Excess Volatility in the Term Structure of Interest Rates, in Share Prices and in Eurozone Derivatives...

— —

Amia Santini

Excess Volatility in the Term Structure of Interest Rates, in Share Prices and in Eurozone Derivatives

Name: Excess Volatility in the Term Structure of Interest Rates, in Share Prices and in Eurozone Derivatives
Price: 165.78 AUD
Availability: OutOfStock
ISBN: 9783658374495

Amia Santini

$206.95 $165.78

Paperback

Not in-store but you can order this
How long will it take?

Availability Information

We source books from suppliers in Australia and overseas. For books we don't currently have in stock, the time it takes to get them from our suppliers can vary widely - from a few days to a few months - so we check each book with each supplier to determine the expected time it will take to be supplied to us.

We will update you on expected arrival time to us. If this delay is too long, please let us know within 2 business days and we can give you options regarding cancelling or adjusting your order. More details on cancelling your order can be found in our Terms of Trade.

To find out the anticipated arrival time for specific items prior to ordering, please contact us by phone or email:

Phone +61 2 9264 3111, or 1800 4 BOOKS (1800 4 26657) if outside Sydney:
option 1 Abbey's Bookshop (Crime, History, Science, Kids & more) • info@abbeys.com.au
option 2 Language Book Centre (ESL & Foreign Languages) • language@abbeys.com.au
option 3 Galaxy Bookshop (Sci-fi, Fantasy, Romance, Graphic Novels) • sf@galaxybooks.com.au

QTY:

English

Springer Gabler
04 May 2022

Civil service & public sector

Series: BestMasters

The phenomenon of excess volatility in the context of share prices and of the term structure of interest rates has been documented by the existing literature, highlighting the limitations of traditional models of rational expectations and of reliance on the efficient market hypothesis. The data violates the bounds on volatility that are derived from them. Amia Santini studies the possible shortcomings of the methodologies used to uncover those inconsistencies, and the potential explanations of the observed phenomenon that can be considered in line with the rational expectation framework. She focuses on a relatively newer field of study: derivative instruments. Previous results of excess volatility, recovered with a worldwide focus, are presented and an empirical analysis is performed to assess whether a similar outcome would be obtained in the Eurozone market. The exploration of financial information that falls underneath the risk-neutral measure, such as derivative prices, reduces theimportance of time-varying discount rates as a potential explanation of excess volatility. In fact, the martingale measure already incorporates all potential variation in risk premia, which is the main driver of changes in discount rates. This opens the door to different and innovative prospects, and specific attention is paid to a new model for investor behaviour, that of natural expectations.

By: Amia Santini
Imprint: Springer Gabler
Country of Publication: Germany
Edition: 1st ed. 2022
Dimensions: Height: 210mm, Width: 148mm,
Weight: 131g
ISBN: 9783658374495
ISBN 10: 3658374497
Series: BestMasters
Pages: 77
Publication Date: 04 May 2022
Audience: Professional and scholarly , Undergraduate
Format: Paperback
Publisher's Status: Active

1 Abstract.- 2 Introduction.- 3 Chapter I: Literature on the subject of excess volatility.- 4 Chapter II: Excess volatility beyond discount rates.- 5 Chapter III: Evidence of excess volatility in the Eurozone market.- 6 Conclusions.

Amia Santini is a PhD student in statistics at the University of Bologna (Italy). Her work focusses on the field of green finance.