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Author Mandler, Martin.

Title Market expectations and option prices : techniques and applications / Martin Mandler
Published Heidelberg, Germany ; New York : Physica-Verlag, 2003


Location Call no. Vol. Availability
Description x, 227 pages ; 24 cm
Series Contributions to economics
Contributions to economics.
Contents 1. Introduction -- Pt. I. Theoretical Foundations -- 2. Arbitrage Pricing and Risk-Neutral Probabilities -- 3. Survey of the Related Literature -- 4. Presenting and Interpreting Risk-Neutral Probabilities -- 5. Techniques for Extracting Risk-Neutral Probabilities from Option Prices -- 6. The Advantages and Disadvantages of Selected Techniques -- Pt. II. Empirical Applications -- 7. Important Empirical Applications - A Review -- 8. Central-Bank Council Meetings and Money Market Uncertainty -- 9. Central-Bank Council Meetings - Event Studies -- 10. Summary and Conclusions
Summary "This book surveys and summarizes the numerous approaches used to extract information on market expectations from option prices. The various approaches are thoroughly explained and many practical issues are discussed, including: data selection, data preparation, and presentation and interpretation of results. This enables the reader to easily implement these techniques in his own applied work."--BOOK JACKET
Notes Rev. version of the author's thesis (doctoral)--Justus Liebig-Universit at Giessen
Bibliography Includes bibliographical references
Subject Options (Finance) -- Prices -- Mathematical models.
Options (Finance) -- Mathematical models.
LC no. 2003045700
ISBN 379080049X softcover alkaline paper