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Parimutuel applications in finance

Author: Ken Baron; Jeffrey Lange
Publisher: Houndmills, Basingstoke, Hampshire [England] ; New York : Palgrave, 2007.
Series: Finance and capital markets.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

Financial intermediaries typically offer derivatives to their customers only when they can hedge the exposures from these transactions. Baron and Lange show that parimutuel auctions can be used by  Read more...

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Ken Baron; Jeffrey Lange
ISBN: 1403939500 9781403939500
OCLC Number: 70175045
Description: xxvii, 278 pages : illustrations ; 24 cm.
Contents: 1. Introduction to derivatives --
2. Introduction to parimutuel matching --
3. Parimutuel applications --
4. A case study using nonfarm payrolls --
5. Derivative strategies and customer orders --
6. The parimutuel equilibrium --
7. The solution algorithm for the parimutuel equilibrium problem --
8. Mathematical properties of parimutuel equilibrium prices --
9. Mathematical properties of customer fills in the parimutuel equilibrium.
Series Title: Finance and capital markets.
Responsibility: Ken Baron and Jeffrey Lange.
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'This is the most exciting story of financial innovation ever told by the innovators themselves. Baron and Lange designed an exciting new method for the simultaneous auctioning of a family of Read more...

 
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