Эксоцман
на главную поиск contacts
Финансовая экономика - это область теоретико-прикладных знаний о законах функционирования финансовых потоков и отношений между всеми субъектами экономической системы... (подробнее...)
Всего публикаций в данном разделе: 93

Опубликовано на портале: 03-10-2003
Harold Jr. Bierman The Accounting Review. 1966.  Vol. 41. No. 2. P. 271-274. 
"In that article I suggested that the depreciation charge for a period is related to the expectations at the time of purchase and that the purchase of an asset is actually the purchase of future cash proceeds. These cash proceeds then become the basis for the depreciation calculation. This paper will refine the definition of "cash proceeds" with the objective of making the accounting for the events consistent with the decision-making procedures..."
ресурс содержит полный текст, либо отрывок из него ресурс содержит гиперссылку на сайт, на котором можно найти дополнительную информацию

Опубликовано на портале: 03-10-2003
William F. Sharpe Journal of Finance. 1964.  Vol. 19. No. 3. P. 425-442. 
One of the problems which has plagued thouse attempting to predict the behavior of capital marcets is the absence of a body of positive of microeconomic theory dealing with conditions of risk/ Althuogh many usefull insights can be obtaine from the traditional model of investment under conditions of certainty, the pervasive influense of risk in finansial transactions has forced those working in this area to adobt models of price behavior which are little more than assertions. A typical classroom explanation of the determinationof capital asset prices, for example, usually begins with a carefull and relatively rigorous description of the process through which individuals preferences and phisical relationship to determine an equilibrium pure interest rate. This is generally followed by the assertion that somehow a market risk-premium is also determined, with the prices of asset adjusting accordingly to account for differences of their risk.
ресурс содержит гиперссылку на сайт, на котором можно найти дополнительную информацию

Опубликовано на портале: 03-10-2003
Richard Roll Journal of Financial Economics. 1977.  Vol. 4. No. 2. P. 129-176. 
Testing the two-parameter asset pricing theory is difficult (and currently infeasible). Due to a mathematical equivalence between the individual return/beta'linearity relation and the market portfolio's mean-variance efficiency, any valid test presupposes complete knowledge of the true market portfolio's composition. This implies, inter alia, that every individual asset must be included in a correct test. Errors of inference inducible by incomplete tests are discussed and some ambiguities in published tests are explained.
ресурс содержит полный текст, либо отрывок из него ресурс содержит гиперссылку на сайт, на котором можно найти дополнительную информацию

Опубликовано на портале: 03-10-2003
John C. Cox, Stephen A. Ross, Mark Rubinstein Journal of Financial Economics. 1979.  Vol. 7. No. 3. P. 229-263. 
This paper presents a simple discrete-time model for valuing options. The fundamental economic principles of option pricing by arbitrage methods are particularly clear in this setting. Its development requires only elementary mathematics, yet it contains as a special limiting case the celebrated Black-Scholes model, which has previously been derived only by much more difficult methods. The basic model readily lends itself to generalization in many ways. Moreover, by its very construction, it gives rise to a simple and efficient numerical procedure for valuing options for which premature exercise may be optimal.
ресурс содержит полный текст, либо отрывок из него ресурс содержит гиперссылку на сайт, на котором можно найти дополнительную информацию

Опубликовано на портале: 02-10-2003
Douglas T. Breeden Journal of Financial Economics. 1979.  Vol. 7. No. 3. P. 265-296. 
This paper derives a single-beta asset pricing model in a multi-good, continuous-time model with uncertain consumption-goods prices and uncertain investment opportunities. When no riskless asset exists, a zero-beta pricing model is derived. Asset betas are measured relative to changes in the aggregate real consumption rate, rather than relative to the market. In a single-good model, an individual's asset portfolio results in an optimal consumption rate that has the maximum possible correlation with changes in aggregate consumption. If the capital markets are unconstrained Pareto-optimal, then changes in all individuals' optimal consumption rates are shown to be perfectly correlated.
ресурс содержит полный текст, либо отрывок из него ресурс содержит гиперссылку на сайт, на котором можно найти дополнительную информацию

Опубликовано на портале: 02-10-2003
Raghuram G. Rajan, Mitchell A. Petersen Quarterly Journal of Economics. 1995.  Vol. 110. No. 2. P. 407-443. 
This paper provides a simple model showing that the extent of competition in credit markets is important in determining the value of lending relationships. Creditors are more likely to finance credit constrained firms when credit markets are concentrated because it is easier for these creditors to internalize the benefits of assisting the firms. The model has implications about the availability and the price of credit as firms age in different markets. The paper offers evidence for these implications from small business data. It concludes with conjectures on the costs and benefits of liberalizing financial markets, as well as the timing of such reforms.
ресурс содержит гиперссылку на сайт, на котором можно найти дополнительную информацию

Сайт журнала "Economic Theory" [интернет ресурс]
Обновлено: 09-12-2010

Журнал издается компанией "Springer-Verlag Heidelberg" с 1995 года и выходит три раза в год под руководством Charalambos D. Aliprantis, профессор Purdue University, Department of Economics. Журнал широкого профиля, в нем публикуются материалы

Journal of Financial and Quantitative Analysis [интернет ресурс]
Обновлено: 09-12-2010

Журнал выходит с 1995 г., ежеквартально - в марте, июне, сентябре и декабре. Публикуются материалы по теории финансов и различные практические исследования в финансовой экономике. Темы статей и обзоров включают в себя анализ корпоративных финансов, инвестиций, капитала и рынков безопасности, а также количественные методы в финансовых исследованиях.

Money and Finance [учебная программа]
Опубликовано на портале: 04-07-2003
Rod Cross
Spring 2002
Курс "Деньги и финансы" читается студентам 2 года обучения в университете Стрэтчклайда с целью расширения знаний студентов о функционировании макроэкономической системы.
Базовый учебник - Mankiw G. Macroeconomics, 3rd ed. Worth Publishers, 1997
Требования курса: "Макроэкономика" и "Микроэкономика" 1 уровня. В первой части курса подробно обсуждаются аспекты макроэкономической политики. Во второй части основное внимание уделяется проблемам финансового посредничества и финансовых институтов.
ресурс содержит гиперссылку на сайт, на котором можно найти дополнительную информацию ресурс содержит прикрепленный файл

Basic Finance [учебная программа]
Опубликовано на портале: 25-01-2003
Hassan Tehranian
Fall 2002
Basic Finance introduces students to the vocabulary and concepts of finance. This course examines financial decision making and provides specific tools for analyzing and interpreting financial data. The goal of the course is to introduce and develop key finance tools/concepts.
ресурс содержит полный текст, либо отрывок из него ресурс содержит гиперссылку на сайт, на котором можно найти дополнительную информацию

Journal of Money, Credit and Banking [интернет ресурс]
Обновлено: 09-12-2010

Журнал выходит с 1969 г. Содержатся обзоры кредитных рынков, анализ финансового состояния предприятий на высоком профессиональном уровне. Подписчики журнала могут получить доступ к электронной версии журнала. ISSN: 00222879

Опубликовано на портале: 18-01-2003
Jan Marc Berk
Boston: Kluwer Academic Publishers, 2000
Standard macroeconomic monographs often discuss the mechanism of monetary transmission, usually ending by highlighting the complexities and uncertainties involved in this mechanism. Conversely, The Preparation of Monetary Policy takes these uncertainties as a starting point, analytically investigating their nature and spelling out their consequences for the monetary policy maker. The second innovative aspect of this book is its focus on policy preparation instead of well-covered topics such as monetary policy strategy, tactics, and implementation. Thirdly, a general, multi-model framework for preparing monetary policy is proposed, which is illustrated by case studies stressing the role of international economic linkages and of expectations. Written in a self-contained fashion, these case studies are of interest by themselves. The book is written for an audience that is interested in the art and science of monetary policy making, which includes central bankers, academics, and (graduate) students in the field of monetary economics, macroeconomics, international economics and finance.

Опубликовано на портале: 12-12-2002
Helyette Geman, Marc Yor, Dilip B. Madan Finance and Stochastics. 2002.  Vol. 6. No. 1. P. 63-90. 
Stochastic volatility and jumps are viewed as arising from Brownian subordination given here by an independent purely discontinuous process and we inquire into the relation between the realized variance or quadratic variation of the process and the time change. The class of models considered encompasses a wide range of models employed in practical financial modeling. It is shown that in general the time change cannot be recovered from the composite process and we obtain its conditional distribution in a variety of cases. The implications of our results for working with stochastic volatility models in general is also described. We solve the recovery problem, i.e. the identification the conditional law for a variety of cases, the simplest solution being for the gamma time change when this conditional law is that of the first hitting time process of Brownian motion with drift attaining the level of the variation of the time changed process. We also introduce and solve in certain cases the problem of stochastic scaling. A stochastic scalar is a subordinator that recovers the law of a given subordinator when evaluated at an independent and time scaled copy of the given subordinator. These results are of importance in comparing price quality delivered by alternate exchanges.
ресурс содержит полный текст, либо отрывок из него ресурс содержит гиперссылку на сайт, на котором можно найти дополнительную информацию