{"product_id":"financial-market-analysis-isbn-9780471877288","title":"Financial Market Analysis","description":"The eagerly awaited second edition of this highly successful book has been greatly expanded from 400 to over 700 pages and contains new material on value at risk, speculative bubbles, volatility effects in financial markets, chaos and neural networks.\u003cbr\u003e Financial Market Analysis deals with the composition of financial markets and the analysis and valuation of traded securities. It describes the use of securities both in constructing and managing portfolios and in contributing to portfolio performance. Particular attention is paid to new types of investment product, different portfolio management strategies, speculation, arbitrage and risk management strategies and to financial market failure.\u003cbr\u003e Financial Market Analysis is an essential text for all finance-related degree courses at undergraduate, postgraduate, and MBA level. It also provides a useful source of reference for financial institutions and professionals in the financial markets.Die moderne Finanztheorie trifft bestimmte Voraussagen, wie ein effizient organisiertes Finanzsystems funktionieren soll. 'Financial Market Analysis' hat in Anlehnung an die moderne Finanztheorie eine aktualisierte, fundierte Analyse der Finanzmärkte durchgeführt. Dieser Band gibt Ihnen die Mittel an die Hand, das Resultat dieser Voraussagen in der Praxis zu bewerten. David Blake, Dozent für Finanzwirtschaft am Birkbeck Colloge der Universität London, erläutert, wie Wertpapiere auf Basis der modernen Finanztheorie organisiert und verwaltet werden sollten. Er vergleicht die Theorie mit der tatsächlichen Praxis von Wertpapieranalyse und -bewertung sowie von Portfoliogestaltung und -management, um festzustellen, inwieweit Theorie und Praxis übereinstimmen bzw. sich Theorie in die Praxis umsetzen läßt.\u003cbr\u003e Diese komplett überarbeitete und erweiterte Auflage deckt alle Bereiche und Aspekte der modernen Finanztheorie ab, einschließlich ihrer Konsequenzen. Neueste Entwicklungen in der Literatur (z.B. Risikowerte, spekulative Aufblähung von Kursen, Volatilitätseffekte in Finanzmärkten, Chaos, neuronale Netze) werden ebenso erläutert wie die verschiedenen Finanzinstrumente und ihre Anwendung. Dies ist das einzige Lehrbuch auf dem Markt, das insbesondere britische Finanzmärkte berücksichtigt. Es schließt damit eine große Lücke zwischen hochspezialisierten Finanzfachbüchern und beschreibender, erklärender Literatur im institutionellen Finanzwesen. (11\/99) \u003cp\u003ePreface xix\u003c\/p\u003e \u003cp\u003eAbbreviations xxi\u003c\/p\u003e \u003cp\u003e\u003cb\u003eI Introduction to Financial Markets 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e1 The Financial System 5\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1.1 Participants 5\u003c\/p\u003e \u003cp\u003e1.1.1 End-users of the financial system 5\u003c\/p\u003e \u003cp\u003e1.1.2 General financial intermediaries 7\u003c\/p\u003e \u003cp\u003e1.1.3 Specialist financial intermediaries 12\u003c\/p\u003e \u003cp\u003e1.1.4 Market-makers 16\u003c\/p\u003e \u003cp\u003e1.2 Securities 16\u003c\/p\u003e \u003cp\u003e1.3 Markets 20\u003c\/p\u003e \u003cp\u003e1.3.1 The classification of financial markets 20\u003c\/p\u003e \u003cp\u003e1.3.2 Financial markets in the UK 25\u003c\/p\u003e \u003cp\u003e1.4 Trading arrangements 38\u003c\/p\u003e \u003cp\u003e1.4.1 Types of order 39\u003c\/p\u003e \u003cp\u003e1.4.2 Types of account 39\u003c\/p\u003e \u003cp\u003e1.4.3 Stock borrowing agreements 41\u003c\/p\u003e \u003cp\u003e1.4.4 Clearing and settlement of trades 42\u003c\/p\u003e \u003cp\u003e1.4.5 Official intervention in markets 43\u003c\/p\u003e \u003cp\u003e1.5 Regulation 44\u003c\/p\u003e \u003cp\u003e1.6 The financial system in a temporal context 51\u003c\/p\u003e \u003cp\u003e1.6.1 The recent past: the Big Bang of October 1986 51\u003c\/p\u003e \u003cp\u003e1.6.2 The near future 53\u003c\/p\u003e \u003cp\u003eAppendix: The City Research Project 1991-95 69\u003c\/p\u003e \u003cp\u003e\u003cb\u003e2 The market determination of discount rates 79\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2.1 The price of time and risk 79\u003c\/p\u003e \u003cp\u003e2.2 The expected real interest rate 80\u003c\/p\u003e \u003cp\u003e2.3 The expected inflation rate 82\u003c\/p\u003e \u003cp\u003e2.4 The expected liquidity premium 83\u003c\/p\u003e \u003cp\u003e2.5 The expected risk premium 84\u003c\/p\u003e \u003cp\u003e2.6 Interest rates and discount rates 87\u003c\/p\u003e \u003cp\u003e\u003cb\u003e3 Financial arithmetic 89\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e3.1 Future values: single payments 89\u003c\/p\u003e \u003cp\u003e3.1.1 Simple interest 89\u003c\/p\u003e \u003cp\u003e3.1.2 Compound interest: annual compounding 90\u003c\/p\u003e \u003cp\u003e3.1.3 Compound interest: more frequent compounding 90\u003c\/p\u003e \u003cp\u003e3.1.4 Flat and effective rates of interest 92\u003c\/p\u003e \u003cp\u003e3.2 Present values: single payments 92\u003c\/p\u003e \u003cp\u003e3.2.1 Present value: annual discounting 92\u003c\/p\u003e \u003cp\u003e3.2.2 Present values: more frequent discounting 93\u003c\/p\u003e \u003cp\u003e3.3 Future values: multiple payments 93\u003c\/p\u003e \u003cp\u003e3.3.1 Irregular payments 93\u003c\/p\u003e \u003cp\u003e3.3.2 Regular payments: annual payments with annual compounding 94\u003c\/p\u003e \u003cp\u003e3.3.3 Regular payments: annual payments with more frequent compounding 95\u003c\/p\u003e \u003cp\u003e3.3.4 Regular payments: more frequent payments and compounding 96\u003c\/p\u003e \u003cp\u003e3.4 Present values: multiple payments 96\u003c\/p\u003e \u003cp\u003e3.4.1 Irregular payments 96\u003c\/p\u003e \u003cp\u003e3.4.2 Regular payments: annual payments with annual discounting 97\u003c\/p\u003e \u003cp\u003e3.4.3 Regular payments: annual payments with more frequent discounting 97\u003c\/p\u003e \u003cp\u003e3.4.4 Regular payments: more frequent payments and discounting 98\u003c\/p\u003e \u003cp\u003e3.4.5 Perpetuities 100\u003c\/p\u003e \u003cp\u003e3.5 Rates of return 100\u003c\/p\u003e \u003cp\u003e3.5.1 Single-period rale of return 100\u003c\/p\u003e \u003cp\u003e3.5.2 Internal rate of return or money-weighted rate of return 101\u003c\/p\u003e \u003cp\u003e3.5.3 Time-weighted rate of return or geometric mean rate of return 103\u003c\/p\u003e \u003cp\u003eAppendix: A simple iterative method for calculating internal rates of return 104\u003c\/p\u003e \u003cp\u003e\u003cb\u003eII The Analysis and Valuation of Securities 107\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e4 Monty market securities 111\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4.1 Securities quoted on a yield basis 112\u003c\/p\u003e \u003cp\u003e4.1.1 Money market deposits 112\u003c\/p\u003e \u003cp\u003e4.1.2 Negotiable certificates of deposit 113\u003c\/p\u003e \u003cp\u003e4.2 Securities quoted on a discount basis 116\u003c\/p\u003e \u003cp\u003e4.3 Recent innovations 120\u003c\/p\u003e \u003cp\u003e\u003cb\u003e5 Bonds 123\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5.1 Types of bond 123\u003c\/p\u003e \u003cp\u003e5.2 The fair pricing of bonds 127\u003c\/p\u003e \u003cp\u003e5.3 Clean and dirty bond prices 128\u003c\/p\u003e \u003cp\u003e5.4 Yield measures on bonds 129\u003c\/p\u003e \u003cp\u003e5.4.1 Current yield 130\u003c\/p\u003e \u003cp\u003e5-4.2 Simple yield to maturity 131\u003c\/p\u003e \u003cp\u003e5.4.3 Yield to maturity 131\u003c\/p\u003e \u003cp\u003e5.4.4 Holding-period yield 135\u003c\/p\u003e \u003cp\u003e5.4.5 Yield to par 135\u003c\/p\u003e \u003cp\u003e5.4.6 Yield to call and yield to put 135\u003c\/p\u003e \u003cp\u003e5.4.7 Yield to average life and yield to equivalent life 136\u003c\/p\u003e \u003cp\u003e5.4.8 Index-linked yields 138\u003c\/p\u003e \u003cp\u003e5.5 Yield curves 141\u003c\/p\u003e \u003cp\u003e5.5.1 The yield to maturity yield curve 142\u003c\/p\u003e \u003cp\u003e5.5.2 The coupon yield curve 142\u003c\/p\u003e \u003cp\u003e5.5.3 The par yield curve 142\u003c\/p\u003e \u003cp\u003e5.5.4 The spot (or zero-coupon) yield curve 144\u003c\/p\u003e \u003cp\u003e5.5.5 The forward yield curve 146\u003c\/p\u003e \u003cp\u003e5.5.6 The annuity yield curve 150\u003c\/p\u003e \u003cp\u003e5.5.7 Rolling yield curve 150\u003c\/p\u003e \u003cp\u003e5.6 Theories of the yield curve 152\u003c\/p\u003e \u003cp\u003e5.6.1 The expectations hypothesis 152\u003c\/p\u003e \u003cp\u003e5.6.2 The liquidity preference theory 153\u003c\/p\u003e \u003cp\u003e5.6.3 The segmentation or preferred habitat theory 154\u003c\/p\u003e \u003cp\u003e5.7 Fitting the yield curve 154\u003c\/p\u003e \u003cp\u003e5.7.1 Polynomial curve fitting 154\u003c\/p\u003e \u003cp\u003e5.7.2 Regression analysis 155\u003c\/p\u003e \u003cp\u003e5.7.3 Matrix modelling 156\u003c\/p\u003e \u003cp\u003e5.8 Interest rate risk 158\u003c\/p\u003e \u003cp\u003e5.8.1 Duration 158\u003c\/p\u003e \u003cp\u003e5.8.2 Convexity 164\u003c\/p\u003e \u003cp\u003e5.8.3 Dispersion 166\u003c\/p\u003e \u003cp\u003e5.9 Floating rate notes 166\u003c\/p\u003e \u003cp\u003e5.10 Recent innovations: the gilt repurchase market 170\u003c\/p\u003e \u003cp\u003e\u003cb\u003e6 Shares 181\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e6.1 Types of share in the firm 181\u003c\/p\u003e \u003cp\u003e6.2 The financial structure of the firm 183\u003c\/p\u003e \u003cp\u003e6.2.1 The income statement and statement of retained earnings 183\u003c\/p\u003e \u003cp\u003e6.2.2 Inflation accounting 184\u003c\/p\u003e \u003cp\u003e6.2.3 Depreciation 184\u003c\/p\u003e \u003cp\u003e6.2.4 Corporation tax and corporate capital gains tax 185\u003c\/p\u003e \u003cp\u003e6.2.5 The effect of accounting conventions on reported earnings 188\u003c\/p\u003e \u003cp\u003e6.2.6 The balance sheet 190\u003c\/p\u003e \u003cp\u003e6.3 The fair pricing of shares 192\u003c\/p\u003e \u003cp\u003e6.3.1 Valuation based on expected dividends 192\u003c\/p\u003e \u003cp\u003e6.3.2 Valuation based on expected earnings 194\u003c\/p\u003e \u003cp\u003e6.4 Dividend policy 196\u003c\/p\u003e \u003cp\u003e6.5 Earnings analysis 198\u003c\/p\u003e \u003cp\u003e6.5.1 Constant or normal growth models 198\u003c\/p\u003e \u003cp\u003e6.5.2 Differential growth models 201\u003c\/p\u003e \u003cp\u003e6.5.3 Forecasting earnings 205\u003c\/p\u003e \u003cp\u003e6.6 The value of the firm: the effect of leverage 206\u003c\/p\u003e \u003cp\u003e\u003cb\u003e7 Foreign currency 215\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e7.1 The foreign exchange market 215\u003c\/p\u003e \u003cp\u003e7.1.1 Spot foreign exchange transactions 216\u003c\/p\u003e \u003cp\u003e7.1.2 Forward foreign exchange transactions 219\u003c\/p\u003e \u003cp\u003e7.2 Exchange rate risk 222\u003c\/p\u003e \u003cp\u003e7.3 Covering foreign exchange transactions 226\u003c\/p\u003e \u003cp\u003e7.3.1 Covering forward transactions 226\u003c\/p\u003e \u003cp\u003e7.3.2 Covering spot transactions 228\u003c\/p\u003e \u003cp\u003e7.4 The fair pricing of foreign currency 230\u003c\/p\u003e \u003cp\u003e7.4.1 Consistent cross exchange rates 230\u003c\/p\u003e \u003cp\u003e7.4.2 Purchasing power parity 231\u003c\/p\u003e \u003cp\u003e7.4.3 International Fisher effect 234\u003c\/p\u003e \u003cp\u003e7.4.4 Covered interest rate parity 235\u003c\/p\u003e \u003cp\u003e7.4.5 Uncovered interest rale parity 236\u003c\/p\u003e \u003cp\u003e\u003cb\u003e8 Forwards and futures 239\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e8.1 Forward and futures contracts 239\u003c\/p\u003e \u003cp\u003e8.1.1 Forward contracts 239\u003c\/p\u003e \u003cp\u003e8.1.2 Futures contracts 240\u003c\/p\u003e \u003cp\u003e8.2 Financial futures contracts 244\u003c\/p\u003e \u003cp\u003e8.2.1 Short-term interest rale futures 247\u003c\/p\u003e \u003cp\u003e8.2.2 Long-term interest rate futures 250\u003c\/p\u003e \u003cp\u003e8.2.3 Currency futures 257\u003c\/p\u003e \u003cp\u003e8.2.4 Stock index futures 257\u003c\/p\u003e \u003cp\u003e8.3 The fair pricing of forward and financial futures contracts 260\u003c\/p\u003e \u003cp\u003e8.3.1 Fair pricing with no uncertainty 260\u003c\/p\u003e \u003cp\u003e8.3.2 Futures prices and expected spot prices 262\u003c\/p\u003e \u003cp\u003e8.3.3 Fair pricing of the short-term interest rate contract 263\u003c\/p\u003e \u003cp\u003e8.3.4 Fair pricing of the long-term interest rate contract 264\u003c\/p\u003e \u003cp\u003e8.3.5 Fair pricing of the currency contract 266\u003c\/p\u003e \u003cp\u003e8.3.6 Fair pricing of the stock index contract 267\u003c\/p\u003e \u003cp\u003e\u003cb\u003e9 Options, warrants and convertibles 273\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e9.1 Option contracts 273\u003c\/p\u003e \u003cp\u003e9.2 Option combinations 277\u003c\/p\u003e \u003cp\u003e9.3 Financial options contracts 283\u003c\/p\u003e \u003cp\u003e9.3.1 Equity options 288\u003c\/p\u003e \u003cp\u003e9.3.2 Interest-rate options 291\u003c\/p\u003e \u003cp\u003e9.3.3 Currency options 297\u003c\/p\u003e \u003cp\u003e9.3.4 Stock index options 297\u003c\/p\u003e \u003cp\u003e9.3.5 Restricted-life traded options 301\u003c\/p\u003e \u003cp\u003e9.3.6 Traditional options 302\u003c\/p\u003e \u003cp\u003e9.3.7 Over-the-counter options 302\u003c\/p\u003e \u003cp\u003e9.4 The fair pricing of options contracts 303\u003c\/p\u003e \u003cp\u003e9.4.1 Factors influencing the premium 303\u003c\/p\u003e \u003cp\u003e9.4.2 Boundary conditions for options 304\u003c\/p\u003e \u003cp\u003e9.4.3 The binomial model of the fair European call option price 309\u003c\/p\u003e \u003cp\u003e9.4.4 The Black-Scholes model of die fair European call option price 312\u003c\/p\u003e \u003cp\u003e9.4.5 Properties of the Black-Scholes model: the Greeks 316\u003c\/p\u003e \u003cp\u003e9.4.6 Pricing a European put option 321\u003c\/p\u003e \u003cp\u003e9.4.7 Modifications to the Black-Scholes model 322\u003c\/p\u003e \u003cp\u003e9.5 Exotic options 327\u003c\/p\u003e \u003cp\u003e9.6 Warrants and convertibles 334\u003c\/p\u003e \u003cp\u003e9.6.1 Warrants 334\u003c\/p\u003e \u003cp\u003e9.6.2 Convertibles 336\u003c\/p\u003e \u003cp\u003eAppendix A: Accounting issues with options and futures contracts 338\u003c\/p\u003e \u003cp\u003eAppendix B: Taxation issues with options and futures contracts 340\u003c\/p\u003e \u003cp\u003eAppendix C: Standard normal distribution table 342\u003c\/p\u003e \u003cp\u003e\u003cb\u003e10 Synthetic securities 349\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e10.1 The basic building blocks of synthetic securities 349\u003c\/p\u003e \u003cp\u003e10.2 Synthetic options and futures 352\u003c\/p\u003e \u003cp\u003e10.3 Swaps 357\u003c\/p\u003e \u003cp\u003e10.3.1 Interest rate swaps 358\u003c\/p\u003e \u003cp\u003e10.3.2 Basis swaps 363\u003c\/p\u003e \u003cp\u003e10.3.3 Currency swaps 363\u003c\/p\u003e \u003cp\u003e10.3.4 Asset swaps 369\u003c\/p\u003e \u003cp\u003e10.3.5 More esoteric swaps 370\u003c\/p\u003e \u003cp\u003e10.3.6 The risks involved in swaps 371\u003c\/p\u003e \u003cp\u003e10.3.7 The uses of swaps 372\u003c\/p\u003e \u003cp\u003e10.4 Forward rate agreements 373\u003c\/p\u003e \u003cp\u003e10.5 Caps, floors and collars 375\u003c\/p\u003e \u003cp\u003e10.6 Bundled and unbundled securities 378\u003c\/p\u003e \u003cp\u003e10.6.1 Bundled securities 378\u003c\/p\u003e \u003cp\u003e10.6.2 Unbundled securities 380\u003c\/p\u003e \u003cp\u003e\u003cb\u003eIII Portfolio Analysis, Management and Performance Measurement 385\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e11 Market efficiency: theory and evidence 389\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e11.1 Allocative operational and informational efficiency 389\u003c\/p\u003e \u003cp\u003e11.2 The EMH the fair game model and random walk 390\u003c\/p\u003e \u003cp\u003e11.3 The EMH and information 392\u003c\/p\u003e \u003cp\u003e11.4 The EMH and an information-efficient equilibrium 393\u003c\/p\u003e \u003cp\u003e11.5 Tests of the efficient markets hypothesis 394\u003c\/p\u003e \u003cp\u003e11.5.1 Evidence favouring the efficient markets hypothesis 394\u003c\/p\u003e \u003cp\u003e11.5.2 Evidence against the efficient markets hypothesis 398\u003c\/p\u003e \u003cp\u003e11.5.3 Are the financial markets efficient? 405\u003c\/p\u003e \u003cp\u003e\u003cb\u003e12 Speculation and arbitrage 415\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e12.1 Speculation 415\u003c\/p\u003e \u003cp\u003e12.1.1 The process of speculation 415\u003c\/p\u003e \u003cp\u003e12.1.2 Trading strategies with futures 417\u003c\/p\u003e \u003cp\u003e12.1.3 Trading strategies with options 426\u003c\/p\u003e \u003cp\u003e12.2 Arbitrage 434\u003c\/p\u003e \u003cp\u003e12.2.1 The process of arbitrage 434\u003c\/p\u003e \u003cp\u003e12.2.2 Arbitrage strategies with futures 435\u003c\/p\u003e \u003cp\u003e12.2.3 Arbitrage strategies with options 439\u003c\/p\u003e \u003cp\u003eAppendix A: The collapse of Barings Bank 441\u003c\/p\u003e \u003cp\u003eAppendix B: Technical analysis 444\u003c\/p\u003e \u003cp\u003e\u003cb\u003e13 Portfolio analysis and asset pricing 461\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e13.1 Portfolio analysis 461\u003c\/p\u003e \u003cp\u003e13.1.1 Choice under uncertainty: the consumption of risk and return 461\u003c\/p\u003e \u003cp\u003e13.1.2 Portfolios under uncertainty: the production of risk and return 465\u003c\/p\u003e \u003cp\u003e13.1.3 Diversification 468\u003c\/p\u003e \u003cp\u003e13.1.4 The minimum standard deviation portfolio opportunity set and the efficient set 474\u003c\/p\u003e \u003cp\u003e13.1.5 The efficient set when there is a riskless security 476\u003c\/p\u003e \u003cp\u003e13.1.6 Market equilibrium, portfolio optimally and the pricing of efficient portfolios 477\u003c\/p\u003e \u003cp\u003e13.1.7 Pricing inefficient portfolios and the decomposition of total risk 482\u003c\/p\u003e \u003cp\u003e13.2 Asset pricing 489\u003c\/p\u003e \u003cp\u003e13.2.1 The capital asset pricing model 489\u003c\/p\u003e \u003cp\u003e13.2.2 The multi-factor model 501\u003c\/p\u003e \u003cp\u003e13.2.3 The arbitrage pricing model 501\u003c\/p\u003e \u003cp\u003e\u003cb\u003e14 Portfolio management 511\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e14.1 The functions of portfolio management 511\u003c\/p\u003e \u003cp\u003e14.2 Assessing the investing client’s utility function 514\u003c\/p\u003e \u003cp\u003e14.3 Passive portfolio management 519\u003c\/p\u003e \u003cp\u003e14.3.1 Passive portfolio management for an expected utility-maximizing client 519\u003c\/p\u003e \u003cp\u003e14.3.2 Passive portfolio management for a safety-first client 521\u003c\/p\u003e \u003cp\u003e14.4 Active portfolio management and adjustment 528\u003c\/p\u003e \u003cp\u003e14.4.1 Active share portfolio management and adjustment 528\u003c\/p\u003e \u003cp\u003e14.4.2 Active treasury portfolio management 537\u003c\/p\u003e \u003cp\u003e14.4.3 Active bond portfolio management and adjustment 538\u003c\/p\u003e \u003cp\u003e14.5 Mixed active-passive portfolio management 542\u003c\/p\u003e \u003cp\u003e\u003ca href=\"http:\/\/i4.fi\/\"\u003e14.6\u003c\/a\u003e Investment management styles 544\u003c\/p\u003e \u003cp\u003e14.6.1 Traditional investment management 545\u003c\/p\u003e \u003cp\u003e14.6.2 Quantitative investment management 547\u003c\/p\u003e \u003cp\u003e14.7 Recent innovations: hedge funds and bear funds 548\u003c\/p\u003e \u003cp\u003eAppendix: Investment-Objectives Questionnaire 550\u003c\/p\u003e \u003cp\u003e\u003cb\u003e15 Portfolio performance measurement 559\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e15.1 The components of portfolio performance measurement 559\u003c\/p\u003e \u003cp\u003e15.1.1 Ex post returns 559\u003c\/p\u003e \u003cp\u003e15.1.2 Adjusting for risk 562\u003c\/p\u003e \u003cp\u003e15.1.3 Benchmarks of comparison 562\u003c\/p\u003e \u003cp\u003e15.2 Measures of portfolio performance 564\u003c\/p\u003e \u003cp\u003e15.2.1 Performance measures based on risk-adjusted excess returns 564\u003c\/p\u003e \u003cp\u003e15.2.2 Performance measures based on alpha values 567\u003c\/p\u003e \u003cp\u003e15.3 The decomposition of total return 570\u003c\/p\u003e \u003cp\u003e15.4 Treasury performance measurement 574\u003c\/p\u003e \u003cp\u003e15.5 Asset-liability managed portfolios 574\u003c\/p\u003e \u003cp\u003e15.6 Portfolios containing financial futures and options contracts 578\u003c\/p\u003e \u003cp\u003e15.6.1 Individual treatment of futures 578\u003c\/p\u003e \u003cp\u003e15.6.2 Individual treatment of options 579\u003c\/p\u003e \u003cp\u003e15.6.3 A worked example 580\u003c\/p\u003e \u003cp\u003e15.7 Performance measurement with multiple fund managers 586\u003c\/p\u003e \u003cp\u003e15.8 The Roll critique of performance measurement 588\u003c\/p\u003e \u003cp\u003e15.9 Evidence on the performance of fund managers 588\u003c\/p\u003e \u003cp\u003eAppendix: A note on the different uses of the geometric mean and the arithmetic mean 590\u003c\/p\u003e \u003cp\u003e\u003cb\u003e16 Hedging and efficient portfolio management 597\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e16.1 The objective of hedging 597\u003c\/p\u003e \u003cp\u003e16.2 Money market hedges 599\u003c\/p\u003e \u003cp\u003e16.3 Hedging using futures 601\u003c\/p\u003e \u003cp\u003e16.3.1 Hedging with short-term interest rate futures contracts 601\u003c\/p\u003e \u003cp\u003e16.3.2 Hedging with stock index futures contracts 604\u003c\/p\u003e \u003cp\u003e16.3.3 Hedging with long-term interest rate futures contracts 613\u003c\/p\u003e \u003cp\u003e16.3.4 Hedging with currency futures contracts 617\u003c\/p\u003e \u003cp\u003e16.4 Hedging using options 620\u003c\/p\u003e \u003cp\u003e16.4.1 Hedging with individual stock options contracts 621\u003c\/p\u003e \u003cp\u003e16.4.2 Hedging with stock index options contracts 627\u003c\/p\u003e \u003cp\u003e16.4.3 Hedging with short-term interest rale options contracts 630\u003c\/p\u003e \u003cp\u003e16.4.4 Hedging with long-term interest rate options contracts 631\u003c\/p\u003e \u003cp\u003e16.4.5 Hedging with currency options contracts 632\u003c\/p\u003e \u003cp\u003e16.5 Hedging with swaps and swaptions 633\u003c\/p\u003e \u003cp\u003e16.6 Hedging with FRAs 637\u003c\/p\u003e \u003cp\u003e16.7 Hedging with caps, floors and collars 637\u003c\/p\u003e \u003cp\u003e16.8 Portfolio insurance 638\u003c\/p\u003e \u003cp\u003e16.9 Efficient portfolio management 643\u003c\/p\u003e \u003cp\u003e\u003cb\u003eIV Postscript 655\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e17 The failure of financial markets 659\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e17.1 The anatomy of the crash 659\u003c\/p\u003e \u003cp\u003e17.2 The consequences of the crash 661\u003c\/p\u003e \u003cp\u003e17.3 The causes of the crash 663\u003c\/p\u003e \u003cp\u003e17.4 Conclusion 669\u003c\/p\u003e \u003cp\u003e\u003cb\u003e18 Recent developments in financial market analysis\u003c\/b\u003e \u003cb\u003e673\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e18.1 Value-at-risk analysis 673\u003c\/p\u003e \u003cp\u003e18.2 Speculative bubbles 676\u003c\/p\u003e \u003cp\u003e18.3 Volatility effects in financial markets 678\u003c\/p\u003e \u003cp\u003e18.4 Chaos 682\u003c\/p\u003e \u003cp\u003e18.5 Neural networks 693\u003c\/p\u003e  \u003cp\u003e\"This book is a valuable addition to the library of any student of finance.\" (\u003cem\u003eCIB News,\u003c\/em\u003e November 2000)   \u003c\/p\u003e\u003cp\u003e\u003cstrong\u003eDAVID BLAKE\u003c\/strong\u003e is Professor of Pension Economics and Director of the Pensions Institute at Cass Business School, London, and Chairman of Square Mile Consultants, a training and research consultancy. He was formerly Director of the Securities Industry Programme at City University Business School, Research Fellow at both the London Business School and the London School of Economics and Professor of Financial Economics at Birkbeck College, University of London. He is consultant to many organisations, including Merrill Lynch, Deutsche Bank, Union Bank of Switzerland, Paribas Capital Markets, McKinsey \u0026amp; Co., the Office of Fair Trading, the Office for National Statistics, the Government Actuary's Department, the National Audit Office, the Department for Work and Pensions, HM Treasury, the Bank of England, the Prime Minister's Policy Directorate and the World Bank. In June 1996, he established the Pensions Institute, which undertakes high-quality research on all pension-related issues and publishes details of its research activities on the internet.  Financial Market Analysis provides an up-to-date and authoritative analysis of financial markets from within the framework of modern finance theory. The eagerly awaited second edition of this highly successful book has been greatly expanded from 400 to over 700 pages and contains new material on value at risk, speculative bubbles, volatility effects in financial markets, chaos and neural networks. Financial Market Analysis deals with the composition of financial markets and the analysis and valuation of traded securities. It describes the use of securities both in constructing and managing portfolios and in contributing to portfolio performance. Particular attention is paid to new types of investment product, different portfolio management strategies, speculation, arbitrage and risk management strategies and to financial market failure. Financial Market Analysis is an essential text for all finance-related degree courses at undergraduate, postgraduate, and MBA level. It also provides a useful source of reference for financial institutions and professionals in the financial markets.\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47989211234533,"sku":"NP9780471877288","price":66.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780471877288.jpg?v=1761783225","url":"https:\/\/k12savings.com\/es\/products\/financial-market-analysis-isbn-9780471877288","provider":"K12savings","version":"1.0","type":"link"}