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Absence of arbitrage valuation = a unified framework for pricing assets and securities /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Absence of arbitrage valuation/ Paskalis Glabadanidis.
其他題名:	a unified framework for pricing assets and securities /
作者:	Glabadanidis, Paskalis.
出版者:	Basingstoke :Palgrave Macmillan : : 2014.,
面頁冊數:	164 p. :24 graphs, 8.
附註:	Electronic book text.
內容註:	1. Asset Pricing Models 12 1.1. Future Value 1.2. Present Value 1.3. Perpetuities 1.4. Annuities 1.5. Capital Asset Pricing Model 1.5.1. The Case of Two Risky Securities 1.5.2. The Case of Multiple Risky Securities 1.6. Fama-French Three-Factor Model 1.7. Carhart Four-Factor Model 1.8. Arbitrage Pricing Theory 1.9. Macroeconomic Multi-Factor Models 2. Discounted Cash Flow Valuation 2.1. Dividend Growth Models 2.1.1. Single-Stage Models 2.1.2. Two-Stage Models 2.1.3. Three-Stage Models 2.2. Equity Free Cash Flow 2.2.1. Single-Stage FCFE Model 2.2.2. Two-Stage FCFE Model 2.2.3. Three-Stage FCFE Model 2.3. Firm Free Cash Flow 2.3.1. Single-Stage FCFF Mode 2.3.2. Two-Stage FCFF Model 2.3.3. Three-Stage FCFF Model 3. Relative Valuation with Equity and Value Multiples 3.1. Equity Multiples 3.1.1. Price-Dividend Ratio 3.1.2. Price-Earnings Ratio 3.1.3. Price-to-Book Ratio 3.1.4. Price-Sales Ratio 3.2. Value Multiples 3.2.1. Value-to-Income Ratio 3.2.2. Value-to-Book Ratio 3.2.3. Value-to-Sales Ratio 4. Financial Options 4.1. Equity Calls and Puts 4.2. Examples of Option Strategies 4.2.1. A Protective Put Strategy 4.2.2. A Straddle Example 4.2.3. A Butterfly Example 4.3. Option Valuation 4.3.1. Bounds on Option Values 4.4. Option Pricing 5. Real Options 5.1. Equity and Bond Pricing as Options on Asset 5.2. Pricing Convertible Bonds 5.3. Option to Wait 5.4. Option to Abandon 6. Fixed Income Securities 6.1. Bond Characteristics 6.2. Bond Pricing 6.2.1. Basics 6.2.2. Bond Pricing Example 6.2.3. Bond Prices at Different Times to Maturity and YTM 6.2.4. Bond Yields 6.2.5. Bond Yields on Callable Bonds 6.2.6. Credit Risk 6.3. Spot and Forward Interest Rates 6.3.1. The Yield Curve 6.4. Term Structure of Interest Rates 6.4.1. Expectations Hypothesis 6.4.2. Liquidity Preference 6.4.3. Market Segmentation 6.4.4. Preferred Habitat Theories 6.4.5. Interpreting the Term Structure 6.4.6. Measuring the Term Structure 6.4.7. More Bonds than Time Periods 6.5. Fixed Income Arbitrage Strategies 6.6. Duration 6.7. Convexity 6.8. Bond Portfolios 7. Fixed Income Derivatives 7.1. Interest Rate Models 7.1.1. Traditional Term Structure Models 7.1.2. Term Structure Consistent Models 7.2. Binomial Term Structure Models 7.2.1. Pricing a Fixed Coupon Risk-Free Bond 7.2.2. Pricing a Risk-Free Floating-Rate Note (FRN) 7.2.3. An Interest Rate Swap 7.2.4. Adjustable-Rate Mortgages (ARM) 7.2.5. Pricing an Interest Rate Cap/Caption 7.2.6. Pricing an Interest Rate Floor/Flotion 7.2.7. Pricing a Reverse Floater 8. Foreign Exchange 8.1. Spot and Forward Commodity Prices 8.1.1. Purchasing Power Parity 8.2. Spot and Forward Exchange Rates 8.2.1. Triangular Arbitrage with Bid-ask Spread 8.2.2. Interest Rate Parity 8.3. Foreign Exchange Capital Budgeting 8.4. Currency Option Valuation 8.5. Currency Option Put-Call Parity 8.6. Pricing Currency Futures Options 8.7. Currency Futures Option Put-Call Parity 9. What Next? 9.1. Contingent Convertible Securities 9.2. Longevity Swaps 9.3. Acts of God versus Acts of Man Index.
標題:	Arbitrage. -
電子資源:	http://link.springer.com/10.1057/9781137372871Online journal 'available contents' page
ISBN:	1137372877 (electronic bk.) :

Absence of arbitrage valuation = a unified framework for pricing assets and securities /
Glabadanidis, Paskalis.

Absence of arbitrage valuationa unified framework for pricing assets and securities /[electronic resource] :Paskalis Glabadanidis. - 1st ed. - Basingstoke :Palgrave Macmillan :2014. - 164 p. :24 graphs, 8.

Electronic book text.

1. Asset Pricing Models 12 1.1. Future Value 1.2. Present Value 1.3. Perpetuities 1.4. Annuities 1.5. Capital Asset Pricing Model 1.5.1. The Case of Two Risky Securities 1.5.2. The Case of Multiple Risky Securities 1.6. Fama-French Three-Factor Model 1.7. Carhart Four-Factor Model 1.8. Arbitrage Pricing Theory 1.9. Macroeconomic Multi-Factor Models 2. Discounted Cash Flow Valuation 2.1. Dividend Growth Models 2.1.1. Single-Stage Models 2.1.2. Two-Stage Models 2.1.3. Three-Stage Models 2.2. Equity Free Cash Flow 2.2.1. Single-Stage FCFE Model 2.2.2. Two-Stage FCFE Model 2.2.3. Three-Stage FCFE Model 2.3. Firm Free Cash Flow 2.3.1. Single-Stage FCFF Mode 2.3.2. Two-Stage FCFF Model 2.3.3. Three-Stage FCFF Model 3. Relative Valuation with Equity and Value Multiples 3.1. Equity Multiples 3.1.1. Price-Dividend Ratio 3.1.2. Price-Earnings Ratio 3.1.3. Price-to-Book Ratio 3.1.4. Price-Sales Ratio 3.2. Value Multiples 3.2.1. Value-to-Income Ratio 3.2.2. Value-to-Book Ratio 3.2.3. Value-to-Sales Ratio 4. Financial Options 4.1. Equity Calls and Puts 4.2. Examples of Option Strategies 4.2.1. A Protective Put Strategy 4.2.2. A Straddle Example 4.2.3. A Butterfly Example 4.3. Option Valuation 4.3.1. Bounds on Option Values 4.4. Option Pricing 5. Real Options 5.1. Equity and Bond Pricing as Options on Asset 5.2. Pricing Convertible Bonds 5.3. Option to Wait 5.4. Option to Abandon 6. Fixed Income Securities 6.1. Bond Characteristics 6.2. Bond Pricing 6.2.1. Basics 6.2.2. Bond Pricing Example 6.2.3. Bond Prices at Different Times to Maturity and YTM 6.2.4. Bond Yields 6.2.5. Bond Yields on Callable Bonds 6.2.6. Credit Risk 6.3. Spot and Forward Interest Rates 6.3.1. The Yield Curve 6.4. Term Structure of Interest Rates 6.4.1. Expectations Hypothesis 6.4.2. Liquidity Preference 6.4.3. Market Segmentation 6.4.4. Preferred Habitat Theories 6.4.5. Interpreting the Term Structure 6.4.6. Measuring the Term Structure 6.4.7. More Bonds than Time Periods 6.5. Fixed Income Arbitrage Strategies 6.6. Duration 6.7. Convexity 6.8. Bond Portfolios 7. Fixed Income Derivatives 7.1. Interest Rate Models 7.1.1. Traditional Term Structure Models 7.1.2. Term Structure Consistent Models 7.2. Binomial Term Structure Models 7.2.1. Pricing a Fixed Coupon Risk-Free Bond 7.2.2. Pricing a Risk-Free Floating-Rate Note (FRN) 7.2.3. An Interest Rate Swap 7.2.4. Adjustable-Rate Mortgages (ARM) 7.2.5. Pricing an Interest Rate Cap/Caption 7.2.6. Pricing an Interest Rate Floor/Flotion 7.2.7. Pricing a Reverse Floater 8. Foreign Exchange 8.1. Spot and Forward Commodity Prices 8.1.1. Purchasing Power Parity 8.2. Spot and Forward Exchange Rates 8.2.1. Triangular Arbitrage with Bid-ask Spread 8.2.2. Interest Rate Parity 8.3. Foreign Exchange Capital Budgeting 8.4. Currency Option Valuation 8.5. Currency Option Put-Call Parity 8.6. Pricing Currency Futures Options 8.7. Currency Futures Option Put-Call Parity 9. What Next? 9.1. Contingent Convertible Securities 9.2. Longevity Swaps 9.3. Acts of God versus Acts of Man Index.

Document

Absence of Arbitrage Valuation presents a unified asset pricing strategy through absence of arbitrage and applies this framework to such disparate fields as fixed income security pricing, foreign exchange spots, and forward rates.Theoretical finance has always recognized the power of the simple dominance argument in valuing bond prices, options, equity, and cash flow. Yet what remains unclear is how far a simple dominance framework, coupled with a minimum of equilibrium asset pricing theory, goes towards pricing assets and securities. Such a framework also extends to incomplete financial markets, which provides useful applications for using discounted cash flow valuation and absence of arbitrage valuation simultaneously. Absence of Arbitrage Valuation presents a unified asset pricing strategy through absence of arbitrage and applies this framework to such disparate fields as fixed income security pricing, foreign exchange spots, and forward rates. Glabadanidis argues that all valuation is relative and unique to the replicating portfolio argument from option pricing theory. This work reveals how absence of arbitrage valuation can be applied to bonds, international finance, and real options. Readers are also shown how this type of valuation can be applied to the pricing of new financial instruments, such as contingent convertible debt and weather derivatives.

PDF.

Paskalis Glabadanidis is a Senior Lecturer in Finance at the University of Adelaide, Australia. He has published peer-reviewed articles in several leading scholarly journals, including: Journal of Asset Management, Journal of Financial Econometrics, and Journal of Financial and Quantitative Analysis. He is a consultant for mutual funds and hedge funds on various issues related to stock picking and asset allocation as well as pricing of hybrid and complex securities.

ISBN: 1137372877 (electronic bk.) :£65.00Subjects--Topical Terms:

646738
Arbitrage.

LC Class. No.: HG4521 / .G5476 2014

Dewey Class. No.: 332.632

Absence of arbitrage valuation = a unified framework for pricing assets and securities /
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