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利用者:Munasca

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自分が個人的に好きな論文 Fama and French 1992
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Modern portfolio theory and capital asset pricing model (CAPM)

-- mean-variance analysis and fundamental results

-- capital asset pricing model (CAPM)

-- measures of the efficiency of investment

-- early empirical researches of CAPM

-- zero-beta CAPM

Market anomalies

-- size anomaly

  • Banz, Rolf W. (1981), “The Relationship between Return and Market Value of Common Stocks”, Journal of Financial Economics 9 (1): 3-18, doi:10.1016/0304-405X(81)90018-0 

-- value anomaly

-- momentum anomaly

Post CAPM

-- intertemporal capital asset pricing model (ICAPM)

-- arbitrage pricing theory (APT)

-- Roll's critique

  • Roll, Richard (1977), “A Critique of the Asset Pricing Theory's Tests Part I: On Past and Potential Testability of the Theory”, Journal of Financial Economics 4 (2): 129-176, doi:10.1016/0304-405X(77)90009-5 

-- Fama-French three factor model

-- After Fama-French three factor model

Efficient market hypothesis

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Early results

Fama's researches

Shiller's challenges

Microfounded models

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Classic results

The equity premium puzzle and related topics

The excess volatility puzzle

CCAPM

-- Empirical failure of CCAPM

-- New type CCAPM

-- -- Habit formation

-- -- Epstein–Zin preference

-- -- Rare disaster models

-- -- Incomplete market models

-- -- Non-risk based explanations

Financial econometrics

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Generalized method of moments (GMM)

Co-integration

ARCH and GARCH models

-- ARCH model

-- GARCH model

  • Bollerslev, Tim (1986), “Generalized Autoregressive Conditional Heteroskedasticity”, Journal of Econometrics 31 (3): 307-327, doi:10.1016/0304-4076(86)90063-1 

-- -- EGARCH model

-- -- GJR GARCH model

-- -- Heston-Nandi model

  • Heston, Steven L.; Nandi, Saikat (2000), “A Closed-form GARCH Option Valuation Model”, The Review of Financial Studies 13 (3): 585-625, doi:10.1093/rfs/13.3.585 

-- multivariate GARCH model

Markov regime switching models

Market micro-structure models

Behavioral finance

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Information frictions

Psychological biases

Limits to arbitrage

Ambiguity aversion

-- Ellsberg paradox

-- maximin expected utility

-- non-additive measure

-- empirical literature

Mathematical finance and financial engineering

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Black - Scholes model

The fundamental theorems of asset pricing

  • Harrison, J. Michael; Kreps, David M. (1979), “Martingales and arbitrage in multiperiod securities markets”, Journal of Economic Theory 20 (3): 381-408, doi:10.1016/0022-0531(79)90043-7 
  • Harrison, J. Michael; Pliska, Stanley R. (1981), “Martingales and stochastic integrals in the theory of continuous trading”, Stochastic Processes and their Applications 11 (3): 215-260, doi:10.1016/0304-4149(81)90026-0 
  • Harrison, J. Michael; Pliska, Stanley R. (1983), “A stochastic calculus model of continuous trading: complete markets”, Stochastic Processes and their Applications 15 (3): 313-316, doi:10.1016/0304-4149(83)90038-8 

Merton's problem

Option pricing models

  • Merton, Robert C. (1976), “Option pricing when underlying stock returns are discontinuous”, Journal of Financial Economics 3 (1-2): 125-144, doi:10.1016/0304-405X(76)90022-2 
  • Heston, Steven L. (1993), “A closed-form solution for options with stochastic volatility with applications to bond and currency options”, The Review of Financial Studies 6 (2): 327-343, doi:10.1093/rfs/6.2.327 

Default-free bonds

Defaultable bonds and credit derivatives

  • Duffie, Darrell; Singleton, Kenneth J. (1999), “Modeling term structures of defaultable bonds”, The Review of Financial Studies 12 (4): 687-720, doi:10.1093/rfs/12.4.687 

Variance derivatives

  • Carr, Peter; Madan, Dilip (2001), “Towards a theory of volatility trading”, in Jouini, Elyès; Cvitanic, Jaksa; Musiela, Marek, Option Pricing, Interest Rates and Risk Management, Handbooks in Mathematical Finance, pp. 458-476, doi:10.1017/CBO9780511569708.013, ISBN 9780521792370 
  • Carr, Peter; Wu, Liuren (2006), “A tale of two indices”, The Journal of Derivatives 13 (3): 13-29, doi:10.3905/jod.2006.616865 
  • Carr, Peter; Wu, Liuren (2009), “Variance risk premiums”, The Review of Financial Studies 22 (3): 1311-1341, doi:10.1093/rfs/hhn038 
  • Bollerslev, Tim; Gibson, Michael; Zhou, Hao (2011), “Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities”, Journal of Econometrics 160 (1): 235-245, doi:10.1016/j.jeconom.2010.03.033 

Coherent risk measures

  • Artzner, Philippe; Delbaen, Freddy; Eber, Jean-Marc; Heath, David (1999), “Coherent Measures of Risk”, Mathematical Finance 9 (3): 203-228, doi:10.1111/1467-9965.00068 
  • Acerbi, Carlo; Tasche, Dirk (2002), “On the Coherence of Expected Shortfall”, Journal of Banking and Finance 26 (7): 1487-1503, doi:10.1016/S0378-4266(02)00283-2 
  • Delbaen, Freddy (2002), “Coherent Risk Measures on General Probability Spaces”, in Sandmann, Klaus; Schönbucher, Philip J; Sondermann, Dieter, Advances in Finance and Stochastics: Essays in Honour of Dieter Sondermann, Springer Berlin Heidelberg, pp. 1-337, doi:10.1007/978-3-662-04790-3_1, ISBN 9783642077920 
  • Artzner, Philippe; Delbaen, Freddy; Eber, Jean-Marc; Heath, David; Ku, Hyejin (2007), “Coherent Multiperiod Risk Adjusted Values and Bellman's Principle”, Annals of Operations Research 152 (1): 5-22, doi:10.1007/s10479-006-0132-6 

Corporate finance

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Textbooks

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Handbooks

  • Constantinides, George M.; Harris, Milton; Stulz, René M., eds. (2003), Handbook of the Economics of Finance 1, Elsevier , ISBN 0444513620, ISBN 0444513639.
  • Ferson, Wayne E. (2003), “Tests of multifactor pricing models, volatility bounds and portfolio performance”, in Constantinides, George M.; Harris, Milton; Stulz, René M., Handbook of the Economics of Finance 1, Elsevier, pp. 743-802, doi:10.1016/S1574-0102(03)01021-5, ISBN 9780444513632 
  • Myers, Stewart C. (2003), “Financing of corporations”, in Constantinides, George M.; Harris, Milton; Stulz, René M., Handbook of the Economics of Finance 1, Elsevier, pp. 215-253, doi:10.1016/S1574-0102(03)01008-2, ISBN 9780444513625 
  • Whaley, Robert E. (2003), “Derivatives”, in Constantinides, George M.; Harris, Milton; Stulz, René M., Handbook of the Economics of Finance 1, Elsevier, pp. 1129-1206, doi:10.1016/S1574-0102(03)01028-8, ISBN 9780444513632 
  • Campbell, John Y. (2003), “Consumption-based asset pricing”, in Constantinides, George M.; Harris, Milton; Stulz, René M., Handbook of the Economics of Finance 1, Elsevier, pp. 803-887, doi:10.1016/S1574-0102(03)01022-7, ISBN 9780444513632 
  • Mehra, Rajnish; Prescott, Edward C. (2003), “The equity premium in retrospect”, in Constantinides, George M.; Harris, Milton; Stulz, René M., Handbook of the Economics of Finance 1, Elsevier, pp. 889-938, doi:10.1016/S1574-0102(03)01023-9, ISBN 9780444513632 
  • Barberis, Nicholas C.; Thaler, Richard H. (2003), “A survey of behavioral finance”, in Constantinides, George M.; Harris, Milton; Stulz, René M., Handbook of the Economics of Finance 1, Elsevier, pp. 1053-1128, doi:10.1016/S1574-0102(03)01027-6, ISBN 9780444513632 
  • Dybvig, Philip H.; Ross, Stephen A. (2003), “Arbitrage, state prices and portfolio theory”, in Constantinides, George M.; Harris, Milton; Stulz, René M., Handbook of the Economics of Finance 1, Elsevier, pp. 605-637, doi:10.1016/S1574-0102(03)01019-7, ISBN 9780444513632 

Micro economics

  • Mas-Colell, Andreu; Whinston, Michael Dennis; Green, Jerry R (1995), Microeconomic Theory, Oxford University Press, ISBN 9780195102680 

Financial economics

  • Korajczyk, Robert A., ed. (1999), Asset Pricing and Portfolio Performance: Models, Strategy and Performance Metrics, London: Risk Books, ISBN 899332367{{ISBN2}}のパラメータエラー: 無効なISBNです。 
  • 池田昌幸『金融経済学の基礎』朝倉書店〈ファイナンス講座〉、2000年。ISBN 9784254545524。 
  • Brunnermeier, Markus K. (2001), Asset pricing under asymmetric information: Bubbles, crashes, technical analysis, and herding, Oxford University Press, ISBN 9780198296980 
  • Cochrane, John H. (2005), Asset Pricing (2 ed.), Princeton, NJ: Princeton University Press, ISBN 9780691121376 

Mathematical finance

  • Øksendal, Bernt (2003), Stochastic differential equations (6 ed.), Springer-Verlag Berlin Heidelberg, ISBN 9783540047582 
  • Shreve, Steven E. (2004), Stochastic calculus for finance II: Continuous-time models, New York: Springer, ISBN 9780387401010 
  • Jeanblanc, Monique; Yor, Marc; Chesney, Marc (2009), Mathematical Methods for Financial Markets, Springer-Verlag London, doi:10.1007/978-1-84628-737-4, ISBN 9781852333768 

Not to sort

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