Téléchargez le livre : Quantitative Financial Economics

Quantitative Financial Economics

Stocks, Bonds and Foreign Exchange

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Éditeur :

Wiley


Collection :

Financial Economics and Quantitative Analysis Series

Paru le : 2005-05-05



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Description
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.
Pages
736 pages
Collection
Financial Economics and Quantitative Analysis Series
Parution
2005-05-05
Marque
Wiley
EAN papier
9780470091715
EAN PDF
9780470091722
Informations sur l'ebook
Nombre pages copiables
0
Nombre pages imprimables
736
Taille du fichier
5591 Ko
Ce livre est accessible aux handicaps Voir les informations sur l'accessibilité
Prix
47,69 €

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