic, Euclidean and other spaces, set theory and topology, sequences and series, probability theory, and calculus, in each case presenting only material that is most important and relevant for quantitative finance. Each chapter includes finance applications that demonstrate the relevance of the material presented. Problem sets are offered on both the mathematical theory and the finance applications sections of each chapter. The logical organization of the book and the judicious selection of topics make the text customizable for a number of courses. The development is self-contained and carefully explained to support disciplined independent study as well. A solutions manual for students provides solutions to the book's Practice Exercises; an instructor's manual offers solutions to the Assignment Exercises as well as other materials.
Why the irrational exuberance of investors hasn't disappeared since the financial crisis In this revised, updated, and expanded edition of his New York Times bestseller, Nobel Prize–winning economist Robert Shiller, who warned of both the tech and housing bubbles, cautions that signs of irrational exuberance among investors have only increased since the 2008–9 financial crisis. With high stock and bond prices and the rising cost of housing, the post-subprime boom may well turn out to be another illustration of Shiller's influential argument that psychologically driven volatility is an inherent characteristic of all asset markets. In other words, Irrational Exuberance is as relevant as ever. Previous editions covered the stock and housing markets—and famously predicted their crashes. This edition expands its coverage to include the bond market, so that the book now addresses all of the major investment markets. It also includes updated data throughout, as well as Shiller's 2013 Nobel Prize lecture, which places the book in broader context. In addition to diagnosing the causes of asset bubbles, Irrational Exuberance recommends urgent policy changes to lessen their likelihood and severity—and suggests ways that individuals can decrease their risk before the next bubble bursts. No one whose future depends on a retirement account, a house, or other investments can afford not to read this book.
Discussions of the role of derivatives and their risks, as well as discussions of financial risks in general, often fail to distinguish between risks that are taken consciously and ones that are not. To understand the breeding conditions for financial crises, the prime source of concern is not risk per se, but the unintended, or unanticipated accumulation of risks by individuals, institutions or governments including the concealing of risks from stakeholders and overseers of those entities. This report, the fourth in the ICMB/CEPR series of Geneva Reports on the World Economy, analyses specific situations in which significant unanticipated and unintended financial risks can accumulate. The focus is, in particular, on the implicit guarantees that governments extend to banks and other financial institutions, and which may result in the accumulation, often unrecognised from the viewpoint of the government, of unanticipated risks in the balance sheet of the public sector. that a government's exposure to risk arising from a guarantee is non-linear. For instance, in the case of a government which guarantees the liabilities of the banking system, the additional liability transferred onto the government's balance sheet by a 10% shock to the capital of firms is larger the lower that capital is to start with. Recognising this non-linearity in the transmission of risk exposures is essential to the reduction of the accumulation of unanticipated risks on the government's balance sheet. Analyses of recent international financial crises recognise that the implicit guarantees governments extend to banks and corporations create the potential to greatly weaken their balance sheets. exist, rather than on measurement of the exposures they create. This report offers just such a framework for measuring the extent of a government's exposure to risk and how that exposure changes over time. The report also discusses ideas on how risk exposures can be controlled, hedged and transferred through the use of derivatives, swap contracts, and other contractual agreements.
Serves as an introduction and analysis of exchange traded options. Advantages in the form of their limited risk features and leverage provided are discussed in detail. Above all, their infinite range of trading strategies are considered, as are ways of increasing trading flexibility.
Generate consistent income with a smart weekly options strategy Profiting From Weekly Options is a clear, practical guide to earning consistent income from trading options. Rather than confuse readers with complex math formulas, this book concentrates on the process of consistently profiting from weekly option serials by utilizing a series of simple trades. Backed by the author's thirty years of experience as a professional option trader and market maker, these ideas and techniques allow active individual traders and investors to generate regular income while mitigating risk. Readers will learn the fundamental mechanisms that drive weekly options, the market forces that affect them, and the analysis techniques that help them manage trades. Weekly options are structured like conventional monthly options, but they expire each week. Interest has surged since their inception three years ago, and currently accounts for up to thirty percent of total option volume, traded on all major indices as well as high volume stocks and ETFs. This book is a guide to using weekly options efficiently and effectively as income-generating investments, with practical guidance and expert advice on strategy and implementation. Discover the cycles and market dynamics at work Learn essential fundamental and technical analysis techniques Understand the option trading lexicon and lifecycle Gain confidence in managing trades and mitigating risk Weekly options can be integrated with any existing options strategy, but they are particularly conducive to credit spread strategies and short-term trades based on technical patterns. For investors looking for an easy-in/easy-out method of generating consistent income, Profiting From Weekly Options provides the wisdom of experience with practical, actionable advice.
From acclaimed economists George Akerlof and Robert Shiller, the case for why government is needed to restore confidence in the economy The global financial crisis has made it painfully clear that powerful psychological forces are imperiling the wealth of nations today. From blind faith in ever-rising housing prices to plummeting confidence in capital markets, "animal spirits" are driving financial events worldwide. In this book, acclaimed economists George Akerlof and Robert Shiller challenge the economic wisdom that got us into this mess, and put forward a bold new vision that will transform economics and restore prosperity. Akerlof and Shiller reassert the necessity of an active government role in economic policymaking by recovering the idea of animal spirits, a term John Maynard Keynes used to describe the gloom and despondence that led to the Great Depression and the changing psychology that accompanied recovery. Like Keynes, Akerlof and Shiller know that managing these animal spirits requires the steady hand of government—simply allowing markets to work won't do it. In rebuilding the case for a more robust, behaviorally informed Keynesianism, they detail the most pervasive effects of animal spirits in contemporary economic life—such as confidence, fear, bad faith, corruption, a concern for fairness, and the stories we tell ourselves about our economic fortunes—and show how Reaganomics, Thatcherism, and the rational expectations revolution failed to account for them. Animal Spirits offers a road map for reversing the financial misfortunes besetting us today. Read it and learn how leaders can channel animal spirits—the powerful forces of human psychology that are afoot in the world economy today. In a new preface, they describe why our economic troubles may linger for some time—unless we are prepared to take further, decisive action.
The scholarly literature on executive compensation is vast. As such, this literature provides an unparalleled resource for studying the interaction between the setting of incentives (or the attempted setting of incentives) and the behavior that is actually adduced. From this literature, there are several reasons for believing that one can set incentives in executive compensation with a high rate of success in guiding CEO behavior, and one might expect CEO compensation to be a textbook example of the successful use of incentives. Also, as executive compensation has been studied intensively in the academic literature, we might also expect the success of incentive compensation to be well-documented. Historically, however, this has been very far from the case. In Too Much Is Not Enough, Robert W. Kolb studies the performance of incentives in executive compensation across many dimensions of CEO performance. The book begins with an overview of incentives and unintended consequences. Then it focuses on the theory of incentives as applied to compensation generally, and as applied to executive compensation particularly. Subsequent chapters explore different facets of executive compensation and assess the evidence on how well incentive compensation performs in each arena. The book concludes with a final chapter that provides an overall assessment of the value of incentives in guiding executive behavior. In it, Kolb argues that incentive compensation for executives is so problematic and so prone to error that the social value of giving huge incentive compensation packages is likely to be negative on balance. In focusing on incentives, the book provides a much sought-after resource, for while there are a number of books on executive compensation, none focuses specifically on incentives. Given the recent fervor over executive compensation, this unique but logical perspective will garner much interest. And while the literature being considered and evaluated is technical, the book is written in a non-mathematical way accessible to any college-educated reader.
Robert Whaley has more than twenty-five years of experience in the world of finance, and with this book he shares his hard-won knowledge in the field of derivatives with you. Divided into ten information-packed parts, Derivatives shows you how this financial tool can be used in practice to create risk management, valuation, and investment solutions that are appropriate for a variety of market situations.
In 1954 the U.S. Air Force launched an ambitious program known as WS-117L to develop the world’s first reconnaissance satellite. The goal was to take photographic images from space and relay them back to Earth via radio. Because of technical issues and bureaucratic resistance, however, WS-117L was seriously behind schedule by the time Sputnik orbited Earth in 1957 and was eventually cancelled. The air force began concentrating instead on new programs that eventually launched the first successful U.S. spy satellites. Eyeing the Red Storm examines the birth of space-based reconnaissance not from the perspective of CORONA (the first photo reconnaissance satellite to fly) but rather from that of the WS-117L. Robert M. Dienesch’s revised assessment places WS-117L within the larger context of Dwight D. Eisenhower’s presidency, focusing on the dynamic between military and civilian leadership. Dienesch demonstrates how WS-117L promised Eisenhower not merely military intelligence but also the capacity to manage national security against the Soviet threat. As a fiscal conservative, Eisenhower believed a strong economy was the key to surviving the Cold War and saw satellite reconnaissance as a means to understand the Soviet military challenge more clearly and thus keep American defense spending under control. Although WS-117L never flew, it provided the foundation for all subsequent satellites, breaking theoretical barriers and helping to overcome major technical hurdles, which ensured the success of America’s first working reconnaissance satellites and their photographic missions during the Cold War. Purchase the audio edition.
2020 was a year unlike any other in U.S. history. Emergency managers were confronted with a rapidly evolving deadly virus coupled with widespread economic devastation. On top of increasingly destructive hurricanes and other extreme weather as well as ongoing drought and wildfires, there was societal upheaval. All of these crises created a witch's brew of challenges for public safety and emergency management in the middle of 2020 that continues today. For emergency managers in 2020, better strategies were needed to overcome these major crises and disasters that triggered instability and upended normal life. Mega-disasters and cascading catastrophes now must be imagined and managed for effectively. The Future of Emergency Management After 2020: The New, Novel, and Nasty looks at this new normal and at the issues that alter the scope, complexity, and priorities of emergency management. It references the last ten years, where the tragedy of 9/11 redefined priorities in the field. Drawing on the authors' extensive experience while canvassing the opinions of other emergency management professionals, this thought-provoking book offers new strategies for the crises we're now seeing—and the novel crises we might see in the future. Faculty, students, and practitioners of emergency management will find this book extremely pertinent and valuable.
Louise Pound (1872?1958) was a distinguished literary scholar, renowned athlete, accomplished musician, and devoted women?s sports advocate. She is perhaps best remembered for her groundbreaking work in the field of linguistics and folklore and for her role as the first woman president of the Modern Language Association. A member of a distinguished Nebraska family that included her brother, the prominent legal scholar Roscoe Pound, Louise completed her undergraduate education at the University of Nebraska. When American universities wouldn?t admit her for graduate study, she went on to obtain a PhD in Heidelberg, Germany. She returned to the University of Nebraska?Lincoln to teach in the English department for the next forty-five years. ø As a scholar Louise crusaded for the serious study of American English and founded the field?s leading journal, demolished a powerfully defended approach to the study of American folk song, and fought tirelessly to open athletic and professional opportunities for women. She was, in short, what one admirer called a ?universal wonder.? She befriended and played an influential role in the life of the young Willa Cather during Cather?s years at the University of Nebraska;øH. L. Mencken praised her extravagantly; and scholars of literature, folklore, and dialect studies elevated her to the presidency of their professional societies. Readers of varied interests will find her story compelling.
Connors provides a history of composition and its pedagogical approaches to form, genre, and correctness. He shows where many of the today's practices and assumptions about writing come from, and he translates what our techniques and theories of teaching have said over time about our attitudes toward students, language and life. Connors locates the beginning of a new rhetorical tradition in the mid-nineteenth century, and from there, he discusses the theoretical and pedagogical innovations of the last two centuries as the result of historical forces, social needs, and cultural shifts. This important book proves that American composition-rhetoric is a genuine, rhetorical tradition with its own evolving theria and praxis. As such it is an essential reference for all teachers of English and students of American education.
This book contends that the housing markets and shadow banking have been involved in a kind of 'dance' over the last two decades. It traces this dance to be between the roles of mortgage markets since the 1980s in both the US and China and the developments of securitization and 'shadow banks.' It gives side-by-side comparisons between the two and suggests that house price dynamics have been similar, but also quite different. Both had booms. The US had a bubble that burst around 2007 — after prices became quite high relative to rents and then crashed. However, Chinese housing markets, which had a similar run-up, did not have a burst bubble. Rather, the rising property values appear to have been from space becoming more valuable as reflected in rent growth. In the US, prices chased prices; in China, prices chased rents.Mortgage markets were more complicated, beginning with the securitization in the US, and the rise of shadow banks that both led and followed. The US used shadow banks to hold pieces of securitization deals and funded them with deposit-like debt. These pieces were fragile and their collapse caused 'silent runs,' which were instrumental in the ensuing crash. China's shadow banks were more like traditional intermediaries, unattached to securitization. Their liabilities were mostly not short-term, as was the case with US shadow banks. So, runs were not a problem, but getting the market to work efficiently was.The markets have evolved. And while the music has changed, the dance is not over.
In this comprehensive social history of Columbia University's School of Engineering and Applied Science (SEAS), Robert McCaughey combines archival research with oral testimony and contemporary interviews to build a critical and celebratory portrait of one of the oldest engineering schools in the United States. McCaughey follows the evolving, occasionally rocky, and now integrated relationship between SEAS's engineers and the rest of the Columbia University student body, faculty, and administration. He also revisits the interaction between the SEAS staff and the inhabitants and institutions of the City of New York, where the school has resided since its founding in 1864. McCaughey compares the historical struggles and achievements of the school's engineers with their present-day battles and accomplishments, and he contrasts their teaching and research approaches with those of their peers at other free-standing and Ivy League engineering schools. What begins as a localized history of a school striving to define itself within a university known for its strengths in the humanities and the social sciences becomes a wider story of the transformation of the applied sciences into a critical component of American technology and education.
What are we to make of the information society? Many prominent theorists have argued it to be the most profound and comprehensive transformation of economy, culture and politics since the rise of the industrial way of life in the 18th century. Some saw its arrival in a positive light, where the dreams of democracy, of ‘connectivity’ and ‘efficiency’ constituted a break with the old ways. But other thinkers viewed it more in terms of the recurrent nightmare of capitalism, where the processes of exploitation, commodification and alienation are given much freer rein than ever before. In this book Robert Hassan, a prominent theorist in new media and its effects, analyses and critically appraises these positions and forms them into a coherent narrative to illuminate the phenomenon. Surveying the works of major information society theorists from Daniel Bell to Nicholas Negroponte, and from Vincent Mosco to Manuel Castells, The Information Society is an invaluable resource for understanding the nature of the information society—as well as the meta-processes of neoliberal globalisation and the revolution in information technologies that made it possible.
James Carville famously reminded Bill Clinton throughout 1992 that "it's the economy, stupid." Yet, for the last forty years, historians of modern America have ignored the economy to focus on cultural, social, and political themes, from the birth of modern feminism to the fall of the Berlin Wall. Now a scholar has stepped forward to place the economy back in its rightful place, at the center of his historical narrative. In More, Robert M. Collins reexamines the history of the United States from Franklin Delano Roosevelt to Bill Clinton, focusing on the federal government's determined pursuit of economic growth. After tracing the emergence of growth as a priority during FDR's presidency, Collins explores the record of successive administrations, highlighting both their success in fostering growth and its partisan uses. Collins reveals that the obsession with growth appears not only as a matter of policy, but as an expression of Cold War ideology--both a means to pay for the arms build-up and proof of the superiority of the United States' market economy. But under Johnson, this enthusiasm sparked a crisis: spending on Vietnam unleashed runaway inflation, while the nation struggled with the moral consequences of its prosperity, reflected in books such as John Kenneth Galbraith's The Affluent Society and Rachel Carson's Silent Spring. More continues up to the end of the 1990s, as Collins explains the real impact of Reagan's policies and astutely assesses Clinton's "disciplined growthmanship," which combined deficit reduction and a relaxed but watchful monetary policy by the Federal Reserve. Writing with eloquence and analytical clarity, Robert M. Collins offers a startlingly new framework for understanding the history of postwar America.
Is there more to life? Is there more to me? Is it all worth it? What does it mean to be one with God, and what does that have to do with the mess and challenges of everyday life? These are some of the issues addressed in An Untold Story as it follows the mystical-heroic quest to find our true selves. In coming to a better understanding of what it is to be a hero and what it is to be a mystic, we come to a better understanding of what it is to be ourselves. The stories are connected. The classic hero's journey of myth and legend is at the heart of the mystical journey to life with God. And together they show the way to our true selves and our true stories. With the guidance of mystical theologian John of Ruusbroec and other teachers, and with help from many favorite heroic stories and characters, An Untold Story presents a path of spiritual formation that is at once epic and everyday, fantastical and practical, otherworldly and ordinary. This is a guide for any would-be mystic-hero longing for their own wondertale to no longer be an untold story.
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