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Quantitative Financial Economics : Stocks, Bonds and Foreign Exchange

By: (Author) Dirk Nitzsche , (Author) Keith Cuthbertson

Extended Catalogue

Ksh 8,250.00

Format: Paperback / Softback

ISBN-10: 0470091711

ISBN-13: 9780470091715

Edition Number: 2

Series: Financial Economics and Quantitative Analysis Series

Publisher: John Wiley & Sons Inc

Imprint: John Wiley & Sons Inc

Country of Manufacture: GB

Country of Publication: GB

Publication Date: Nov 19th, 2004

Print length: 736 Pages

Weight: 1,382 grams

Dimensions (height x width x thickness): 24.60 x 19.00 x 3.90 cms

Product Classification: Economics

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Reflects the theoretical and econometric/empirical advances in the financial markets. This book provides an introduction to models of economic behaviour in financial markets, focusing on discrete time series analysis.
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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