Gespeichert in:
| Titel: | Market Expectations and Option Prices Techniques and Applications |
|---|---|
| Von: |
by Martin Mandler
|
| Person: |
Mandler, Martin
Verfasser aut |
| Hauptverfasser: | |
| Format: | Elektronisch E-Book |
| Sprache: | Englisch |
| Veröffentlicht: |
Heidelberg
Physica-Verlag HD
2003
|
| Ausgabe: | 1st ed. 2003 |
| Schriftenreihe: | Contributions to Economics
|
| Notation: | QK 660 |
| Schlagwörter: | |
| Medienzugang: | https://doi.org/10.1007/978-3-642-57428-3 https://doi.org/10.1007/978-3-642-57428-3 |
| Zusammenfassung: | 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. Most studies concerning uncertainty in financial markets focus on actual uncertainty as represented by historical volatility measures, variances etc. In contrast, using option prices allows us to study uncertainty in expectations, i.e. to take a forward looking perspective. In some applications we study how ECB-council meetings affect uncertainty in money market expectations. Most interesting among our results is a number of event studies which compare how uncertainty in market participants’ expectations reacts to anticipated and unanticipated results of ECB-council meetings |
| Umfang: | 1 Online-Ressource (X, 228 p) |
| ISBN: | 9783642574283 |
| DOI: | 10.1007/978-3-642-57428-3 |
Internformat
MARC
| LEADER | 00000nam a2200000zc 4500 | ||
|---|---|---|---|
| 001 | BV046874331 | ||
| 003 | DE-604 | ||
| 005 | 00000000000000.0 | ||
| 007 | cr|uuu---uuuuu | ||
| 008 | 200828s2003 xx o|||| 00||| eng d | ||
| 020 | |a 9783642574283 |9 978-3-642-57428-3 | ||
| 024 | 7 | |a 10.1007/978-3-642-57428-3 |2 doi | |
| 035 | |a (ZDB-2-SBE)978-3-642-57428-3 | ||
| 035 | |a (OCoLC)863668906 | ||
| 035 | |a (DE-599)BVBBV046874331 | ||
| 040 | |a DE-604 |b ger |e aacr | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-634 | ||
| 082 | 0 | |a 332 |2 23 | |
| 084 | |a QK 660 |0 (DE-625)141676: |2 rvk | ||
| 100 | 1 | |a Mandler, Martin |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Market Expectations and Option Prices |b Techniques and Applications |c by Martin Mandler |
| 250 | |a 1st ed. 2003 | ||
| 264 | 1 | |a Heidelberg |b Physica-Verlag HD |c 2003 | |
| 300 | |a 1 Online-Ressource (X, 228 p) | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b c |2 rdamedia | ||
| 338 | |b cr |2 rdacarrier | ||
| 490 | 0 | |a Contributions to Economics | |
| 520 | |a 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. Most studies concerning uncertainty in financial markets focus on actual uncertainty as represented by historical volatility measures, variances etc. In contrast, using option prices allows us to study uncertainty in expectations, i.e. to take a forward looking perspective. In some applications we study how ECB-council meetings affect uncertainty in money market expectations. Most interesting among our results is a number of event studies which compare how uncertainty in market participants’ expectations reacts to anticipated and unanticipated results of ECB-council meetings | ||
| 650 | 4 | |a Finance, general | |
| 650 | 4 | |a Macroeconomics/Monetary Economics//Financial Economics | |
| 650 | 4 | |a Econometrics | |
| 650 | 4 | |a Statistics for Business, Management, Economics, Finance, Insurance | |
| 650 | 4 | |a Finance | |
| 650 | 4 | |a Macroeconomics | |
| 650 | 4 | |a Econometrics | |
| 650 | 4 | |a Statistics | |
| 650 | 0 | 7 | |a Optionspreistheorie |0 (DE-588)4135346-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Rationale Erwartung |0 (DE-588)4121553-9 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Zinsstrukturtheorie |0 (DE-588)4117720-4 |2 gnd |9 rswk-swf |
| 655 | 7 | |0 (DE-588)4113937-9 |a Hochschulschrift |2 gnd-content | |
| 689 | 0 | 0 | |a Optionspreistheorie |0 (DE-588)4135346-8 |D s |
| 689 | 0 | 1 | |a Zinsstrukturtheorie |0 (DE-588)4117720-4 |D s |
| 689 | 0 | 2 | |a Rationale Erwartung |0 (DE-588)4121553-9 |D s |
| 689 | 0 | |5 DE-604 | |
| 776 | 0 | 8 | |i Erscheint auch als |n Druck-Ausgabe |z 9783790800494 |
| 776 | 0 | 8 | |i Erscheint auch als |n Druck-Ausgabe |z 9783642574290 |
| 856 | 4 | 0 | |u https://doi.org/10.1007/978-3-642-57428-3 |x Verlag |z URL des Erstveröffentlichers |3 Volltext |
| 912 | |a ZDB-2-SBE | ||
| 912 | |a ZDB-2-BAE | ||
| 940 | 1 | |q ZDB-2-SBE_Archiv | |
| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-032284463 | |
| 966 | e | |u https://doi.org/10.1007/978-3-642-57428-3 |l DE-634 |p ZDB-2-SBE |q ZDB-2-SBE_Archiv |x Verlag |3 Volltext | |
Datensatz im Suchindex
| _version_ | 1818987232417021952 |
|---|---|
| any_adam_object | |
| author | Mandler, Martin |
| author_facet | Mandler, Martin |
| author_role | aut |
| author_sort | Mandler, Martin |
| author_variant | m m mm |
| building | Verbundindex |
| bvnumber | BV046874331 |
| classification_rvk | QK 660 |
| collection | ZDB-2-SBE ZDB-2-BAE |
| ctrlnum | (ZDB-2-SBE)978-3-642-57428-3 (OCoLC)863668906 (DE-599)BVBBV046874331 |
| dewey-full | 332 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332 |
| dewey-search | 332 |
| dewey-sort | 3332 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| doi_str_mv | 10.1007/978-3-642-57428-3 |
| edition | 1st ed. 2003 |
| format | Electronic eBook |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>03233nam a2200613zc 4500</leader><controlfield tag="001">BV046874331</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">00000000000000.0</controlfield><controlfield tag="007">cr|uuu---uuuuu</controlfield><controlfield tag="008">200828s2003 xx o|||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9783642574283</subfield><subfield code="9">978-3-642-57428-3</subfield></datafield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1007/978-3-642-57428-3</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(ZDB-2-SBE)978-3-642-57428-3</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)863668906</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV046874331</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">aacr</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-634</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332</subfield><subfield code="2">23</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 660</subfield><subfield code="0">(DE-625)141676:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Mandler, Martin</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Market Expectations and Option Prices</subfield><subfield code="b">Techniques and Applications</subfield><subfield code="c">by Martin Mandler</subfield></datafield><datafield tag="250" ind1=" " ind2=" "><subfield code="a">1st ed. 2003</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Heidelberg</subfield><subfield code="b">Physica-Verlag HD</subfield><subfield code="c">2003</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 Online-Ressource (X, 228 p)</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">Contributions to Economics</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">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. Most studies concerning uncertainty in financial markets focus on actual uncertainty as represented by historical volatility measures, variances etc. In contrast, using option prices allows us to study uncertainty in expectations, i.e. to take a forward looking perspective. In some applications we study how ECB-council meetings affect uncertainty in money market expectations. Most interesting among our results is a number of event studies which compare how uncertainty in market participants’ expectations reacts to anticipated and unanticipated results of ECB-council meetings</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Finance, general</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Macroeconomics/Monetary Economics//Financial Economics</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Econometrics</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Statistics for Business, Management, Economics, Finance, Insurance</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Finance</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Macroeconomics</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Econometrics</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Statistics </subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Optionspreistheorie</subfield><subfield code="0">(DE-588)4135346-8</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Rationale Erwartung</subfield><subfield code="0">(DE-588)4121553-9</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Zinsstrukturtheorie</subfield><subfield code="0">(DE-588)4117720-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="655" ind1=" " ind2="7"><subfield code="0">(DE-588)4113937-9</subfield><subfield code="a">Hochschulschrift</subfield><subfield code="2">gnd-content</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Optionspreistheorie</subfield><subfield code="0">(DE-588)4135346-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Zinsstrukturtheorie</subfield><subfield code="0">(DE-588)4117720-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="2"><subfield code="a">Rationale Erwartung</subfield><subfield code="0">(DE-588)4121553-9</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Druck-Ausgabe</subfield><subfield code="z">9783790800494</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Druck-Ausgabe</subfield><subfield code="z">9783642574290</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">https://doi.org/10.1007/978-3-642-57428-3</subfield><subfield code="x">Verlag</subfield><subfield code="z">URL des Erstveröffentlichers</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-2-SBE</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-2-BAE</subfield></datafield><datafield tag="940" ind1="1" ind2=" "><subfield code="q">ZDB-2-SBE_Archiv</subfield></datafield><datafield tag="943" ind1="1" ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-032284463</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">https://doi.org/10.1007/978-3-642-57428-3</subfield><subfield code="l">DE-634</subfield><subfield code="p">ZDB-2-SBE</subfield><subfield code="q">ZDB-2-SBE_Archiv</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield></record></collection> |
| genre | (DE-588)4113937-9 Hochschulschrift gnd-content |
| genre_facet | Hochschulschrift |
| id | DE-604.BV046874331 |
| illustrated | Not Illustrated |
| indexdate | 2024-12-20T19:03:25Z |
| institution | BVB |
| isbn | 9783642574283 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-032284463 |
| oclc_num | 863668906 |
| open_access_boolean | |
| owner | DE-634 |
| owner_facet | DE-634 |
| physical | 1 Online-Ressource (X, 228 p) |
| psigel | ZDB-2-SBE ZDB-2-BAE ZDB-2-SBE_Archiv ZDB-2-SBE ZDB-2-SBE_Archiv |
| publishDate | 2003 |
| publishDateSearch | 2003 |
| publishDateSort | 2003 |
| publisher | Physica-Verlag HD |
| record_format | marc |
| series2 | Contributions to Economics |
| spelling | Mandler, Martin Verfasser aut Market Expectations and Option Prices Techniques and Applications by Martin Mandler 1st ed. 2003 Heidelberg Physica-Verlag HD 2003 1 Online-Ressource (X, 228 p) txt rdacontent c rdamedia cr rdacarrier Contributions to Economics 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. Most studies concerning uncertainty in financial markets focus on actual uncertainty as represented by historical volatility measures, variances etc. In contrast, using option prices allows us to study uncertainty in expectations, i.e. to take a forward looking perspective. In some applications we study how ECB-council meetings affect uncertainty in money market expectations. Most interesting among our results is a number of event studies which compare how uncertainty in market participants’ expectations reacts to anticipated and unanticipated results of ECB-council meetings Finance, general Macroeconomics/Monetary Economics//Financial Economics Econometrics Statistics for Business, Management, Economics, Finance, Insurance Finance Macroeconomics Statistics Optionspreistheorie (DE-588)4135346-8 gnd rswk-swf Rationale Erwartung (DE-588)4121553-9 gnd rswk-swf Zinsstrukturtheorie (DE-588)4117720-4 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Optionspreistheorie (DE-588)4135346-8 s Zinsstrukturtheorie (DE-588)4117720-4 s Rationale Erwartung (DE-588)4121553-9 s DE-604 Erscheint auch als Druck-Ausgabe 9783790800494 Erscheint auch als Druck-Ausgabe 9783642574290 https://doi.org/10.1007/978-3-642-57428-3 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Mandler, Martin Market Expectations and Option Prices Techniques and Applications Finance, general Macroeconomics/Monetary Economics//Financial Economics Econometrics Statistics for Business, Management, Economics, Finance, Insurance Finance Macroeconomics Statistics Optionspreistheorie (DE-588)4135346-8 gnd Rationale Erwartung (DE-588)4121553-9 gnd Zinsstrukturtheorie (DE-588)4117720-4 gnd |
| subject_GND | (DE-588)4135346-8 (DE-588)4121553-9 (DE-588)4117720-4 (DE-588)4113937-9 |
| title | Market Expectations and Option Prices Techniques and Applications |
| title_auth | Market Expectations and Option Prices Techniques and Applications |
| title_exact_search | Market Expectations and Option Prices Techniques and Applications |
| title_full | Market Expectations and Option Prices Techniques and Applications by Martin Mandler |
| title_fullStr | Market Expectations and Option Prices Techniques and Applications by Martin Mandler |
| title_full_unstemmed | Market Expectations and Option Prices Techniques and Applications by Martin Mandler |
| title_short | Market Expectations and Option Prices |
| title_sort | market expectations and option prices techniques and applications |
| title_sub | Techniques and Applications |
| topic | Finance, general Macroeconomics/Monetary Economics//Financial Economics Econometrics Statistics for Business, Management, Economics, Finance, Insurance Finance Macroeconomics Statistics Optionspreistheorie (DE-588)4135346-8 gnd Rationale Erwartung (DE-588)4121553-9 gnd Zinsstrukturtheorie (DE-588)4117720-4 gnd |
| topic_facet | Finance, general Macroeconomics/Monetary Economics//Financial Economics Econometrics Statistics for Business, Management, Economics, Finance, Insurance Finance Macroeconomics Statistics Optionspreistheorie Rationale Erwartung Zinsstrukturtheorie Hochschulschrift |
| url | https://doi.org/10.1007/978-3-642-57428-3 |
| work_keys_str_mv | AT mandlermartin marketexpectationsandoptionpricestechniquesandapplications |