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醉染图书一般均衡期权定价方:理与实研究9787561551035
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Introduction
1.1 Motivation for the Book
1.2 Overview and Structure for the Book
2 General Equilibrium Option Pricing Models
2.1 The Economy and Utility Functions
2.2 Market Risk Premium
. Option Pricing Model
3 Simulation Comparison
3.1 Introduction
3.2 Methodology
3.3 Simulations
3.3.1 Risk-neutral and Physical Jumps
3.3.2 Recursive and Expected Utility Functions .
3.3.3 Lognormal and Uniform Jump Size Distribu
tions
3.4 Conclusions
4 Empirical Comparison
4.1 Introduction
4.2 Option Pricing Models
4.3 Data and Methodology
4.4 Empirical Results
4.4.1 Parameter Estimates and In-sample Fit
4.4.2 Out-of-sample Performance
4.4.3 Jump Risk Premium
4.5 Conclusions
5 Fanning Out Preference and Option Pricing
5.1 Introduction
5.2 Mcdel Setup
5.3 Numerical Studies
5.4 Empirical Analysis
5.4.1 Data and Methodology
5.4.2 Estimation
5.4.3 Implied Risk Premiums
5.4.4 Model FindVlatility Smirks
5.5 Concluding Remarks
6 Jump Size Distributions and Option Pricing
6.1 Introduction
6.2 Model Setup
6.3 Empirical Investigation
6.3.1 Data and Methodology
6.3.2 Empirical Results
6.4 Concluding Remarks
7 Risk Aversion Estimate fo Volatility Spread
7.1 Introduction
7.2 Methodology
7.2.1 Realized Volatility
7.2.2 Model-free Implied Volatility
7.. Volatility Spread
7.3 Data and Empirical Results
7.3.1 Risk Aversion Estimate
7.4 Conclusions
8 Predictability of VRP: Hongkong Evidence
8.1 Introduction
8.2 Model
8.2.1 Realized Volatility
8.2.2 Model-free Implied Volatility
8.. Variance Risk Premium
8.2.4 Predictability of Stock Return
8.3 Data and Empirical Results
8.3.1 Data
8.3.2 Summary Statistics of Volatility Measures
8.3.3 Variance Risk Premium
8.3.4 Predictability of Stock Return
8.3.5 Evidences during the Finan Crisis Period
8.4 Conclusions
9 Predictability of VRP: Other International Evidence
9.1 Introduction
9.2 Empirical Methodology
9.2.1 Variance Risk Premium
9.2.2 In-sample Predictability Regression
9.3 Data and Summary Statistics
9.4 In-sample Predictability Results
9.5 Concluding Remarks
10 Predictability of VRP: A Comparison Study
10.1 Introduction
10.2 Methodology
10.2.1 Construction of Variance Risk Premium
10.2.2 Stock Return Predictability Regression
10.3 Data and Empirical Results
10.3.1 Data and Summary Statistics
10.3.2 Empirical Results from International Markets
10.4 Concluding Remarks
11 Conclusions
ll.1 Summary
11.2 Future Research
Appendix
A. Non-expected Recursive Utility
B. Jump Risk Premium
C. Variance Risk Premium
D. Covariance Risk Premium
E. Observational Non-equivalence
E Risk-neutral MGF
G. Jump Size Distribution
陈坚,于英国埃塞克斯大学商学
院,获得金融学博士。后曾在北京
大公靠前资信评估有限公司工作,担任金融
分析师,主要从事债券评级与结构融资产品
风险分析,曾负责不良资产回收率建模等项
目。2009年9月加入厦门大学经济学院金融
系,任理教授,主要研究领域包括:资产
定价的理论与实分析金融衍生产品定
价、信用风险研究等。目前,作者已在靠前
外很好学术期刊发表若干篇,主持
级和省部级课题各一项,参与重量和省部
级科研项目若干项。并且,曾多次在靠前外
学术研讨会上报告。2012年,其获
得第十届系统工程与风险管理靠前年会的很
佳奖。
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