"The aim of this book is to present a clear exposition of key results on pricing, hedging and speculation using derivative securities. The emphasis is on drawing out the practical uses of derivatives. The reader needs only to have undertaken an introductory course in finance, together with some...

Cover -- Title Page -- Copyright -- Contents -- About the Authors -- About the Companion Site -- Preface -- Chapter 1 Derivative Securities -- 1.1 Forwards and Futures -- 1.1.1 Market Classification -- 1.2 Options -- 1.2.1 Call Options -- 1.2.2 Long Call: Speculation -- 1.2.3 Closing Out --...

There have been major advances in both theory and econometric techniques in mainstream macro-models and parallel advances in knowledge of the monetary transmission mechanism acting via asset prices. At the same time, behavioral finance has provided evidence that not all actors in the economy are...

We systematically examine the comparative predictive performance of a number of alternative linear and non-linear models for stock and bond returns in the G7 countries. Besides Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STAR) regime switching...