Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange
Keith Cuthbertson; Dirk Nitzsche
Language: English
Published by Wiley, 2007
- Softcover
- Used
Seller: Books that Benefit, Fawley, United KingdomBooks that Benefit
AbeBooks seller since October 6, 2009
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Soft cover - no spine creases/very slight signs of wear/Good+. 720 pages. Content Good+. (1575g) Photo on request. As Books that Benefit gives the proceeds from the sale of this book to charity correct postage will be asked for when more than default price quoted.
Seller Inventory # 006184
- Title
- Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange
- Author
- Keith Cuthbertson; Dirk Nitzsche
- Publisher
- Wiley
- Publication year
- 2007
- Condition
- Good+
- Dust jacket
- No Jacket
- Binding
- Soft cover
- Language
- English
- ISBN 10
- 0470091711
- ISBN 13
- 9780470091715
- Edition
- Second Edition
- Seller catalogs
- Finance
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.
"Synopsis" may belong to another edition of this title.
About the Author
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.
"About the title" may belong to another edition of this title.
Books that Benefit
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