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Advanced Finance by Cyberlibris

Adv_fin Cyberlibris proudly announces the forthcoming launch of the first digital library entirely dedicated to finance. Whatever your interests are, corporate finance, financial econometrics, options, swaps, stochastic calculus, CAPM, stochastic discount factor, behavioral finance..., this library will provide you with the most relevant material published by leading houses such as Princeton University Press, John Wiley & Sons, Now Publishers, Blackwell Publishing, Elsevier etc...

The library is endowed with community tools that enable users to tag and rate books, share information, share bookshelves, discuss books and last but not least chat.

The library is especially well suited to specialized programs such as Msc in Quantitative Finance, in Financial Engineering, Corporate Finance, to quant departments in investment banks and to corporate financial departments.

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Bienvenue à l'Association Française de Finance et à La Revue Finance

Finance L'Association Française de Finance rejoint la liste prestigieuse des partenaires de Cyberlibris Academia.

La Revue Finance est désormais accessible aux utilisateurs de Cyberlibris Academia. Elle rejoint ainsi Banque et Marchés et la Revue du Financier.

Le domaine scientifique de la revue comprend tous les aspects de la finance:

  • la gestion comme la modélisation ou l'économétrie financières,
  • la finance des marchés nationaux et internationaux,
  • la finance d'entreprise et des institutions financières.

Les articles recherchés par la revue ont un fort caractère scientifique : une modélisation du phénomène étudié ou une analyse théorique de la décision est donc proposée et le modèle est éventuellement soumis aux tests empiriques les plus aptes à l'invalider.

Dans le cas d'un article purement théorique, le modèle doit être pertinent, rigoureux et original. Dans le cas d'un article à dominance empirique, les méthodes statistiques et/ou économétriques doivent être mises en œuvre avec rigueur et pertinence.

Finance accepte aussi des revues de la littérature à condition que le sujet soit traité en profondeur, que l'exposé soit empreint d'une grande clarté et qu'il constitue une synthèse d'analyses différentes dont l'utilité est incontestable pour un lecteur exigeant.

Compte tenu de son caractère international, la revue recherche des articles rédigés en anglais, mais accepte aussi des articles en français.

La revue Finance est analysée par le système documentaire européen SCIMP et par le Journal of Economic Literature.

Le premier numéro de la  Revue Finance vient d'être mis en ligne. Il s'agit du numéro 1 du volume 26.

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Forthcoming in Cyberlibris Academia: Elsevier Finance Mavericks!

Brand new Elsevier titles will soon be added to Cyberlibris academic collection. Finance mavericks, like Professor Anjan Thakor, Professor Stuart I. Greenbaum, Professor Francesco Saita, Professor B. Espen Eckbo and Operations Risk specialist David Loader are about to join the fine list of finance scholars whose work is available online in Cyberlibris Academia.

Fi CONTEMPORARY FINANCIAL INTERMEDIATION, Stuart I. Greenbaum and Anjan V. Thakor, 2007

Here is how Professor Greenbaum and Professor Thakor "pitch" their book:

"In writing this book we set out to modernize the teaching of bank management at universities and collegiate schools of business. Our goal is to expand the scope of the  typical bank management course by

(1) covering a broader, but still selective, variety of financial institutions, and

(2) explaining the why of intermediation, as opposed to  simply describing institutions, regulations, and market phenomena.

Our approach is unapologetically analytical, and we have tried to make analysis an appealing feature of this book. We will consider the book a success if it leads students to not only discover the endless subtlety and plasticity of financial institutions and credit
market practices, but also develop an appreciation for why these institutions, market
practices, and governmental regulations are encountered. The unifying theme is that
informational considerations are at the heart of what most banks do.

The novelty of our approach lies in both the analytical orientation and our choice and sequencing of topics. We begin with the questions of why financial intermediaries exist and what they do. We believe that understanding the why of financial intermediation will prepare the readers for the inescapable volatility of the future. Regulations, institutions, and claims will change, but the functional foundations on which financial intermediaries are built will remain basically the same."

A sample chapter is here.

This textbook should indeed be on any shelf dealing with banking and financial intermediation.

Eckbo

HANDBOOK OF CORPORATE FINANCE, B.Espen Eckbo, 2007

This book, spearheaded by Professor B. Espen Eckbo, gathers the "fine fleur" of scholars in the domain of corporate finance, to name a few Jerold B. Warner, Richard Ruback, Sudipto Dasgupta etc... Since Modigliani and Miller's seminal paper, the field of corporate finance has been the subject of intense scrutiny. This timely book covers a wide range of topics taking a close look at the main empirical findings to date.

In Professor Eckbo's own words:   

"Judging by the sheer number of papers reviewed in this Handbook, the empirical analysis of firms’ financing and investment decisions—empirical corporate finance—has become a dominant field in financial economics. The growing interest in everything “corporate” is fueled by a healthy combination of fundamental theoretical developments and recent widespread access to large transactional data bases.

A less scientific—but nevertheless important—source of inspiration is a growing awareness of the important social implications of corporate behavior and governance. This Handbook takes stock of the main empirical findings to date across an unprecedented spectrum of corporate finance issues, ranging from econometric methodology, to raising capital and capital structure choice, and to managerial incentives and corporate investment behavior.

The surveys are written by leading empirical researchers that remain active in their respective areas of interest. With few exceptions, the writing style makes the chapters
accessible to industry practitioners. For doctoral students and seasoned academics, the surveys offer dense roadmaps into the empirical research landscape and provide suggestions for future work."

More on this book here.

Saita VALUE AT RISK AND BANK CAPITAL MANAGEMENT, Francesco Saita, 2007

While the highly technical measurement techniques and methodologies of Value at Risk have attracted huge interest, much less attention has been focused on how Value at Risk and the risk-adjusted performance measures such as RAROC or economic profit/EVA can be effectively used to improve a bank's decision making processes.

Academic books are typically concerned primarily with measurement techniques, and devote only a small section to describing the applications, usually without discussing the problems that changing organizational processes in banks may have on business units' behaviour.

Practitioners' books are often based on a single experience, presenting the approach that has been pursued by a single bank, but often do not adequately evaluate that approach. In actual practice, the choice of how to use Value at Risk and risk-adjusted performance measures has no single optimal solution, but requires effective decision making that can identify the solution that is consistent with the bank's style of management and coordination mechanisms, and often with characteristics of individual business units as well.

In this book, Francesco Saita of Bocconi University argues that even though risk measurement techniques have greatly improved in recent years for market, credit and now also operational risk, capital management and capital allocation decisions are far from becoming purely technical and mechanical. On one hand, decisions about capital management must consider handling different capital constraints (e.g. regulatory vs. economic capital ) and face remarkable difficulties in providing a measure of "aggregated" Value at Risk (i.e. a measure that considers the overall value at risk of the bank after diversification across risk types). On the other hand, the aim of using capital more efficiently through capital allocation cannot be achieved only through a sort of centralized asset allocation process, but rather by designing a Value at Risk limit system and a risk-adjusted performance measurement system that are designed to provide the right incentives to individual business units.

This connection between sophisticated and cutting edge risk measurement techniques and practical bank decision making about capital management and capital allocation make this book unique and provide readers with a depth of academic and theoretical expertise combined with practical and real-world understanding of bank structure, organizational constraints, and decision-making processes.

More on the book here.

Loader OPERATIONS RISK, David Loader, 2006

Operations Risk--a form of Operational Risk, is becoming increasingly important as more and more sophisticated products and the use of those products occurs in the financial services industry. Outsourcing, including overseas outsourcing, is changing the structure of firms and particularly operations teams.

Thus understanding the existing and the changing risk environment in operations functions and its impact on operational risk is centrally important today. The book focuses on areas such as technology risk, people risk, and settlement risk, examining the dangers that lurk within different organisations.

Case studies throughout the book illustrate the way in which risk can become magnified and ultimately become a serious danger to the businesses concerned. The reader is challenged throughout the book to interpret given situations in Operations Risk so as to understand the impact of the risks and devise solutions through a series of exercises included in the relevant chapters. (answers are provided).

This “self-test” approach will help reinforce understanding of the detailed material contained throughout the book.

A sample chapter here.

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The Equity Risk Premium Puzzle: Still unsolved but available in Cyberlibris!

THE EQUITY RISK PREMIUM: ESSAYS AND EXPLORATIONS, Roger Ibbotson & Will Goetzmann, Oxford University Press

What is the return to investing in the stock market? Can we predict future stock market returns? How have equities performed over the last two centuries? The authors in this volume are among the leading researchers in the study of these questions.

This book draws upon their research on the stock market over the past two dozen years. It contains their major research articles on the equity risk premium and new contributions on measuring, forecasting, and timing stock market returns, together with new interpretive essays that explore critical issues and new research on the topic of stock market investing.

Erp This book is aimed at all readers interested in understanding the empirical basis for the equity risk premium. Through the analysis and interpretation of two scholars whose research contributions have been key factors in the modern debate over stock market perfomance, this volume engages the reader in many of the key issues of importance to investors. How large is the premium? Is history a reliable guide to predict future equity returns? Does the equity and cash flows of the market? Are global equity markets different from those in the United States? Do emerging markets offer higher or lower equity risk premia? The authors use the historical performance of the world's stock markets to address these issues.


For additional please refer to a past Cyberlibris blog post here.


Also in Cyberlibris on the same topic:

Equity Risk Premium : The Long Run Future of the Stock Market
, Bradford Cornell,  John Wiley & Sons

Investment Valuation : Tools and Techniques for Determining the Value of Any Asset, Aswath Damodaran, John Wiley & Sons

Intermediate Financial Theory, Jean-Pierre Danthine & John B. Donaldson, Elsevier Science and Technology

Modern Portfolio Theory and Investment Analysis, Edwin J. Elton & Martin J. Gruber, John Wiley & Sons

Managing Investments, Geoffrey A. Hirt & Stanley B. Block, The McGraw-Hill Companies

What they say about the book:

"William Goetzmann and Roger Ibbotson have produced a searching and comprehensive analysis of how history reveals the forces that shape risk and return in the stock market. But HURRAH! their work is also eminently readable. All investors, economic historians, and financial academics should read this book--and hurry up about it."

Peter L. Bernstein, Publisher of Economics and Portfolio Strategy and Consulting Editor of The Journal of Portfolio Management.

"Understanding the stock market is really about understanding the premium that investors demand for holding stocks over less risky assets. Not surprisingly, then, the 'equity premium puzzle' i.e., the seemingly inexplicably high historical excess returns on the stock market, has become a focus of extensive research and debate. To quote Goetzmann and Ibbotson, 'history matters,' and with the deceptively simple act of putting it together, they have shown us just how much it does and how much we can learn from the past. They have also staked their position firmly in the camp of those who believe that with careful statistical analysis of the historical record, and, in particular, with a clear understanding of the role of survivorship bias, the puzzle can be explained. Whatever prior views they may hold, both the professional and the interested amateur will learn much from this work."

Stephen A. Ross, Franco Modigliani Professor of Finance and Economics, MIT

About the authors:

Robert Ibbotson is an expert on capital market returns, cost of capital, and international investing. A member of the Yale School of Management faculty since 1986, he joined Yale from the University of Chicago, where he served as the director of the Center for Research in Security Prices (CRSP). He is Chairman and Founder of Ibbotson Associates in Chicago, New York, and Tokyo, which provides asset allocation advice, consulting, software, data, and financial publishing for financial institutions and investment advisors. He is also a Partner in Zebra Capital Management, LLC, which manages hedge funds. Professor Ibbotson is the author of numerous books and articles, including the annual Stocks, Bonds, Bills, and Inflation Yearbook .

Will Goetzmann is the Edwin J. Beinecke Professor of Finance and Management Studies at the Yale School of Management and a Research Associate of the National Bureau of Economic Research. He currently serves as the Director of the International Center for Finance at Yale, an interdisciplinary research organization focused on sponsoring and diseminating academic research in finance. He has taught at the Yale School of Management since 1994 and previously taught at Columbia Business School. He holds a B.A., an M.B.A., and a Ph.D. from Yale. An expert on a diverse range of investments, Will Goetzmann's research topics include the behavior of individual investors, global investing, financial market history, hedge funds, mutual funds, real estate, and art as an investment.

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La Revue du Financier bientôt en ligne dans Cyberlibris!

Rdf La Revue du FINANCIER sera bientôt disponible en ligne dans Cyberlibris. Elle vient ainsi compléter un catalogue déjà fort de 6987 titres.

La Revue du FINANCIER publiée au rythme de 6 numéros par an, permet de faire le point sur les dernières recherches en matière financière et de consulter des dossiers de fond sur des problèmes financiers d'actualité.

La Revue du FINANCIER développe une ligne éditoriale originale, à la rencontre des mondes universitaires et des entreprises.

Les dossiers récents les plus marquants ont été consacrés aux Finances locales et développement économique, Normes et déontologie comptables, La gestion du risque de crédit bancaire, La communication financière, L'euro, Les crises financières, La création de valeur, Le rachat d'actions, Nouvelle économie et capital-risque

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The World of Hedge Funds: H Gifford Fong in Cyberlibris

GfongH. Gifford Fong is President of Gifford Fong Associates, a firm specializing in fixed income, derivative product and asset allocation analysis. Independent valuation, model validation and portfolio strategy analysis are areas of emphasis. He is a graduate of the University of California where he earned his B.S., M.B.A. and J.D. (law).

He is also the editor of the Journal Of Investment Management; former editor of the Financial Analysts Journal; member of the Board of Directors and Program Chairman of the Institute for Quantitative Research in Finance. He has received a number of honors, including the Institute for Quantitative Research in Finance Award and the Financial Analysts Journal Graham and Dodd Award of Excellence. He also is on a number of boards of directors of non-related companies and non-profit institutions.

His latest book published by World Scientific Publishing, The World of Hedge Funds: Characteristics and Analysis is now available in Cyberlibris.

Whf The World of Hedge Funds is a compendium of distinguished papers focusing on the cutting-edge analysis of hedge funds. This area is arguably the fastest growing source of funds in the investment management arena. It is often said (and sold) to be an exciting opportunity for the investor and manager in terms of the range of return and risk available. However,  some critics have voiced concern about the opacity and lack of regulation of hedge funds.

Hence a source of rigorous analysis was both sought after as well as needed. This book aims to fill this gap by presenting an eclectic collection of papers contributed by influential academics and practitioners covering the characteristics and problems of hedge funds. Contributors include among others Sanjiv Das, Harry Kat, and Stephen Brown.

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Maurice Obstfeld and Alan Taylor in Cyberlibris

Obstfeld Maurice Obstfeld is Class of 1958 Professor of Economics at the University of California, Berkeley. He is also Director of the Center for International and Development Economics Research. A prolific writer, he has contributed many articles and books to the fields of international economics and international finance.

He has recently dealt with the issue of the US current account deficit. According to his latest research, the issue is far more severe than is usually suspected. Indeed, his revised estimates suggest that

"the current conjoncture more closely parallels the early 1970s, when the Bretton Woods system collapsed finally."

Alan Taylor is Professor of Economics and Director, Center for the Evolution of the Global economy, University of California, Davis. His research deals with global finance and the global economy:

"These parallels raise a number of questions about the evolution of the global economy in the 19th century, its collapse in 1914, and the rebirth of globalization at the end of the 20th century. With Maurice Obstfeld (University of California, Berkeley), I have explored these events systematically, which resulted in our new economic history of global capital markets and the attendant political-economy problems. We found that economic policymaking has, throughout, been characterized by a fundamental macroeconomic policy trilemma that all governments face. That is, it is not possible for a government simultaneously to peg the exchange rate, keep an open capital market, and enjoy monetary policy autonomy."

About the book:

This book presents an economic history of international capital mobility in the modern era. It blends narrative and quantitative methods and connects economic outcomes to the underlying political economy of international macroeconomics.

The volume demonstrates that the recent globalization can be seen, in part, as the resumption of a liberal world order that had previously been established in the years 1880-1914, but also points out that much is different in terms of its causes and consequences.

What they say about the book
:

"Overall, Global Capital Markets is an excellent study of the evolution of international capital markets since the classical gold standard period. This book is a must read for economists and economic historians with an interest in international economics." EH.NET

"The rise, fall and rise again of financial globalization between the nineteenth century and the 1990s is a topic of burning interest to economists and economic historians alike. This invaluable volume is the culmination of nearly a decade of path-breaking research by Maurice Obstfeld and Alan M. Taylor into international capital mobility and its macroeconomic significance over the long run. No one who wishes to have a historically informed understanding of global financial markets — and the crises which afflict them — can afford to ignore it." Niall Ferguson, New York University 

"In Global Capital Markets, Maurice Obstfeld and Alan Taylor present a comprehensive and pragmatic approach to studying the costs and benefits of integration into the global financial system. They start by drawing on the relevant theory and then examine an enormous range of evidence, starting from the gold standard system, through the most recent econometric studies. And they reach thoroughly sensible, nuanced conclusions, namely — well, you should really read the book to find out." Stanley Fischer, Vice Chairman, Citigroup; former Deputy Managing Director, International Monetary Fund

"The costs and benefits of international capital flows have been the focus of much of the controversy over globalization. Obstfeld and Taylor provide a compelling and comprehensive study of the economics and history of capital market integration, that makes very clear the great benefits of integration as well as explaining clearly the circumstances in which the costs arise. They give us new data and new insights, and above all a new analytical framework. Their careful and convincing analysis should put an end to a great deal of fruitless polemic." Harold James, Princeton University

"This is the place to send your students to find out about international capital flows. Obstfeld and Taylor use economic theory to understand history and, more importantly, history to comprehend and calibrate theory." Peter Temin, Massachusetts Institute of Technology

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Forthcoming in Cyberlibris: Global Corporate Finance

Gcf Global Corporate Finance, by SUK KIM (University of Detroit-Mercy) and SEUNG H KIM (St Louis University), Blackwell Publishing, 2006

Global Corporate Finance, sixth edition provides students with the practical skills needed to understand global financial problems and techniques.

  • It retains the user-friendly format of previous editions while offering expanded material on corporate finance and governance, international markets, global financial dynamics and strategies, and risk management techniques

  • Each chapter begins with a real-world case study to be explained by theories and research findings presented throughout the chapter

  • End-of-chapter mini-cases further reinforce students' understanding of the material covered

  • This edition is supported by a comprehensive Study Guide and an Instructor's Manual, available at www.blackwellpublishing.com/kim.

About the authors:

SUK KIM is Professor of International Finance at the University of Detroit Mercy, editor of North Korean Review, and founding editor of the Multinational Business Review.

SEUNG H. KIM is Chair of the Department of International Finance at St. Louis University.

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Hersh Shefrin and Behavioral Finance in Cyberlibris

Whershshefrin "Having a financial adviser enables the investor to carry a psychological call option. If the investment decision turns out well, the investor takes the credit, and if it turns out badly, the regret can be lowered by blaming the adviser."

Hersh Shefrin holds the Mario L. Belotti Chair in the Department of Finance, Leavey School of Business at Santa Clara University. Professor Shefrin is one of the pioneers of behavioral finance. He has published widely in the area and writes for both academics and practitioners. He regularly teaches a graduate course in behavioral finance and often speaks on the subject to portfolio managers, security analysts, and financial planners. Professor Shefrin completed his PhD at the London School of Economics in the economics of uncertainty, earned a Master of Mathematics from the University of Waterloo, and a BS in economics and mathematics from the University of Manitoba.  Professor Shefrin’s scholarly articles have appeared in The Journal of Finance, The Journal of Financial Economics, The Review of Financial Studies, and The Journal of Financial and Quantitative Analysis. Here is the SSRN webpage for Professor Shefrin.

In 2005 Professor Shefrin has published a new book entitled "A Behavioral Approach to Asset Pricing "(Elsevier) that extends the modern approach to asset pricing to a behavioral setting. This book is now available to the Cyberlibris community.

Behavioral finance has become a "trendy" field in academic finance. Hereafter some quotes that define its purpose:

"Behavioural finance is the study of the influence of psychology on the behaviour of financial practitioners and the subsequent effect on markets." Sewell (2005) "I think of behavioral finance as simply "open-minded finance." Richard Thaler (1993) "This area of enquiry is sometimes referred to as "behavioral finance," but we call it "behavioral economics." Behavioral economics combines the twin disciplines of psychology and economics to explain why and how people make seemimgly irrational or illogical decisions when they spend, invest, save, and borrow money." Belsky and Gilovich (1999)

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Computational Finance

Compu_financeCOMPUTATIONAL FINANCE, George Levy, Butterworth Heinemann

Modern financial markets trade securities that are more an more complex. This is indeed a reflection of the numerous risks that are in still need of markets to hedge them. Derivative assets play a key role in the manufacturing process of new assets and structured solutions. Investment banks are key actors in this process which is highly computer intensive.

Computational Finance presents a modern computational approach to mathematical finance within the Windows environment, and contains financial algorithms, mathematical proofs and computer code in C/C++.

The author illustrates how numeric components can be developed which allow financial routines to be easily called by the complete range of Windows applications, such as Excel, Borland Delphi, Visual Basic and Visual C++. These components permit software developers to call mathematical finance functions more easily than in corresponding packages. Although these packages may offer the advantage of interactive interfaces, it is not easy or computationally efficient to call them programmatically as a component of a larger system. The components are therefore well suited to software developers who want to include finance routines into a new application.

Typical readers are expected to have a knowledge of calculus, differential equations, statistics, Microsoft Excel, Visual Basic, C++ and HTML. A CD-ROM is included which contains: working computer code, demonstration applications and also pdf versions of several research articles.

About the author:

George  Levy, DPhil, University of Oxford, Software Developer, Numerical Algorithms Group (NAG)

Some publications by the author:

An introduction to quasi-random numbers

Multi-asset derivative pricing  

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