Both introductory surveys and results of individual research on a selection of six issues of modern finance form the content of this volume: The Hybrid Model and Related Approaches to Capital Market Equilibria Portfolio Decisions and Capital Market Equilibria under Incom plete Information (by Volker Firchau) Option Valuation: Theory and Empirical Evidence (by Robert Geske and Siegfried Trautmann) The Value of Security Agreements (by Bernd Rudolph) Asset Pricing in a Small Economy: A Test of the Omitted Assets Model (by Eduardo S. Schwartz and Michael J. Brennan) The Simple Analytics of…mehr
Both introductory surveys and results of individual research on a selection of six issues of modern finance form the content of this volume: The Hybrid Model and Related Approaches to Capital Market Equilibria Portfolio Decisions and Capital Market Equilibria under Incom plete Information (by Volker Firchau) Option Valuation: Theory and Empirical Evidence (by Robert Geske and Siegfried Trautmann) The Value of Security Agreements (by Bernd Rudolph) Asset Pricing in a Small Economy: A Test of the Omitted Assets Model (by Eduardo S. Schwartz and Michael J. Brennan) The Simple Analytics of Arbitrage. The main idea was to help students in their work and to provide material for seminars. The book originated from a cooperation between the authors coming from the USA, Canada, and West Germany. Support was granted by the Allianz Lebensversicherung Stuttgart, the Badenia Bausparkasse Karlsruhe, the Landeszentralbank in Baden-Wurttemberg, and the Stifterverband fUr die Deutsche Wirtschaft. Finally, we want to express our thanks to Birgit Emmrich for her help during the different stages of manuscript preparation, and, last but not least, to Werner A. Muller from the Springer-Verlag for the readiness to publish our volume.
Prof. Dr. Dr. h.c. Günter Bamberg ist Inhaber des Lehrstuhls für Statistik der Universität Augsburg. Seine Arbeits- und Interessengebiete sind Statistik, Ökonometrie, Operations Research und Wirtschaftstheorie.
Prof. Dr. Klaus Spremann ist Direktor am Schweizerischen Institut für Banken und Finanzen (seit 1990). Er studierte Mathematik an der TU München: 1972 Dipl.-Math., 1973 Promotion zum Dr.rer.nat.; Habilitation 1975 an der wirtschaftswissenschaftlichen Fakultät der Universität Karlsruhe. Von 1977-90 war SPREMANN Professor für Wirtschaftswissenschaften im Studiengang Wirtschaftsmathematik an der Universität Ulm. Gastprofessuren an der University of British Columbia in Vancouver B.C. (1982), der National Taiwan University in Taipeh (1987), der Universität Innsbruck (2004). Zwei Jahre (1993-94) HongkongBank Professor of International Finance an der University of Hong Kong.
Prof. Dr. Klaus Spremann ist Direktor am Schweizerischen Institut für Banken und Finanzen (seit 1990). Er studierte Mathematik an der TU München: 1972 Dipl.-Math., 1973 Promotion zum Dr.rer.nat.; Habilitation 1975 an der wirtschaftswissenschaftlichen Fakultät der Universität Karlsruhe. Von 1977-90 war SPREMANN Professor für Wirtschaftswissenschaften im Studiengang Wirtschaftsmathematik an der Universität Ulm. Gastprofessuren an der University of British Columbia in Vancouver B.C. (1982), der National Taiwan University in Taipeh (1987), der Universität Innsbruck (2004). Zwei Jahre (1993-94) HongkongBank Professor of International Finance an der University of Hong Kong.
Inhaltsangabe
Prologue.- 1. Equilibrium versus Market Imperfections.- 2. Questions and Answers.- The Hybrid Model and Related Approaches to Capital Market Equilibria.- 1. Introduction.- 2. Portfolio Models Based on Different Sets of Parameters.- 2.1 One-Parameter Models.- 2.2 Two-Parameter Models: Mean-Semivariance Approach.- 2.3 Other Two-Parameter Approaches.- 2.4 Extensions to Three or More Parameters.- 3. Rationale of the Hybrid Model.- 3.1 Consistency of the Mean-Variance Approach with Expected Utility and Stochastic Dominance.- 3.2 Explicit Solutions of the Portfolio Problem.- 3.3 Explicit Solutions of the Equilibrium Conditions.- 3.4 Which Mean-Variance Approaches Provide Explicit Solutions?.- 4. Applications of the Hybrid Model.- 4.1 Consideration of Income Taxation.- 4.2 Heterogeneous Expectations.- 4.3 Restrictions on Short Sales.- 4.4 Some Other Market Imperfections.- 5. Appendix.- 5.1 Proof of Theorem 4.- 5.2 Solution of Partial Differential Equation (31).- References.- Portfolio Decisions and Capital Market Equilibria Under Incomplete Information.- 1. Introduction.- 2. Risk Situation with Regard to the Prior Parameters: A Two-Level Bayes Approach.- 3. Risk Situation with Regard to the Prior Parameters: Lin's Approach.- 4. Partial Uncertainty with Regard to the Prior Parameters.- 5. Asset Pricing under Uncertainty.- References.- Option Valuation: Theory and Empirical Evidence.- 1. Introduction.- 2. Option Valuation Theory.- 2.1 Preference and Distribution-Free Results.- 2.1.1 Call Options.- 2.1.2 Put Options.- 2.1.3 Relations Between Puts and Calls.- 2.1.4 Additional Arbitrage Restrictions.- 2.2 Distributional Assumptions and Hedging Models.- 2.2.1 Hedge Portfolios.- 2.2.2 The Classical Black-Scholes Model.- 2.2.3 A Brief Description of Other Option Valuation Models.- 2.2.4 Analytic Models For American Calls and Puts.- 2.3 Preference Assumptions and Non-Hedging Models.- 2.4 New Option Instruments.- 2.5 Applications of Option Theory.- 3. Empirical Tests of Option Valuation.- 3.1 Test of Boundary Conditions Among an Individual Equity Option and the Underlying Stock.- 3.2 Test of Boundary Conditions Among Different Equity Options and the Underlying Stock.- 3.3 Tests of Equity Option Pricing Models.- 3.3.1 Results of Robustness Tests.- 3.3.2 Results of Predictability Tests.- 3.3.3 Results of Unbiasedness Tests.- 3.3.4 Results of Hedge Return Behavior Tests.- 3.4 Tests of New Option Instruments.- 3.5 Estimation Problems.- 4. Appendix: Formulae for the Evaluation of European Calls.- References.- The Value of Security Agreements.- 1. A Survey of Credit Support Decision Models.- 1.1 Credit Decisions in a Restricted Capital Market.- 1.2 Market Uncertainty.- 1.3 Credit Support Decisions with Event Uncertainty.- 2. Neoclassical Theory and Secured Debt.- 2.1 The Basic Approach.- 2.2 Secured Debt and Capital Market Equilibrium.- 2.3 Collateral Policy and Non-Market-Value Debt Claims.- 3. The Theory of Credit Support Decisions in the Light of the Economics of Information.- 3.1 Collaterals as a Tool to Limit the Creditability Risk.- 3.2 Contemporaneous Examination of Credit Standing Risk and Credit Reliability Risk.- 3.2.1 Changing the Dividend Policy.- 3.2.2 Changing the Credit Policy.- 3.2.3 Changing the Investment Policy.- 4. A Scheme of Credit Contract Covenants.- 4.1 Credit Contract Covenants.- 4.2 Covenants Referring Indirectly to Means of Payment.- 4.2.1 Special Obligations of the Debtors.- 4.2.2 Special Rights of the Creditors.- 4.3 Claims of Creditors which Refer to Means of Payment.- 5. The Efficiency of Securing Debt.- 6. Appendix: Secured Debt and Uncertainty.- 6.1 The Firm's Position.- 6.2 Derivation of the Value of Secured Debt.- 6.3 Market Value of the Debt in Dependence of its Collateral Policy.- 6.4 The Maximization of the Market Value with Total Collateral Policy.- References.- Asset Pricing in a Small Economy: A Test of the Omitted Assets Model.- 1. Introduction.- 2. Portfolio Based Tests of Efficiency.- 3. Omitted Asset
Prologue.- 1. Equilibrium versus Market Imperfections.- 2. Questions and Answers.- The Hybrid Model and Related Approaches to Capital Market Equilibria.- 1. Introduction.- 2. Portfolio Models Based on Different Sets of Parameters.- 2.1 One-Parameter Models.- 2.2 Two-Parameter Models: Mean-Semivariance Approach.- 2.3 Other Two-Parameter Approaches.- 2.4 Extensions to Three or More Parameters.- 3. Rationale of the Hybrid Model.- 3.1 Consistency of the Mean-Variance Approach with Expected Utility and Stochastic Dominance.- 3.2 Explicit Solutions of the Portfolio Problem.- 3.3 Explicit Solutions of the Equilibrium Conditions.- 3.4 Which Mean-Variance Approaches Provide Explicit Solutions?.- 4. Applications of the Hybrid Model.- 4.1 Consideration of Income Taxation.- 4.2 Heterogeneous Expectations.- 4.3 Restrictions on Short Sales.- 4.4 Some Other Market Imperfections.- 5. Appendix.- 5.1 Proof of Theorem 4.- 5.2 Solution of Partial Differential Equation (31).- References.- Portfolio Decisions and Capital Market Equilibria Under Incomplete Information.- 1. Introduction.- 2. Risk Situation with Regard to the Prior Parameters: A Two-Level Bayes Approach.- 3. Risk Situation with Regard to the Prior Parameters: Lin's Approach.- 4. Partial Uncertainty with Regard to the Prior Parameters.- 5. Asset Pricing under Uncertainty.- References.- Option Valuation: Theory and Empirical Evidence.- 1. Introduction.- 2. Option Valuation Theory.- 2.1 Preference and Distribution-Free Results.- 2.1.1 Call Options.- 2.1.2 Put Options.- 2.1.3 Relations Between Puts and Calls.- 2.1.4 Additional Arbitrage Restrictions.- 2.2 Distributional Assumptions and Hedging Models.- 2.2.1 Hedge Portfolios.- 2.2.2 The Classical Black-Scholes Model.- 2.2.3 A Brief Description of Other Option Valuation Models.- 2.2.4 Analytic Models For American Calls and Puts.- 2.3 Preference Assumptions and Non-Hedging Models.- 2.4 New Option Instruments.- 2.5 Applications of Option Theory.- 3. Empirical Tests of Option Valuation.- 3.1 Test of Boundary Conditions Among an Individual Equity Option and the Underlying Stock.- 3.2 Test of Boundary Conditions Among Different Equity Options and the Underlying Stock.- 3.3 Tests of Equity Option Pricing Models.- 3.3.1 Results of Robustness Tests.- 3.3.2 Results of Predictability Tests.- 3.3.3 Results of Unbiasedness Tests.- 3.3.4 Results of Hedge Return Behavior Tests.- 3.4 Tests of New Option Instruments.- 3.5 Estimation Problems.- 4. Appendix: Formulae for the Evaluation of European Calls.- References.- The Value of Security Agreements.- 1. A Survey of Credit Support Decision Models.- 1.1 Credit Decisions in a Restricted Capital Market.- 1.2 Market Uncertainty.- 1.3 Credit Support Decisions with Event Uncertainty.- 2. Neoclassical Theory and Secured Debt.- 2.1 The Basic Approach.- 2.2 Secured Debt and Capital Market Equilibrium.- 2.3 Collateral Policy and Non-Market-Value Debt Claims.- 3. The Theory of Credit Support Decisions in the Light of the Economics of Information.- 3.1 Collaterals as a Tool to Limit the Creditability Risk.- 3.2 Contemporaneous Examination of Credit Standing Risk and Credit Reliability Risk.- 3.2.1 Changing the Dividend Policy.- 3.2.2 Changing the Credit Policy.- 3.2.3 Changing the Investment Policy.- 4. A Scheme of Credit Contract Covenants.- 4.1 Credit Contract Covenants.- 4.2 Covenants Referring Indirectly to Means of Payment.- 4.2.1 Special Obligations of the Debtors.- 4.2.2 Special Rights of the Creditors.- 4.3 Claims of Creditors which Refer to Means of Payment.- 5. The Efficiency of Securing Debt.- 6. Appendix: Secured Debt and Uncertainty.- 6.1 The Firm's Position.- 6.2 Derivation of the Value of Secured Debt.- 6.3 Market Value of the Debt in Dependence of its Collateral Policy.- 6.4 The Maximization of the Market Value with Total Collateral Policy.- References.- Asset Pricing in a Small Economy: A Test of the Omitted Assets Model.- 1. Introduction.- 2. Portfolio Based Tests of Efficiency.- 3. Omitted Asset
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