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| 008 | 991108s1999 enka 001 0 eng d | |
| 015 | ▼a GB99-W0600 | |
| 020 | ▼a 047187728X | |
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| 035 | ▼a (KERIS)BIB000007734336 | |
| 040 | ▼a 225006 ▼c 225006 ▼d 211034 ▼d 211009 | |
| 082 | 0 4 | ▼a 332.6 ▼2 22 |
| 090 | ▼a 332.6 ▼b B636f2 | |
| 100 | 1 | ▼a Blake, David, ▼d 1954-. |
| 245 | 1 0 | ▼a Financial market analysis / ▼c David Blake. |
| 250 | 0 0 | ▼a 2nd ed. |
| 260 | ▼a New York ; ▼a Chichester : ▼b Wiley, ▼c 1999. | |
| 300 | ▼a xxv , 721 p. : ▼b ill. ; ▼c 25 cm. | |
| 500 | ▼a Includes index | |
| 650 | 0 | ▼a Financial institutions ▼z Great Britain. |
| 650 | 0 | ▼a Securities. |
| 945 | ▼a KINS |
소장정보
| No. | 소장처 | 청구기호 | 등록번호 | 도서상태 | 반납예정일 | 예약 | 서비스 |
|---|---|---|---|---|---|---|---|
| No. 1 | 소장처 과학도서관/Sci-Info(2층서고)/ | 청구기호 332.6 B636f2 | 등록번호 121143604 (1회 대출) | 도서상태 대출가능 | 반납예정일 | 예약 | 서비스 |
컨텐츠정보
책소개
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.
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 Finanzmarkte durchgefuhrt. Dieser Band gibt Ihnen die Mittel an die Hand, das Resultat dieser Voraussagen in der Praxis zu bewerten. David Blake, Dozent fur Finanzwirtschaft am Birkbeck Colloge der Universitat London, erlautert, wie Wertpapiere auf Basis der modernen Finanztheorie organisiert und verwaltet werden sollten. Er vergleicht die Theorie mit der tatsachlichen Praxis von Wertpapieranalyse und -bewertung sowie von Portfoliogestaltung und -management, um festzustellen, inwieweit Theorie und Praxis ubereinstimmen bzw. sich Theorie in die Praxis umsetzen laßt.
Diese komplett uberarbeitete und erweiterte Auflage deckt alle Bereiche und Aspekte der modernen Finanztheorie ab, einschließlich ihrer Konsequenzen. Neueste Entwicklungen in der Literatur (z.B. Risikowerte, spekulative Aufblahung von Kursen, Volatilitatseffekte in Finanzmarkten, Chaos, neuronale Netze) werden ebenso erlautert wie die verschiedenen Finanzinstrumente und ihre Anwendung. Dies ist das einzige Lehrbuch auf dem Markt, das insbesondere britische Finanzmarkte berucksichtigt. Es schließt damit eine große Lucke zwischen hochspezialisierten Finanzfachbuchern und beschreibender, erklarender Literatur im institutionellen Finanzwesen. (11/99)
New feature
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.정보제공 :
저자소개
블레이크 (Blake)(지은이)
영국의 팝페라 그룹 스티븐 보먼(Stephen Bowman, 리더), 험프리 버니(Humphrey Berney), 올리 베인즈(Ollie Baines)
David Blake(지은이)
목차
CONTENTS Preface = xix Abbreviations = xxi Ⅰ INTRODUCTION TO FINANCIAL MARKETS = 1 1 The Financial System = 5 1.1 Participants = 5 1.1.1 End-users of the financial system = 5 1.1.2 General financial intermediaries = 7 1.1.3 Specialist financial intermediaries = 12 1.1.4 Market-makers = 16 1.2 Securities = 16 1.3 Markets = 20 1.3.1 The classification of financial markets = 20 1.3.2 Financial markets in the UK = 25 1.4 Trading arrangements = 38 1.4.1 Types of order = 39 1.4.2 Types of account = 39 1.4.3 Stock borrowing agreements = 41 1.4.4 Clearing and settlement of trades = 42 1.4.5 Official intervention in markets = 43 1.5 Regulation = 44 1.6 The financial system in a temporal context = 51 1.6.1 The recent past : the Big Bang of October 1986 = 51 1.6.2 The near future = 53 Appendix : The City Research Project 1991 - 95 = 69 2 The market determination of discount rates = 79 2.1 The price of time and risk = 79 2.2 The expected real interest rate = 80 2.3 The expected inflation rate = 82 2.4 The expected liquidity premium = 83 2.5 The expected risk premium = 84 2.6 Interest rates and discount rates = 87 3 Financial arithmetic = 89 3.1 Future values : single payments = 89 3.1.1 Simple interest = 89 3.1.2 Compound interest : annual compounding = 90 3.1.3 Compound interest : more frequent compounding = 90 3.1.4 Flat and effective rates of interest = 92 3.2 Present values : single payments = 92 3.2.1 Present value : annual discounting = 92 3.2.2 Present values : more frequent discounting = 93 3.3 Future values : multiple payments = 93 3.3.1 Irregular payments = 93 3.3.2 Regular payments : annual payments with annual compounding = 94 3.3.3 Regular payments : annual payments with more frequent compounding = 95 3.3.4 Regular payments : more frequent payments and compounding = 96 3.4 Present values : multiple payments = 96 3.4.1 Irregular payments = 96 3.4.2 Regular payments : annual payments with annual discounting = 97 3.4.3 Regular payments : annual payments with more frequent discounting = 97 3.4.4 Regular payments : more frequent payments and discounting = 98 3.4.5 Perpetuities = 100 3.5 Rates of return = 100 3.5.1 Single-period rate of return = 100 3.5.2 Internal rate of return or money-weighted rate of return = 101 3.5.3 Time-weighted rate of return or geometric mean rate of return = 103 Appendix : A simple iterative method for calculating internal rates of return = 104 Ⅱ THE ANALYSIS AND VALUATION OF SECURITIES = 107 4 Money market securities = 111 4.1 Securities quoted on a yield basis = 112 4.1.1 Money market deposits = 112 4.1.2 Negotiable certificates of deposit = 113 4.2 Securities quoted on a discount basis = 116 4.3 Recent innovations = 120 5 Bonds = 123 5.1 Types of bond = 123 5.2 The fair pricing of bonds = 127 5.3 Clean and dirty bond prices = 128 5.4 Yield measures on bonds = 129 5.4.1 Current yield = 130 5.4.2 Simple yield to maturity = 131 5.4.3 Yield to maturity = 131 5.4.4 Holding-period yield = 135 5.4.5 Yield to par = 135 5.4.6 Yield to call and yield to put = 135 5.4.7 Yield to average life and yield to equivalent life = 136 5.4.8 Index-linked yields = 138 5.5 Yield curves = 141 5.5.1 The yield to maturity yield curve = 142 5.5.2 The coupon yield curve = 142 5.5.3 The par yield curve = 142 5.5.4 The spot(or zero-coupon) yield curve = 144 5.5.5 The forward yield curve = 146 5.5.6 The annuity yield curve = 150 5.5.7 Rolling yield curve = 150 5.6 Theories of the yield curve = 152 5.6.1 The expectations hypothesis = 152 5.6.2 The liquidity preference theory = 153 5.6.3 The segmentation or preferred habitat theory = 154 5.7 Fitting the yield curve = 154 5.7.1 Polynomial curve fitting = 154 5.7.2 Regression analysis = 155 5.7.3 Matrix modelling = 156 5.8 Interest rate risk = 158 5.8.1 Duration = 158 5.8.2 Convexity = 164 5.8.3 Dispersion = 166 5.9 Floating rate notes = 166 5.10 Recent innovations : the gilt repurchase market = 170 6 Shares = 181 6.1 Types of share in the firm = 181 6.2 The financial structure of the firm = 183 6.2.1 The income statement and statement of retained earnings = 183 6.2.2 Inflation accounting = 184 6.2.3 Depreciation = 184 6.2.4 Corporation tax and corporate capital gains tax = 185 6.2.5 The effect of accounting conventions on reported earnings = 188 6.2.6 The balance sheet = 190 6.3 The fair pricing of shares = 192 6.3.1 Valuation based on expected dividends = 192 6.3.2 Valuation based on expected earnings = 194 6.4 Dividend policy = 196 6.5 Earnings analysis = 198 6.5.1 Constant or normal growth models = 198 6.5.2 Differential growth models = 201 6.5.3 Forecasting earnings = 205 6.6 The value of the firm : the effect of leverage = 206 7 Foreign currency = 215 7.1 The foreign exchange market = 215 7.1.1 Spot foreign exchange transactions = 216 7.1.2 Forward foreign exchange transactions = 219 7.2 exchange rate risk = 222 7.3 Covering foreign exchange transactions = 226 7.3.1 Covering forward transactions = 226 7.3.2 Covering spot transactions = 228 7.4 The fair pricing of foreign currency = 230 7.4.1 Consistent cross exchange rates = 230 7.4.2 Purchasing power parity = 231 7.4.3 International Fisher effect = 234 7.4.4 Covered interest rate parity = 235 7.4.5 Uncovered interest rate parity = 236 8 Forwards and futures = 239 8.1 Forward and futures contracts = 239 8.1.1 Forward contracts = 239 8.1.2 Futures contracts = 240 8.2 Financial futures contracts = 244 8.2.1 Short-term interest rate futures = 247 8.2.2 Long-term interest rate futures = 250 8.2.3 Currency futures = 257 8.2.4 Stock index futures = 257 8.3 The fair pricing of forward and financial futures contracts = 260 8.3.1 Fair pricing with no uncertainty = 260 8.3.2 Futures prices and expected spot prices = 262 8.3.3 Fair pricing of the short-term interest rate contract = 263 8.3.4 Fair pricing of the long-term interest rate contract = 264 8.3.5 Fair pricing of the currency contract = 266 8.3.6 Fair pricing of the stock index contract = 267 9 Options, warrants and convertibles = 273 9.1 Option contracts = 273 9.2 Option combinations = 277 9.3 Financial options contracts = 283 9.3.1 Equity options = 288 9.3.2 Interest-rate options = 291 9.3.3 Currency options = 297 9.3.4 Stock index options = 297 9.3.5 Restricted-life traded options = 301 9.3.6 Traditional options = 302 9.3.7 Over-the-counter options = 302 9.4 The fair pricing of options contracts = 303 9.4.1 Factors influencing the premium = 303 9.4.2 Boundary conditions for options = 304 9.4.3 The binomial model of the fair European call option price = 309 9.4.4 The Black-Scholes model of the fair European call option price = 312 9.4.5 Properties of the Black-Scholes model : the Greeks = 316 9.4.6 Pricing a European put option = 321 9.4.7 Modifications to the Black-Scholes model = 322 9.5 Exotic options = 327 9.6 Warrants and convertibles = 334 9.6.1 Warrants = 334 9.6.2 Convertibles = 336 Appendix A : Accounting issues with options and futures contracts = 338 Appendix B : Taxation issues with options and futures contracts = 340 Appendix C : Standard normal distribution table = 342 10 Synthetic securities = 349 10.1 The basic building blocks of synthetic securities = 349 10.2 Synthetic options and futures = 352 10.3 Swaps = 357 10.3.1 Interest rate swaps = 358 10.3.2 Basis swaps = 363 10.3.3 Currency swaps = 363 10.3.4 Asset swaps = 369 10.3.5 More esoteric swaps = 370 10.3.6 The risks involved in swaps = 371 10.3.7 The uses of swaps = 372 10.4 Forward rate agreements = 373 10.5 Caps, floors and collars = 375 10.6 Bundled and unbundled securities = 378 10.6.1 Bundled securities = 378 10.6.2 Unbundled securities = 380 Ⅲ PORTFOLIO ANALYSIS, MANAGEMENT AND PERFORMANCE MEASUREMENT = 385 11 Market efficiency : theory and evidence = 389 11.1 Allocative, operational and informational efficiency = 389 11.2 The EMH, the fair game model and random walk = 390 11.3 The EMH and information = 392 11.4 The EMH and an information-efficient equilibrium = 393 11.5 Tests of the efficient markets hypothesis = 394 11.5.1 Evidence favouring the efficient markets hypothesis = 394 11.5.2 Evidence against the efficient markets hypothesis = 398 11.5.3 Are the financial markets efficient? = 405 12 Speculation and arbitrage = 415 12.1 Speculation = 415 12.1.1 The process of speculation = 415 12.1.2 Trading strategies with futures = 417 12.1.3 Trading strategies with options = 426 12.2 Arbitrage = 434 12.2.1 The process of arbitrage = 434 12.2.2 Arbitrage strategies with futures = 435 12.2.3 Arbitrage strategies with options = 439 Appendix A : The collapse of Barings Bank = 441 Appendix B : Technical analysis = 444 13 Portfolio analysis and asset pricing = 461 13.1 Portfolio analysis = 461 13.1.1 Choice under uncertainty : the consumption of risk and return = 461 13.1.2 Portfolios under uncertainty : the production of risk and return = 465 13.1.3 Diversification = 468 13.1.4 The minimum standard deviation portfolio opportunity set and the efficient set = 474 13.1.5 The efficient set when there is a riskless security = 476 13.1.6 Market equilibrium, portfolio optimality and the pricing of efficient portfolios = 477 13.1.7 Pricing inefficient portfolios and the decomposition of total risk = 482 13.2 Asset pricing = 489 13.2.1 The capital asset pricing model = 489 13.2.2 The multi-factor model = 501 13.2.3 The arbitrage pricing model = 501 14 Portfolio management = 511 14.1 The functions of portfolio management = 511 14.2 Assessing the investing client's utility function = 514 14.3 Passive portfolio management = 519 14.3.1 Passive portfolio management for an expected utility-maximizing client = 519 14.3.2 Passive portfolio management for a safety-first client = 521 14.4 Active portfolio management and adjustment = 528 14.4.1 Active share portfolio management and adjustment = 528 14.4.2 Active treasury portfolio management = 537 14.4.3 Active bond portfolio management and adjustment = 538 14.5 Mixed active-passive portfolio management = 542 14.6 Investment management styles = 544 14.6.1 Traditional investment management = 545 14.6.2 Quantitative investment management = 547 14.7 Recent innovations : hedge funds and bear funds = 548 Appendix : Investment-Objectives Questionnaire = 550 15 Portfolio performance measurement = 559 15.1 The components of portfolio performance measurement = 559 15.1.1 Ex post returns = 559 15.1.2 Adjusting for risk = 562 15.1.3 Benchmarks of comparison = 562 15.2 Measures of portfolio performance = 564 15.2.1 Performance measures based on risk-adjusted excess returns = 564 15.2.2 Performance measures based on alpha values = 567 15.3 The decomposition of total return = 570 15.4 Treasury performance measurement = 574 15.5 Asset-liability managed portfolios = 574 15.6 Portfolios containing financial futures and options contracts = 578 15.6.1 Individual treatment of futures = 578 15.6.2 Individual treatment of options = 579 15.6.3 A worked example = 580 15.7 Performance measurement with multiple fund managers = 586 15.8 The Roll critique of performance measurement = 588 15.9 Evidence on the performance of fund managers = 588 Appendix : A note on the different uses of the geometric mean and the arithmetic mean = 590 16 Hedging and efficient portfolio management = 597 16.1 The objective of hedging = 597 16.2 Money market hedges = 599 16.3 Hedging using futures = 601 16.3.1 Hedging with short-term interest rate futures contracts = 601 16.3.2 Hedging with stock index futures contracts = 604 16.3.3 Hedging with long-term interest rate futures contracts = 613 16.3.4 Hedging with currency futures contracts = 617 16.4 Hedging using options = 620 16.4.1 Hedging with individual stock options contracts = 621 16.4.2 Hedging with stock index options contracts = 627 16.4.3 Hedging with short-term interest rate options contracts = 630 16.4.4 Hedging with long-term interest rate options contracts = 631 16.4.5 Hedging with currency options contracts = 632 16.5 Hedging with swaps and swaptions = 633 16.6 Hedging with FRAs = 637 16.7 Hedging with caps, floors and collars = 637 16.8 Portfolio insurance = 638 16.9 Efficient portfolio management = 643 Ⅳ POSTSCRIPT = 655 17 The failure of financial markets = 659 17.1 The anatomy of the crash = 659 17.2 The consequences of the crash = 661 17.3 The causes of the crash = 663 17.4 Conclusion = 669 18 Recent developments in financial market analysis = 673 18.1 Value-at-risk analysis = 673 18.2 Speculative bubbles = 676 18.3 Volatility effects in financial markets = 678 18.4 Chaos = 682 18.5 Neural networks = 693