The standard market models

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  • (bq) part 2 book “options, futures, and other derivatives” has contents: the greek letters, volatility smiles, basic numerical procedures, credit derivatives, estimating volatilities and correlations, real options, equilibrium models of the short rate,… and other contents.

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  • 7 A limited dependent variable. In chapter 3 we considered the standard Linear Regression model, where the dependent variable is a continuous random variable. The model assumes that we observe all values of this dependent variable, in the sense that there are no missing observations.

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  • In the UK, the financial regulatory framework under the UK Financial Services and Markets Act 2000 (FSMA) 10 requires banks and other authorised financial firms to establish internal systems of control, compliance, and reporting for senior management and other key personnel. Under FSMA, the Financial Services Authority (FSA) has the power to review and sanction banks and financial firms regarding the types of internal control and compliance systems they adopt.

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  • The following will be discussed in this chapter: Value options using historical vol, moving average vol (MAV), exponentially weighted moving average (EWMA), and generalized autoregressive conditional heteroskedasticity (GARCH); calculate option model implied volatility surfaces -- time skew (a.k.a. terms structure of volatility), and strike skew (Smiles and Smirks); understand what volatility surfaces reveal about option prices, volatility, and the models.

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  • The CAPM rattled investment professionals in the 1960s and its commanding importance still reverberates today." --Dow Jones Asset Management. Nearly 30 years ago, PORTFOLIO THEORY AND CAPITAL MARKETS laid the groundwork for such investment standards as modern portfolio theory, derivatives pricing and investment, and equity index funds, among others.

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  • Asset prices are determined by investors’ risk preferences and by the distributions of assets’ risky future payments. Economists refer to these two bases of prices as investor "tastes" and the economy’s "technologies" for generating asset returns. A satisfactory theory of asset valuation must consider how individuals allocate their wealth among assets having different future payments. This chapter explores the development of expected utility theory, the standard approach for modeling investor choices over risky assets....

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  • Producers of dragon fruit in Vietnam have seen prices for their fruit decline by about 60% since 2000 which can be attributed, in part, to their dependence on local and nearby exports. There are about 10 major exporters in Vietnam but a significant portion of the total production is sourced from many small-holder growers. During the previous dragon fruit GAP project 037/04VIE, growers were evaluated through a benchmarking study to determine the status of the dragon fruit producers against the standards required by high value export markets....

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  • Nevertheless, business tourism provide much higher revenue for enterprises as consumers are willing to pay more for their inflexible schedules and also destinations can increase their multiplier effects as some particular forms of business tourism use a much greater spectrum of local services than leisure tourism. Convenient transportation connections with major cities around the world, smooth arrangements at the destination and adequate provision of business related amenities are therefore very important.

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  • Capital market development in Brazil is a key policy issue going forward to foster savings, investment and absorptive capacity in a context of prospects for sizable capital flows in the medium term. Brazil’s savings and investment levels as a share of GDP are still low by international standards. As such, deepening capital markets would be important for increasing incentives for savings and allocating these efficiently to investments. Deep and liquid capital markets could also help bolster resilience to capital flows by developing greater absorptive capacity.

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  • ATL Ultrasound was acquired on October 2, 1998 for NLG 1,613 million in cash. ATL Ultrasound is a leading company in the high-performance ultrasound market. Included in the purchase price for ATL was goodwill paid for the amount of NLG 775 million, in-process R&D for the amount of NLG 401 million and NLG 115 million for patents and trademarks. Goodwill and patents and trademarks are capitalized under intangible assets and amortized over 12 years and 8 years respectively.

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  • All coefficients are statistically significant at the one percent level, except for collateral, which is significant at the 10 percent level. All coefficients have the same sign as in the standard regressions of Rajan and Zingales (1995), Frank and Goyal (2004) and as in our leverage regression using a sample of the largest firms (except the market to book ratio, which is insignificant for the market leverage of those firm). Banks’ leverage depends positively on size and collateral, and negatively on the market-to-book ratio, profits and dividends.

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  • This paper tests whether self-control problems are relevant in real market settings. This is important because much of the empirical support for the self-control problem framework comes from laboratory experiments (see Fredrickson, Loewenstein and O’Donghue, 2004; Thaler, 1999). Departures from the standard model could disappear in real market settings, due to higher incentives, greater opportunities for learning, or differences between the population of subjects typically used in experiments and the general population (see List, 2003, for a discussion of these points).

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  • MapReduce has been proven as a technique for high-scale data analysis by Internet leaders such as Google and Yahoo. Greenplum gives enterprises the best of both worlds—MapReduce for programmers and SQL for DBAs—and will execute both MapReduce and SQL directly within Greenplum’s Parallel Dataflow Engine (Figure 10), which is at the heart of the database. Greenplum MapReduce enables programmers to run analytics against petabyte-scale datasets stored in and outside of Greenplum Database.

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  • Realistic versions of the buffer stock model with finite horizons and declining in- come after retirement limit considerably the age-range of buffer stock behavior. Car- roll (1997) shows that buffer stock behavior emerges until roughly age 50, and that afterwards people start to accumulate wealth steadily to prepare for retirement. Other models of intertemporal choice deliver different predictions about the correlation be- tween income and consumption and the age-wealth profile during the life-cycle.

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  • Another type of lock —— a rim deadbolt —— that can be mounted to the inside surface of an entry door can also be used. Such locks will perform well under a forced entry attack, if they are properly selected. Some rim lock deadbolts actually interlock with the strike (a strike is the part of the lock installed on the door frame).

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  • This article describes GALATEAS LangLog, a system performing Search Log Analysis. LangLog illustrates how NLP technologies can be a powerful support tool for market research even when the source of information is a collection of queries each one consisting of few words. We push the standard Search Log Analysis forward taking into account the semantics of the queries. The main innovation of LangLog is the implementation of two highly customizable components that cluster and classify the queries in the log. ...

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  • The results show that the overall competitiveness of these banks is higher, compared to the pre-crisis period of 2008–2009. The monopolistic competition among them are also found, together with certain improvements in bank competitiveness, observed through increased bank size, enhanced human resources quality, better technological advances, and higher levels of managerial skills in compliance with international standards.

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  • Basic principles underlying the transactions of financial markets are tied to probability and statistics. Accordingly it is natural that books devoted to mathematical finance are dominated by stochastic methods. Only in recent years, spurred by the enormous economical success of financial derivatives, a need for sophisticated computational technology has developed. For example, to price an American put, quantitative analysts have asked for the numerical solution of a free-boundary partial differential equation.

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  • In a world where ownership is divorced from control, characterised by economic and geo-political uncertainty, our companion text Portfolio Theory and Financial Analyses (PTFA henceforth) began with the following question. We then observed that if investors are rational and capital markets are efficient with a large number of constituents,economic variables (such as share prices and returns) should be random, which simplifies matters.

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  • The rst seven variables contain information about the general state of the economy and help to identify monetary policy and capital inows shocks. The model includes both short-term and long-term interest rates. In our sample of countries short-term interest rates are largely controlled by central banks. Using movements in nominal short rates to identify monetary policy shocks is standard in VARs that study monetary policy (see eg Christiano et al (1999)). Long-term interest rates, on the other hand, tend to be driven by nancial market outcomes.

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