An engine, not a camera : how financial models shape markets / Donald MacKenzie.

Format:

Book

Author/Creator:

MacKenzie, Donald A., author.

Series:

Inside technology

Language:

English

Subjects (All):

Capital market--Mathematical models.

Capital market.

Derivative securities--Mathematical models.

Derivative securities.

Financial crises--Mathematical models.

Financial crises.

Financial crises--Case studies.

Genre:

Case studies.

Physical Description:

1 online resource (x, 377 pages) : illustrations.

Place of Publication:

Cambridge, Mass. : MIT Press, [2006]

System Details:

text file

Summary:

This pioneering work in the social studies of finance describes how the emergence of modern finance theory has affected financial markets in fundamental ways. Paraphrasing Milton Friedman, the author says that economic models are an engine of inquiry rather than a camera to reproduce empirical facts.

Contents:

1 Performing Theory? 1

2 Transforming Finance 37

3 Theory and Practice 69

4 Tests, Anomalies, and Monsters 89

5 Pricing Options 119

6 Pits, Bodies, and Theorems 143

7 The Fall 179

8 Arbitrage 211

9 Models and Markets 243

Appendix A An Example of Modigliani and Miller's "Arbitrage Proof" of the Irrelevance of Capital Structure to Total Market Value 277

Appendix B Levy Distributions 279

Appendix C Sprenkle's and Kassouf's Equations for Warrant Prices 281

Appendix D The Black-Scholes Equation for a European Option on a Non-Dividend-Bearing Stock 283

Appendix E Pricing Options in a Binomial World 285

Appendix F Repo, Haircuts, and Reverse Repo 289

Appendix G A Typical Swap-Spread Arbitrage Trade 291

Appendix H List of Interviewees 293.

Notes:

OCLC-licensed vendor bibliographic record.

ISBN:

9780262278805

0262278804

1423774485

9781423774488

9780262250047

0262250047

9780262633673

0262633671

0262134608

9780262134606

OCLC:

69662285

Publisher Number:

9780262134606

Access Restriction:

Restricted for use by site license.