Risk Finance and Asset Pricing: Value, Measurements, and Markets

Table of Contents

 

Title Page

Copyright Page

Dedication

Introduction

WHO THIS BOOK IS FOR

HOW THIS BOOK IS STRUCTURED

WHAT’S ON THE COMPANION WEB SITE

 

CHAPTER 1 - Risk, Finance, Corporate Management, and Society

 

RISKS EVERYWHERE—A CONSEQUENCE OF UNCERTAINTY

RISK AND FINANCE: BASIC CONCEPTS

FINANCIAL INSTRUMENTS

EXAMPLE: AN IBM DAY-TRADES RECORD

EXAMPLE: CONSTRUCTING A PORTFOLIO

OPTION CONTRACTS

PROBLEM 1.1: OPTIONS AND THEIR PRICES

EXAMPLE: OPTIONS AND THE PRICE OF EQUITY

EXAMPLE: MANAGEMENT STOCK OPTIONS

OPTIONS AND TRADING IN SPECIALIZED MARKETS

REAL-LIFE CRISES AND FINANCE

THE 2008 MELTDOWN AND FINANCIAL THEORY

FINANCE AND ETHICS

SUMMARY

TESTYOURSELF

REFERENCES

 

CHAPTER 2 - Applied Finance

 

FINANCE AND PRACTICE

FINANCIAL RISK PRICING: A HISTORICAL PERSPECTIVE

ESSENTIALS OF FINANCIAL RISK MANAGEMENT

TECHNOLOGY AND COMPLEXITY

MARKET MAKING AND PRICING PRACTICE

SUMMARY

TEST YOURSELF

REFERENCES

 

CHAPTER 3 - Risk Measurement and Volatility

 

RISK, VOLATILITY, AND MEASUREMENT

MOMENTS AND MEASURES OF VOLATILITY

EXAMPLE: IBM RETURNS STATISTICS

EXAMPLE: MOMENTS AND THE CAPM

PROBLEM 3.1: CALCULATING THE BETA OF A SECURITY

STATISTICAL ESTIMATIONS

EXAMPLE: THE AR(1)-ARCH(1) MODEL

EXAMPLE: A GARCH (1,1) MODEL

HIGH-LOW ESTIMATORS OF VOLATILITY

EXTREME MEASURES, VOLUME, AND INTRADAY PRICES

PROBLEM 3.2: THE PROBABILITY OF THE RANGE

DATA TRANSFORMATION

EXAMPLE: TAYLOR SERIES

VALUE AT RISK AND RISK EXPOSURE

EXAMPLE: VaR AND SHORTFALL

EXAMPLE: VaR, NORMAL ROR, AND PORTFOLIO DESIGN

SUMMARY ...