Author | Lee, Cheng-Few. author. Author. http://id.loc.gov/vocabulary/relators/aut |
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Title | Financial Econometrics, Mathematics and Statistics [electronic resource] : Theory, Method and Application / by Cheng-Few Lee, Hong-Yi Chen, John Lee |
Imprint | New York, NY : Springer New York : Imprint: Springer, 2019 |
Edition | 1st ed. 2019 |
Connect to | https://doi.org/10.1007/978-1-4939-9429-8 |
Descript | XX, 655 p. 129 illus., 57 illus. in color. online resource |
Introduction to Financial Econometrics and Statistics -- Part A: Regression and Financial Econometrics -- Multiple Linear Regression -- Other Topics in Applied Regression Analysis.-Simultaneous Equation Models.-Econometric Approach to Financial Analysis, Planning, and Forecasting -- Fixed Effect vs Random Effect in Finance Research -- Alternative Methods to Deal with Measurement Error.-Three Alternative Errors-in-Variables Estimation Methods in Testing Capital Asset Pricing Model -- Spurious Regression and Data Mining in Conditional Asset Pricing Models.-Time-Series Analysis and Its Applications.-Time-Series: Analysis, Model, and Forecasting.-Hedge Ratio and Time-Series Analysis -- The Binomial, Multi-Nominal Distributions and Option Pricing Model -- Two Alternative Binomial Option Pricing Model Approaches to Derive Black-Scholes Option Pricing Model.-Normal, Lognormal Distribution, and Option Pricing Model.-Copula, Correlated Defaults, and Credit VaR.-Multivariate Analysis: Discriminant Analysis and Factor Analysis.-Stochastic Volatility Option Pricing Models -- Alternative Method to Estimate Implied Variance: Review and Comparison -- Numerical Valuation of Asian Options with Higher Moments in the Underlying Distribution.-Itô’s Calculus: Derivation of the Black-Scholes Option Pricing Model.-Alternative Methods to Derive Option Pricing Models.-Constant Elasticity of Variance Option Pricing Model: Integration and Detailed Derivation -- Option Pricing and Hedging Performance under Stochastic Volatility and Stochastic Interest Rates.-Non-Parametric Method for European Option Bounds