82,90 € *

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Investing is a part and parcel of life. There are various avenues to invest and one of those is Stock Market. But the decision of the investor depends on various factors. One of the factors which affects the behavior of investment is Terrorism. Various researches has been done into this area and explored that even terrorism has an impact on the behavior of the investor. Out of all that, this study i.e. "Impact of Terror Attacks on Select Global Equity Indices and Gold", mainly focuses on Short run or long run association and influence of volatility of stock price between the terrorism affected country's benchmark to the other selected global indices and Gold. It also measures the returns performance of the indices with Global equity index as benchmark. Major bomb blasts like September 2001, Madrid Bombings 2004, Russian Siege 2004, London Bombings 2005, Mumbai attacks 2008, Boston bombings 2013, Ankara Bombings 2015 and Paris attacks 2015 are taken for this research.

Anbieter: Dodax

Stand: 23.10.2020 Zum Angebot

Stand: 23.10.2020 Zum Angebot

21,99 € *

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This book examines the volatility of Kazakh Tenge against five main trading currencies, namely: the US dollar, Euro, Russian Rouble, Ukrainian Hryvnia and Chinese Yuan. 4552 daily exchange rates data, from National Bank of Kazakhstan were used in the analysis. The ARCH family, conditional variance models were chosen as a method for modelling volatility. Six main representative models of this family, namely are: ARCH and GARCH models (for capturing the heteroscedasticity), GJR (TGARCH) and EGARCH models (for capturing the leverage effects), IGARCH and FIGARCH models (to account for long memory shock effects) were further selected. Afterward, the static, one-step-ahead forecast was conducted. The forecast results are then compared using the root mean squared error (RMSE) and the mean absolute error (MAE) performance measurement criteria. According to both RMSE and MAE results, the US dollar, Chinese Yuan, Russian Rouble and Ukrainian Hryvnia are best forecasted by simple ARCH model, and Euro is best forecasted by an asymmetric GJR model. The long memory IGARCH and FIGARCH models did not show the best forecasting performance in none of the five currencies examined.

Anbieter: Dodax

Stand: 23.10.2020 Zum Angebot

Stand: 23.10.2020 Zum Angebot

154,00 CHF *

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Since the appearance of seminal works by R. Merton, and F. Black and M. Scholes, stochastic processes have assumed an increasingly important role in the development of the mathematical theory of finance. This work examines, in some detail, that part of stochastic finance pertaining to option pricing theory. Thus the exposition is confined to areas of stochastic finance that are relevant to the theory, omitting such topics as futures and term-structure. This self-contained work begins with five introductory chapters on stochastic analysis, making it accessible to readers with little or no prior knowledge of stochastic processes or stochastic analysis. These chapters cover the essentials of Ito's theory of stochastic integration, integration with respect to semimartingales, Girsanov's Theorem, and a brief introduction to stochastic differential equations. Subsequent chapters treat more specialized topics, including option pricing in discrete time, continuous time trading, arbitrage, complete markets, European options (Black and Scholes Theory), American options, Russian options, discrete approximations, and asset pricing with stochastic volatility. In several chapters, new results are presented. A unique feature of the book is its emphasis on arbitrage, in particular, the relationship between arbitrage and equivalent martingale measures (EMM), and the derivation of necessary and sufficient conditions for no arbitrage (NA). is intended for students and researchers in statistics, applied mathematics, business, or economics, who have a background in measure theory and have completed probability theory at the intermediate level. The work lends itself to self-study, as well as to a one-semester course at the graduate level.

Anbieter: Orell Fuessli CH

Stand: 23.10.2020 Zum Angebot

Stand: 23.10.2020 Zum Angebot

82,99 € *

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Anbieter: Thalia AT

Stand: 23.10.2020 Zum Angebot

Stand: 23.10.2020 Zum Angebot