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Parimutuel Applications In Finance Ken Baron

Parimutuel Applications In Finance By Ken Baron

Parimutuel Applications In Finance by Ken Baron


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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 financial intermediaries to offer derivatives without exposing themselves to risk.

Parimutuel Applications In Finance Summary

Parimutuel Applications In Finance: New Markets for New Risks by Ken Baron

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 financial intermediaries to offer derivatives without exposing themselves to risk.

Parimutuel Applications In Finance Reviews

'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 derivative securities whose payoffs depend on the future outcome of an economic variable of interest to hedgers and speculators. Their insight was that a parimutuel format would conserve liquidity across the different derivatives, rather than split it among them. Then they developed the market as a business, and wrote the book! This is financial engineering at its best, both colorful and rigorous. I highly recommend it to any student of derivative securities or financial market design. It will be a classic for years to come.' - Darrell Duffie, the James I. Miller Professor of Finance at the Graduate School of Business, Stanford University.

'The parimutuel concept is an exciting one that the world is only just beginning to appreciate. This book is the definitive treatise on this technology, as it is emerging today, and as it will be developed in the future. It is a book to be studied over future years as markets proliferate and become more and more important in our lives.' - Extract from the forward by Professor Robert Shiller.

About Ken Baron

KEN BARON is currently in the Quantitative Strategies Group at Citadel Investment Group, an investment management company. Formerly, he was the Director of Research at Longitude, Inc. He earned a PhD in Statistics from Stanford and a BA in Mathematics from the University of Chicago. Previously, Baron held posts at Moore Capital, where he was the Director of Quantitative Research, and CSFB, where he was a Director in Global Foreign Exchange.

JEFFREY LANGE is currently a Managing Director at Guggenheim Partners, an investment management company in New York. Lange co-founded Longitude and was a former director of Longitude, Inc. He earned undergraduate and graduate degrees in Engineering from Stanford University, earned his law degree from Yale, and did his doctoral work in Risk and Insurance at the Wharton School. Before becoming a practitioner in the financial markets, Lange was on the faculty at the University of Pennsylvania. His previously published research covers law and economics and the term structure of interest rates.

Table of Contents

With a forward by Professor Robert J. Shiller Parimutuel Wagering Introduction to Parimutuel Applications in Finance The Mathematics of Parimutuel Applications in Finance Mathematical Theorems Numerical Solution Techniques

Additional information

GOR008797533
9781403939500
1403939500
Parimutuel Applications In Finance: New Markets for New Risks by Ken Baron
Used - Very Good
Hardback
Palgrave USA
2006-11-28
278
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
This is a used book - there is no escaping the fact it has been read by someone else and it will show signs of wear and previous use. Overall we expect it to be in very good condition, but if you are not entirely satisfied please get in touch with us

Customer Reviews - Parimutuel Applications In Finance