Keith Cuthbertson, Dirk Nitzsche

Quantitative Financial Economics (eBook, PDF)

Stocks, Bonds and Foreign Exchange

• Format: PDF

Produktbeschreibung

Quantitative Financial Economics Quantitative Financial Economics provides a comprehensive introduction to models of economic behaviour in financial markets, focusing on analysis in discrete time. Following the huge success of the first edition, this second edition has been fully revised and updated to reflect new developments in theory and practice, including: * Behavioural finance: Preferences, arbitrage and learning * Mean-variance and intertemporal asset allocation * Performance of mutual and hedge funds * Momentum, value-glamour strategies, style investing, market timing. * Stochastic discount factor models: Equity premium and volatility puzzles * Affine and cash-in-advance models * Value at risk: Monte Carlo simulation, bootstrapping. * Market microstructure: FX markets, technical trading, chartism * Calibration, regime switching, data snooping, non-linear models. The authors provide theories and tests of competing ideas in financial markets using examples from the stock, bond and foreign exchange markets. Emphasis is placed on how models inform real-world decisions, making this book accessible to both students and quants practitioners studying the behaviour of asset returns and prices. REVIEWS FOR 1ST EDITION Review of 1st edition in Journal of Banking and Finance (22, pp 121-124): "In general the book is well written with a lucid exposition and Cuthbertson is eager on giving intuitive explanations whenever possible. Thus students and empirical researchers in macroeconomics and finance will undoubtedly find the book very valuable." Tom Engsted, Aarhus School of Business, Aarhus, Denmark Review of 1st edition in Journal of Finance (53(1), pp. 417-420): "I found the book accessible and informative on a variety of topics. It provided me with a different perspective on some of the recent empirical literature. I believe that many finance doctoral student and academics would find it to be a useful resource and a handy reference." Robert F. Whitelaw, Stern School of Business, NYU The book has a supporting website http://www.wiley.co.uk/cuthbertson which includes questions and answers, illustrative Excel and GAUSS programmes and econometrics notes.

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Produktdetails

• Verlag: John Wiley & Sons
• Seitenzahl: 736
• Erscheinungstermin: 5. Mai 2005
• Englisch
• ISBN-13: 9780470091722
• Artikelnr.: 37290484

Autorenporträt

Keith Cuthbertson is Professor of Finance at CASS Business School, City University, London. He has been an advisor to the Bank of England and UK Treasury and a visitor at the Federal Reserve, Washington DC and Bundesbank Professor at the Freie University, Berlin. He has held chairs at the University of Newcastle and Tanaka Business School, Imperial College, as well as undertaking consultancy with financial institutions. Dirk Nitzsche is an Associate Professor in Finance at CASS Business School and previously was at the Tanaka Business School, Imperial College. Complementary texts by the same authors are Investments: Spot and Derivatives Markets, and Financial Engineering: Derivatives and Risk Management (2001) both published by John Wiley & Sons, Ltd.

Inhaltsangabe

Chapter 1 Basic Concepts in Finance. Chapter 2 Basic Statistics in Finance
. Chapter 3 Efficient Markets Hypothesis. Chapter 4 Are Stock Returns
Predictable? Chapter 5 Mean-Variance Portfolio Theory and the CAPM. Chapter
6 International Portfolio Diversification . Chapter 7 Performance Measures,
CAPM and APT. Chapter 8 Empirical Evidence: CAPM And APT . Chapter 9
Applications of Linear Factor Models. Chapter 10 Valuation Models and Asset
Returns. Chapter 11 Stock Price Volatility. Chapter 12 Stock Prices: The
VAR Approach. Chapter 13 SDF Model and the C-CAPM . Chapter 14 C-CAPM:
Evidence and Extensions . Chapter 15 Intertemporal Asset Allocation: Theory
. Chapter 16 Intertemporal Ass et Allocation: Empirics . Chapter 17
Rational Bubbles and Learning. Chapter 18 Behavioural Finance and Anomalies
. Chapter 19 Behavioural Models. Chapter 20 Theories of the Term Structure
. Chapter 21 The EH - From Theory to Testing. Chapter 22 Empirical Evidence
on the Term Structure. Chapter 23 SDF and Affine Term Structure Models.
Chapter 24 The Foreign Exchange Market . Chapter 25 Testing CIP, UIP and
FRU. Chapter 26 Modelling the FX Risk Premium . Chapter 27 The Exchange
Rate and Fundamentals . Chapter 28 Market Risk: Value At Risk . Chapter 29
Volatility and Market Microstucture . References. Index.