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 Three Essays on Asset Pricing. A Bayesian Approach
Наименование:

Three Essays on Asset Pricing. A Bayesian Approach

автор Yongli Z. издательство Книга по Требованию Экономическая теория
Cтраниц 116        мягкая обложка       
Аннотация:Sufficient conditions on preferences are specified such that an increase in risk guarantees a fall in stock prices. The simulation technique of the Markov Chain Monte Carlo is used to compute the real interest rates. The first chapter studies the effect of a change in aggregate risk on the prices of bonds and stocks. The learning process ends too rapidly for parameter uncertainty to play an important role in affecting bond returns. This dissertation focuses on the consumption-based asset pricing models developed by Lucas (1978). In the second chapter, an empirical study examines whether Bayesian learning can help the Lucas-type models predict the low levels of short-term real interest rates in the US. The results show that parameter uncertainty alone cannot resolve the risk-free rate puzzle. A standard Lucas-type model, with an added feature that investors have to learn about the unobservable alternation of business cycles, is calibrated. The third chapter investigates whether the downturns of business cycles have caused the falls of real interest rates. A decomposition method of the dividend and discount rate effect is defined.
Автор: Yongli Z.
Издательство: Книга по Требованию
Год:2008
Цена:
2007 руб
Нет в наличии
Поиск: Three Essays on Asset Pricing. A Bayesian Approach



Економіко-математичне моделювання процесу ціноутворення на ринку...

Результаты могут быть также использованы при моделировании показателей финансово-экономической сферы, и в частности, для мониторинга, анализа и моделирования ценовой динамики на рынке деривативов. Ключевые слова: рынок срочных контрактов, опцион, стратегия хеджирования, модель Блэка-Шоулза, операционные издержки, программная торговля. A O A IO Silche ko M. V. Eco omic-ma hema ical modeli g of he process of price forma io i he op io marke . - Ma uscrip . he disser a io is submi ed for ca dida e of eco omic scie ces degree. Specializa io 08.03.08 - Eco omic-ma hema ical modeli g. - Kyiv a io al Eco omic U iversi y, Kyiv, 2008. he hesis co ai s he resul s of he research of price processes i he op io marke , co duc ed wi h he help of eco omic a d ma hema ical modeli g aki g i o accou he fac ors which appear u der he co di io s of programme radi g. he compara ive a alysis of he exis i g me hods for prog os ica i g he price of a op io has bee made i he work a d he classical approach o defi i g he s ruc ure of hedged por folio has bee correc ed.
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