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An Engine, not a camera: how financial models shape markets

Author: MacKenzie, Donald Series: Inside technology Publisher: MIT Press, 2006.Language: EnglishDescription: 377 p. : Graphs ; 24 cm.ISBN: 0262134608Type of document: BookBibliography/Index: Includes bibliographical references and index
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Item type Current location Collection Call number Status Date due Barcode Item holds
Book Europe Campus
Main Collection
Print HG4515 .M33 2006
(Browse shelf)
Available 001220775
Total holds: 0

Includes bibliographical references and index


An Engine, Not a Camera How Financial Models Shape Markets Contents Acknowledgements ix 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 viii Contents 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 NonDividend-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G A Typical Swap-Spread Arbitrage Trade 291 Appendix H List of Interviewees 293 Glossary 297 Notes 303 Sources of Unpublished Documents 331 References 333 Series List 369 Index 371

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