Keith Cuthbertson, Dirk Nitzsche

Quantitative Financial Economics

Stocks, Bonds and Foreign Exchange

• Broschiertes Buch

Produktbeschreibung

This new edition of the hugely successful Quantitative Financial Economics has been revised and updated to reflect the most recent theoretical and econometric/empirical advances in the financial markets. It provides an introduction to models of economic behaviour in financial markets, focusing on discrete time series analysis. Emphasis is placed on theory, testing and explaining 'real-world' issues.

The new edition will include:
_ Updated charts and cases studies.
_ New companion website allowing students to put theory into practice and to test their knowledge through questions and answers.
_ Chapters on Monte Carlo simulation, bootstrapping and market microstructure.

Produktdetails

• Verlag: Wiley & Sons
• 2. Aufl.
• Seitenzahl: 736
• Erscheinungstermin: 19. November 2004
• Englisch
• Abmessung: 247mm x 190mm x 45mm
• Gewicht: 1545g
• ISBN-13: 9780470091715
• ISBN-10: 0470091711
• Artikelnr.: 06988833

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.

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.