Absence of Arbitrage Valuation [electronic resource] : A Unified Framework for Pricing Assets and Securities /
Glabadanidis, P.author.
Absence of Arbitrage Valuation presents a unified asset pricing strategy through absence of arbitrage and applies this framework to such disparate fields as fixed income security pricing, foreign exchange spots, and forward rates.
Description based upon print version of record.
Cover; Title; Copyright; Dedication; Contents; List of Figures; List of Tables; 1 Asset Pricing Models; 1.1 Future Value; 1.2 Present Value; 1.3 Perpetuities; 1.4 Annuities; 1.5 Capital Asset Pricing Model; 1.5.1 The Case of Two Risky Securities; 1.5.2 The Case of Multiple Risky Securities; 1.6 Fama-French Three-Factor Model; 1.7 Carhart Four-Factor Model; 1.8 Arbitrage Pricing Theory; 1.9 Macroeconomic Multifactor Models; Problems; 2 Discounted Cash Flow Valuation; 2.1 Dividend Growth Models; 2.1.1 Single-Stage Models; 2.1.2 Two-Stage Models; 2.1.3 Three-Stage Models
2.2 Equity Free-Cash Flow2.2.1 Single-Stage FCFE Model; 2.2.2 Two-Stage FCFE Model; 2.2.3 Three-Stage FCFE Model; 2.3 Firm Free Cash Flow; 2.3.1 Single-Stage FCFF Model; 2.3.2 Two-Stage FCFF Model; 2.3.3 Three-Stage FCFF Model; Problems; 3 Relative Valuation with Equity and Value Multiples; 3.1 Equity Multiples; 3.1.1 Price-Dividend Ratio; 3.1.2 Price-Earnings Ratio; 3.1.3 Price-to-Book Ratio; 3.1.4 Price-Sales Ratio; 3.2 Value Multiples; 3.2.1 Value-to-Income Ratio; 3.2.2 Value-to-Book Ratio; 3.2.3 Value-to-Sales Ratio; Problems; 4 Financial Options; 4.1 Equity Calls and Puts
4.2 Examples of Option Strategies4.2.1 A Protective Put Strategy; 4.2.2 A Straddle Example; 4.2.3 A Butterfly Example; 4.3 Option Valuation; 4.3.1 Bounds on Option Values; 4.4 Option Pricing; Problems; 5 Real Options; 5.1 Equity and Bond Pricing as Options on Assets; 5.2 Pricing Convertible Bonds; 5.3 Option to Wait; 5.4 Option to Abandon; Problems; 6 Fixed Income Securities; 6.1 Bond Characteristics; 6.2 Bond Pricing; 6.2.1 Basics; 6.2.2 Bond Pricing Example; 6.2.3 Bond Prices at Different Times to Maturity and YTMs; 6.2.4 Bond Yields; 6.2.5 Bond Yields on Callable Bonds; 6.2.6 Credit Risk
6.3 Spot and Forward Interest Rates6.3.1 The Yield Curve; 6.4 Term Structure of Interest Rates; 6.4.1 Expectations Hypothesis; 6.4.2 Liquidity Preference; 6.4.3 Market Segmentation; 6.4.4 Preferred Habitat Theories; 6.4.5 Interpreting the Term Structure; 6.4.6 Measuring the Term Structure; 6.4.7 More Bonds than Time Periods; 6.5 Fixed Income Arbitrage Strategies; 6.6 Duration; 6.7 Convexity; 6.8 Bond Portfolios; Problems; 7 Fixed Income Derivatives; 7.1 Interest Rate Models; 7.1.1 Traditional Term Structure Models; 7.1.2 Term Structure Consistent Models; 7.2 Binomial Term Structure Models
7.2.1 Pricing a Fixed-Coupon Risk-Free Bond7.2.2 Pricing a Risk-Free FRN; 7.2.3 An Interest Rate Swap; 7.2.4 Adjustable-Rate Mortgages; 7.2.5 Pricing an Interest Rate Cap/Caption; 7.2.6 Pricing an Interest Rate Floor/Flotion; 7.2.7 Pricing a Reverse Floater; Problems; 8 Foreign Exchange; 8.1 Spot and Forward Commodity Prices; 8.1.1 Purchasing Power Parity; 8.2 Spot and Forward Exchange Rates; 8.2.1 Triangular Arbitrage with Bid-Ask Spread; 8.2.2 Interest Rate Parity; 8.3 Foreign Exchange Capital Budgeting; 8.4 Currency Option Valuation; 8.5 Currency Option Put-Call Parity
8.6 Pricing Currency Future Options
Includes bibliographical references and index.
Absence of Arbitrage Valuation presents a unified asset pricing strategy through absence of arbitrage and applies this framework to such disparate fields as fixed income security pricing, foreign exchange spots, and forward rates.
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