Quantitative financial economics: Stocks, bonds and foreign exchange. Dirk Nitzsche, Keith Cuthbertson

Quantitative financial economics: Stocks, bonds and foreign exchange



Download Quantitative financial economics: Stocks, bonds and foreign exchange



Quantitative financial economics: Stocks, bonds and foreign exchange Dirk Nitzsche, Keith Cuthbertson ebook pdf
Publisher: Wiley
Language: English
Page: 738
ISBN: 0470091711, 9780470091715

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.

From the Inside Flap

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.

The book has a supporting website wiley.co.uk/cuthbertson which includes questions and answers, illustrative Excel and GAUSS programmes and econometrics notes.



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