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Financial Modelling with Forward-looking Information

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This book focuses on modelling financial information flows and information-based asset pricing framework. After introducing the fu... Weiterlesen
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Beschreibung

This book focuses on modelling financial information flows and information-based asset pricing framework. After introducing the fundamental properties of the framework, it presents a short information-theoretic perspective with a view to quantifying the information content of financial signals, and links the present framework with the literature on asymmetric information and market microstructure by means of a dynamic, bipartite, heterogeneous agent network. Numerical and explicit analyses shed light on the effects of differential information and information acquisition on the allocation of profit and loss as well as the pace of fundamental price discovery. The dynamic programming method is used to seek an optimal strategy for utilizing superior information. Lastly, the book features an implementation of the present framework using real-world financial data.

Dr. Nadi Serhan Aydn, FRM, is a graduate of the Institute of Applied Mathematics at Middle East Technical University and a lecturer at TED University in Ankara, Turkey. Formerly, he was a research fellow at Imperial College London and served as a senior research economist in an intergovernmental organization. His research interest lies in financial mathematics, risk management, stochastic & digital filtering, market microstructure, and frequency-domain analysis.

Autorentext
Dr. Nadi Serhan Aydn, FRM, is a graduate of the Institute of Applied Mathematics at Middle East Technical University and a lecturer at TED University in Ankara, Turkey. Formerly, he was a research fellow at Imperial College London and served as a senior research economist in an intergovernmental organization. His research interest lies in financial mathematics, risk management, stochastic & digital filtering, market microstructure, and frequency-domain analysis.

Produktinformationen

Titel: Financial Modelling with Forward-looking Information
Untertitel: An Intuitive Approach to Asset Pricing
Autor:
EAN: 9783319571478
ISBN: 978-3-319-57147-8
Digitaler Kopierschutz: Wasserzeichen
Format: E-Book (pdf)
Herausgeber: Springer
Genre: Wirtschaft
Anzahl Seiten: 98
Veröffentlichung: 12.06.2017
Jahr: 2017
Untertitel: Englisch
Dateigrösse: 3.1 MB

Weitere Bände aus der Buchreihe "Contributions to Management Science"