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Book
La bourse et ses acteurs : institutions et techniques
Authors: ---
ISBN: 2040080430 Year: 1977 Publisher: Paris Dunod


Book
Financial market liquidity : asset pricing, risk, and crisis.
Authors: --- ---
ISBN: 0521191769 1139548999 0511844395 1139555200 113955395X 1139551493 1316088669 113956384X 9781139548991 9780511844393 9781139551496 9781139553957 9780521191760 9780521139656 0521139651 Year: 2013 Publisher: Cambridge Cambridge University

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Abstract

This book presents the theory and evidence on the effect of market liquidity and liquidity risk on asset prices and on overall securities market performance. Illiquidity means incurring a high transaction cost, which includes a large price impact when trading and facing a long time to unload a large position. Liquidity risk is higher if a security becomes more illiquid when it needs to be traded in the future, which will raise trading cost. The book shows that higher illiquidity and greater liquidity risk reduce securities prices and raise the expected return that investors require as compensation. Aggregate market liquidity is linked to funding liquidity, which affects the provision of liquidity services. When these become constrained, there is a liquidity crisis which leads to downward price and liquidity spiral. Overall, the volume demonstrates the important role of liquidity in asset pricing.


Book
Financial and Insurance Formulas
Authors: ---
ISBN: 9783790825930 9783790825923 9783790829013 9783790825947 Year: 2010 Publisher: Heidelberg Physica-Verlag HD Imprint Physica

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Abstract

This survey contains more than 3,000 formulas and methods from the field of finance and insurance mathematics (as well as related formulas in mathematics, probability theory, statistics, econometrics, index numbers, demography, stochastic processes and time series). The formulas are mostly applicable in financial and actuarial practice. Their mathematical level ranges from simple ones based on arithmetic to very sophisticated matters of higher mathematics (e. g. stochastic calculus), but they are usually presented in the form most frequently used in applications. Explanations and references to related parts of the survey are given so that one can easily browse and look them up in the text; the detailed Index is also helpful for this purpose. The survey will be of benefit for students, researchers and practitioners in finance and insurance.

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