Quantitative Methods in Finance
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This book is a collective volume of papers published in honor of Pr. Andreas Kintis in recognition of his contribution to the area of Economics and Econometrics throughout his academic career at the Athens University of Economics and Business. Andreas Kintis has served as rector of AUEB for 10 years and has led the university through an exceptional growth by tripling the number of undergraduate departments and increasing the number of graduate programmes (the number of incoming graduate students per year has increased for 35 in 1990 to over 600 in 2001). He attained recognition and respect of the academic community for his ethos, scientific excellence and integrity.
Many of the papers included in this book are already published in recognized scientific journals, authored by prominent academicians in the areas of Economics and Financial Econometrics. The topics covered revolve around five central issues: Institutions and Market Efficiency, Volatility and Option Pricing, Colleration and Risk Modeling, Modeling Stock Returns, Advances in methodology.
Preface
PART I. Institutions & Market Efficiency: 1. Is the Federal Reserve Stock Market Bubble-Neutral? 2. Price limits and stock exchange volatility in the Athens Stock Exchange 3. Foreign Direct Investment in Central and Eastern European Countries: Do Institutions matter?
PART II. Volatility & option Pricing: 1. Applications of Option-Pricing Theory: Twenty-Five Years Later 2. The Dynamic of Smiles 3. The Pricing of Multiple Options with Default Risk 4. Conditional Heteroskedastic in Mean Models 5. Asset Pricing Dynamics
PART III.
Correlation & Risk Modeling: 1. The effect of mis-estimating correlation on Value-At-Risk 2. Value -at- Risk Models and the Extreme Value Theory: An Evaluation of Alternative Estimating Techniques
PART IV. Modeling Stock Returns: 1. The effect of long-term performance plans on corporate sell-off-induced abnormal returns 2. The interaction of mutual funds flows and security returns in emerging markets: The case of Greece 3. Cross-Sectional Estimation of Stock Returns in Small Markets: The Case of the Athens Stock Exchange
PART V.
Advances in methodology: 1. Explaining the failures of the term spread models of the rational expectations hypothesis of the term structure 2. Entrepreneurship: Getting no normality right
