Download Preparing for the Worst. Incorporating Downside Risk in Stock Market

Brochure
More information from http://www.researchandmarkets.com/reports/2172598/
Preparing for the Worst. Incorporating Downside Risk in Stock Market
Investments. Wiley Series in Probability and Statistics
Description:
A timely approach to downside risk and its role in stock market investments
When dealing with the topic of risk analysis, most books on investments treat downside and upside risk
equally. Preparing for the Worst takes an entirely novel approach by focusing on downside risk and
explaining how to incorporate it into investment decisions. Highlighting this asymmetry of the stock market,
the authors describe how existing theories miss the downside and follow with explanations of how it can be
included. Various techniques for calculating downside risk are demonstrated.
This book presents the latest ideas in the field from the ground up, making the discussion accessible to
mathematicians and statisticians interested in applications in finance, as well as to finance professionals
who may not have a mathematical background. An invaluable resource for anyone wishing to explore the
critical issues of finance, portfolio management, and securities pricing, this book:
- Incorporates Value at Risk into the theoretical discussion
- Uses many examples to illustrate downside risk in U.S., international, and emerging market investments
- Addresses downside risk arising from fraud and corruption
- Includes step–by–step instructions on how to implement the methods introduced in this book
- Offers advice on how to avoid pitfalls in calculations and computer programming
- Provides software use information and tips
Contents:
List of Figures.
List of Tables.
Preface.
1. Quantitative Measures of the Stock Market.
1.1. Pricing Future Cash Flows.
1.2. The Expected Return.
1.3. Volatility.
1.4. Modeling of Stock Price Diffusion.
1.5. Efficient Market Hypothesis.
Appendix: Simple Regression Analysis.
2. A Short Review of the Theory of Risk Measurement.
2.1. Quantiles and Value at Risk.
2.2. CAPM Beta, Sharpe, and Treynor Performance Measures.
2.3. When You Assume . . . .
2.4. Extensions of the CAPM.
Appendix: Estimating the Distribution from the Pearson Family of Distributions.
3. Hedging to Avoid Market Risk.
3.1. Derivative Securities: Futures, Options.
3.2. Valuing Derivative Securities.
3.3. Option Pricing Under Jump Diffusion.
3.4. Implied Volatility and the Greeks.
Appendix: Drift and Diffusion.
4. Monkey Wrench in the Works: When the Theory Fails.
4.1. Bubbles, Reversion, and Patterns.
4.2. Modeling Volatility or Variance Explicitly.
4.3. Testing for Normality.
4.4. Alternative Distributions.
5. Downside Risk.
5.1. VaR and Downside Risk.
5.2. Lower Partial Moments (Standard Deviation, Beta, Sharpe, and Treynor).
5.3. Implied Volatility and Other Measures of Downside Risk.
6. Portfolio Valuation and Utility Theory.
6.1. Utility Theory.
6.2. Nonexpected Utility Theory.
6.3. Incorporating Utility Theory into Risk Measurement and Stochastic Dominance.
6.4. Incorporating Utility Theory into Option Valuation.
6.5. Forecasting Returns Using Nonlinear Structures and Neural Networks.
7. Incorporating Downside Risk.
7.1. Investor Reactions.
7.2. Patterns of Downside Risk.
7.3. Downside Risk in Stock Valuations and Worldwide Investing.
7.4. Downside Risk Arising from Fraud, Corruption, and International Contagion.
8. Mathematical Techniques.
8.1. Matrix Algebra.
8.2. Matrix–Based Derivation of the Efficient Portfolio.
8.3. Principal Components Analysis, Factor Analysis, and Singular Value Decomposition.
8.4. Ito s Lemma.
8.5. Creation of Risk–Free Nonrandom g(S, t) as a Hedge Portfolio.
8.6. Derivation of Black–Scholes Partial Differential Equation.
8.7. Risk–Neutral Case.
9. Computational Issues.
9.1. Sampling, Compounding, and Other Data Issues in Finance.
9.2. Numerical Procedures.
9.3. Simulations and Bootstrapping.
Appendix A: Regression Specification, Estimation, and Software Issues.
Appendix B: Maximum Likelihood Estimation Issues.
Appendix C: Maximum Entropy (ME) Bootstrap for State–Dependent Time Series of Returns.
10. What Does It All Mean?
Glossary of Greek Symbols.
Glossary of Notations.
Glossary of Abbreviations.
References.
Name Index.
Index.
Ordering:
Order Online - http://www.researchandmarkets.com/reports/2172598/
Order by Fax - using the form below
Order by Post - print the order form below and send to
Research and Markets,
Guinness Centre,
Taylors Lane,
Dublin 8,
Ireland.
Page 1 of 2
Fax Order Form
To place an order via fax simply print this form, fill in the information below and fax the completed form to 646-607-1907 (from
USA) or +353-1-481-1716 (from Rest of World). If you have any questions please visit
http://www.researchandmarkets.com/contact/
Order Information
Please verify that the product information is correct.
Product Name:
Preparing for the Worst. Incorporating Downside Risk in Stock Market Investments.
Wiley Series in Probability and Statistics
Web Address:
http://www.researchandmarkets.com/reports/2172598/
Office Code:
SCHL3FA7
Product Format
Please select the product format and quantity you require:
Quantity
Hard Copy (Hard
Back):
USD 136 + USD 29 Shipping/Handling
* Shipping/Handling is only charged once per order.
Contact Information
Please enter all the information below in BLOCK CAPITALS
Title:
First Name:
Mr
Mrs
Dr
Miss
Last Name:
Email Address: *
Job Title:
Organisation:
Address:
City:
Postal / Zip Code:
Country:
Phone Number:
Fax Number:
* Please refrain from using free email accounts when ordering (e.g. Yahoo, Hotmail, AOL)
Ms
Prof
Page 2 of 2
Payment Information
Please indicate the payment method you would like to use by selecting the appropriate box.
Pay by credit card:
You will receive an email with a link to a secure webpage to enter your
credit card details.
Pay by check:
Please post the check, accompanied by this form, to:
Research and Markets,
Guinness Center,
Taylors Lane,
Dublin 8,
Ireland.
Pay by wire transfer:
Please transfer funds to:
Account number
833 130 83
Sort code
98-53-30
Swift code
ULSBIE2D
IBAN number
IE78ULSB98533083313083
Bank Address
Ulster Bank,
27-35 Main Street,
Blackrock,
Co. Dublin,
Ireland.
If you have a Marketing Code please enter it below:
Marketing Code:
Please note that by ordering from Research and Markets you are agreeing to our Terms and Conditions at
http://www.researchandmarkets.com/info/terms.asp
Please fax this form to:
(646) 607-1907 or (646) 964-6609 - From USA
+353-1-481-1716 or +353-1-653-1571 - From Rest of World