By Cheng-Few Lee

This study annual book intends to assemble funding research and portfolio conception and their implementation to portfolio administration. It seeks theoretical and empirical learn manuscripts with prime quality within the zone of funding and portfolio research. The contents will encompass unique learn on: the foundations of portfolio administration of equities and fixed-income securities. The evaluate of portfolios (or mutual cash) of universal shares, bonds, overseas resources, and strategies. The dynamic technique of portfolio administration. ideas of overseas investments and portfolio administration. The purposes of priceless and significant analytical thoughts comparable to arithmetic, econometrics, information, and desktops within the box of funding and portfolio administration. Theoretical study on the topic of techniques and futures. furthermore, it additionally includes articles that current and think about new and significant accounting, monetary, and fiscal info for handling and comparing portfolios of dicy resources.

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Additional resources for Advances in Investment Analysis and Portfolio Management, Volume 8, Volume 8

Example text

For details of this procedure, we refer the reader to Chriss (1997). However, the above procedure can not be applied to price discretely observed American knock-in put option because the price of the American knock-in put on the knock-in boundary is not equal to the price of the American put for the non-observed time points. In contrast, since path function is recorded in our method, it is very flexible to price discretely observed American-style complex (such as timevarying) barrier options. The plan of this paper is as follows.

The Pricing of Options and Corporate Liabilities. Journal of Political Economy, 18, 637–659. Boyle, P. (1988). A Lattice Framework for Option Pricing with Two State Variables. Journal of Financial and Quantitative Analysis, 23, 1–12. , & Lau, S. H. (1994). Bumping Up Against the Barrier with the Binominal Model. Journal of Derivatives, Summer, 6–14. Cheuk, T. H. , & Vorst, T. C. F. (1996). Complex Barrier Options. Journal of Derivatives, Fall, 8–22. Cheuk, T. H. , & Vorst, T. C. F. (1997). Currency Lookback Options and Observation Frequency: A Binominal Approach.

Stock Returns and Inflation with Supply and Demand Disturbances. Review of Financial Studies, 12, 1203–1218. , & Partch, M. (1985). A VARMA Analysis of the Causal Relations among Stock Returns, Real Output, and Nominal Interest Rates. Journal of Finance, 40, 1375–1384. Johansen, S. (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12, 231–254. Johansen, S. (1992). Determination of Cointegration Rank in the Presence of a Linear Trend. Oxford Bulletin of Economics and Statistics, 54, 383–397.

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