Quantitative Financial Economics

Author : Keith Cuthbertson,Dirk Nitzsche
Publisher : John Wiley & Sons
Page : 736 pages
File Size : 45,5 Mb
Release : 2005-05-05
Category : Business & Economics
ISBN : 9780470091722

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Quantitative Financial Economics by Keith Cuthbertson,Dirk Nitzsche Pdf

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.

Author : Keith Cuthbertson,Dirk Nitzsche
Publisher : Unknown
Page : 720 pages
File Size : 43,5 Mb
Release : 2004
Category : Bonds
ISBN : OCLC:857094959

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Quantitative Financial Economics by Keith Cuthbertson,Dirk Nitzsche Pdf

Author : Keith Cuthbertson
Publisher : John Wiley & Sons Incorporated
Page : 470 pages
File Size : 47,9 Mb
Release : 1996-10-08
Category : Business & Economics
ISBN : 0471953601

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Quantitative Financial Economics by Keith Cuthbertson Pdf

Quantitative Financial Economics Stocks, Bonds and Foreign Exchange Quantitative techniques in finance have become vitally important to academics and professionals in the financial markets looking to gain a more profitable edge. Quantitative Financial Economics provides a comprehensive introduction to models of economic behaviour in financial markets, focusing on discrete time series analysis. It covers the most recent theoretical and econometric advances in the field, including: * Models of noise trader behaviour and short-termism * Rational and intrinsic bubbles * Chaos and time varying risk * Non-stationarity and cointegration * Rational expectations * ARCH and GARCH models The author demonstrates how competing theoretical models may be tested and provides illustrative empirical results and theories from the stock, bond and foreign exchange markets. With a judicious blend of theory and practice Quantitative Financial Economics progresses from simple to more complex theoretical models and empirical tests, making it accessible to both students and practitioners undertaking research into the behaviour of asset returns and prices.

Author : Tomas Kliestik,Katarina Valaskova,Maria Kovacova
Publisher : MDPI
Page : 164 pages
File Size : 47,9 Mb
Release : 2021-04-08
Category : Business & Economics
ISBN : 9783036505367

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Quantitative Methods in Economics and Finance by Tomas Kliestik,Katarina Valaskova,Maria Kovacova Pdf

The purpose of the Special Issue “Quantitative Methods in Economics and Finance” of the journal Risks was to provide a collection of papers that reflect the latest research and problems of pricing complex derivates, simulation pricing, analysis of financial markets, and volatility of exchange rates in the international context. This book can be used as a reference for academicians and researchers who would like to discuss and introduce new developments in the field of quantitative methods in economics and finance and explore applications of quantitative methods in other business areas.

Author : Nikiforos T. Laopodis
Publisher : Routledge
Page : 787 pages
File Size : 47,6 Mb
Release : 2021-12-14
Category : Business & Economics
ISBN : 9781000506082

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Financial Economics and Econometrics by Nikiforos T. Laopodis Pdf

Financial Economics and Econometrics provides an overview of the core topics in theoretical and empirical finance, with an emphasis on applications and interpreting results. Structured in five parts, the book covers financial data and univariate models; asset returns; interest rates, yields and spreads; volatility and correlation; and corporate finance and policy. Each chapter begins with a theory in financial economics, followed by econometric methodologies which have been used to explore the theory. Next, the chapter presents empirical evidence and discusses seminal papers on the topic. Boxes offer insights on how an idea can be applied to other disciplines such as management, marketing and medicine, showing the relevance of the material beyond finance. Readers are supported with plenty of worked examples and intuitive explanations throughout the book, while key takeaways, ‘test your knowledge’ and ‘test your intuition’ features at the end of each chapter also aid student learning. Digital supplements including PowerPoint slides, computer codes supplements, an Instructor’s Manual and Solutions Manual are available for instructors. This textbook is suitable for upper-level undergraduate and graduate courses on financial economics, financial econometrics, empirical finance and related quantitative areas.

Author : J.E. Trinidad-Segovia,Miguel Ángel Sánchez-Granero
Publisher : MDPI
Page : 418 pages
File Size : 41,5 Mb
Release : 2021-02-12
Category : Business & Economics
ISBN : 9783036501963

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Quantitative Methods for Economics and Finance by J.E. Trinidad-Segovia,Miguel Ángel Sánchez-Granero Pdf

This book is a collection of papers for the Special Issue “Quantitative Methods for Economics and Finance” of the journal Mathematics. This Special Issue reflects on the latest developments in different fields of economics and finance where mathematics plays a significant role. The book gathers 19 papers on topics such as volatility clusters and volatility dynamic, forecasting, stocks, indexes, cryptocurrencies and commodities, trade agreements, the relationship between volume and price, trading strategies, efficiency, regression, utility models, fraud prediction, or intertemporal choice.

Author : Igor V. Evstigneev,Thorsten Hens,Klaus Reiner Schenk-Hoppé
Publisher : Springer
Page : 224 pages
File Size : 51,9 Mb
Release : 2015-05-15
Category : Business & Economics
ISBN : 9783319165714

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Mathematical Financial Economics by Igor V. Evstigneev,Thorsten Hens,Klaus Reiner Schenk-Hoppé Pdf

This textbook is an elementary introduction to the key topics in mathematical finance and financial economics - two realms of ideas that substantially overlap but are often treated separately from each other. Our goal is to present the highlights in the field, with the emphasis on the financial and economic content of the models, concepts and results. The book provides a novel, unified treatment of the subject by deriving each topic from common fundamental principles and showing the interrelations between the key themes. Although the presentation is fully rigorous, with some rare and clearly marked exceptions, the book restricts itself to the use of only elementary mathematical concepts and techniques. No advanced mathematics (such as stochastic calculus) is used.

Author : Stephen F. LeRoy,Jan Werner
Publisher : Cambridge University Press
Page : 301 pages
File Size : 51,8 Mb
Release : 2001
Category : Business & Economics
ISBN : 9780521584340

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Principles of Financial Economics by Stephen F. LeRoy,Jan Werner Pdf

Financial economics, and the calculations of time and uncertainty derived from it, are playing an increasingly important role in non-finance areas, such as monetary and environmental economics. In this 2001 book, Professors Le Roy and Werner supply a rigorous yet accessible graduate-level introduction to this subfield of microeconomic theory and general equilibrium theory. Since students often find the link between financial economics and equilibrium theory hard to grasp, they devote less attention to purely financial topics such as calculation of derivatives, while aiming to make the connection explicit and clear in each stage of the exposition. Emphasis is placed on detailed study of two-date models, because almost all of the key ideas in financial economics can be developed in the two-date setting. In addition to rigorous analysis, substantial sections of discussion and examples are included to make the ideas readily understandable.

Author : Anonim
Publisher : Unknown
Page : 281 pages
File Size : 50,8 Mb
Release : 2021
Category : Electronic
ISBN : 9352697936

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Financial Economics by Anonim Pdf

Author : Thorsten Hens,Marc Oliver Rieger
Publisher : Springer Science & Business Media
Page : 377 pages
File Size : 44,9 Mb
Release : 2010-07-01
Category : Business & Economics
ISBN : 9783540361480

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Financial Economics by Thorsten Hens,Marc Oliver Rieger Pdf

Financial economics is a fascinating topic where ideas from economics, mathematics and, most recently, psychology are combined to understand financial markets. This book gives a concise introduction into this field and includes for the first time recent results from behavioral finance that help to understand many puzzles in traditional finance. The book is tailor made for master and PhD students and includes tests and exercises that enable the students to keep track of their progress. Parts of the book can also be used on a bachelor level. Researchers will find it particularly useful as a source for recent results in behavioral finance and decision theory.

Author : Thomas Mazzoni
Publisher : Cambridge University Press
Page : 599 pages
File Size : 47,6 Mb
Release : 2018-03-29
Category : Business & Economics
ISBN : 9781108419574

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A First Course in Quantitative Finance by Thomas Mazzoni Pdf

Using stereoscopic images and other novel pedagogical features, this book offers a comprehensive introduction to quantitative finance.

Author : Cheng-Few Lee,John Lee
Publisher : Springer Science & Business Media
Page : 1700 pages
File Size : 40,6 Mb
Release : 2010-06-14
Category : Business & Economics
ISBN : 9780387771175

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Handbook of Quantitative Finance and Risk Management by Cheng-Few Lee,John Lee Pdf

Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This two-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.

Author : John Y. Campbell,Andrew W. Lo,A. Craig MacKinlay
Publisher : Princeton University Press
Page : 630 pages
File Size : 51,9 Mb
Release : 2012-06-28
Category : Business & Economics
ISBN : 9781400830213

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The Econometrics of Financial Markets by John Y. Campbell,Andrew W. Lo,A. Craig MacKinlay Pdf

The past twenty years have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals now routinely use sophisticated statistical techniques in portfolio management, proprietary trading, risk management, financial consulting, and securities regulation. This graduate-level textbook is intended for PhD students, advanced MBA students, and industry professionals interested in the econometrics of financial modeling. The book covers the entire spectrum of empirical finance, including: the predictability of asset returns, tests of the Random Walk Hypothesis, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, the term structure of interest rates, dynamic models of economic equilibrium, and nonlinear financial models such as ARCH, neural networks, statistical fractals, and chaos theory. Each chapter develops statistical techniques within the context of a particular financial application. This exciting new text contains a unique and accessible combination of theory and practice, bringing state-of-the-art statistical techniques to the forefront of financial applications. Each chapter also includes a discussion of recent empirical evidence, for example, the rejection of the Random Walk Hypothesis, as well as problems designed to help readers incorporate what they have read into their own applications.

Author : Christopher Hian Ann Ting
Publisher : World Scientific Publishing Company
Page : 272 pages
File Size : 45,7 Mb
Release : 2015-09-16
Category : Business & Economics
ISBN : 9789814704328

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An Introduction to Quantitative Finance by Christopher Hian Ann Ting Pdf

This concise textbook provides a unique framework to introduce Quantitative Finance to advanced undergraduate and beginning postgraduate students. Inspired by Newton's three laws of motion, three principles of Quantitative Finance are proposed to help practitioners also to understand the pricing of plain vanilla derivatives and fixed income securities. The book provides a refreshing perspective on Box's thesis that "all models are wrong, but some are useful." Being practice- and market-oriented, the author focuses on financial derivatives that matter most to practitioners. The three principles of Quantitative Finance serve as buoys for navigating the treacherous waters of hypotheses, models, and gaps between theory and practice. The author shows that a risk-based parsimonious model for modeling the shape of the yield curve, the arbitrage-free properties of options, the Black-Scholes and binomial pricing models, even the capital asset pricing model and the Modigliani-Miller propositions can be obtained systematically by applying the normative principles of Quantitative Finance.

Author : Wolfgang Karl Härdle,Cathy Yi-Hsuan Chen,Ludger Overbeck
Publisher : Springer
Page : 372 pages
File Size : 41,5 Mb
Release : 2017-08-02
Category : Business & Economics
ISBN : 9783662544860

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Applied Quantitative Finance by Wolfgang Karl Härdle,Cathy Yi-Hsuan Chen,Ludger Overbeck Pdf

This volume provides practical solutions and introduces recent theoretical developments in risk management, pricing of credit derivatives, quantification of volatility and copula modeling. This third edition is devoted to modern risk analysis based on quantitative methods and textual analytics to meet the current challenges in banking and finance. It includes 14 new contributions and presents a comprehensive, state-of-the-art treatment of cutting-edge methods and topics, such as collateralized debt obligations, the high-frequency analysis of market liquidity, and realized volatility. The book is divided into three parts: Part 1 revisits important market risk issues, while Part 2 introduces novel concepts in credit risk and its management along with updated quantitative methods. The third part discusses the dynamics of risk management and includes risk analysis of energy markets and for cryptocurrencies. Digital assets, such as blockchain-based currencies, have become popular b ut are theoretically challenging when based on conventional methods. Among others, it introduces a modern text-mining method called dynamic topic modeling in detail and applies it to the message board of Bitcoins. The unique synthesis of theory and practice supported by computational tools is reflected not only in the selection of topics, but also in the fine balance of scientific contributions on practical implementation and theoretical concepts. This link between theory and practice offers theoreticians insights into considerations of applicability and, vice versa, provides practitioners convenient access to new techniques in quantitative finance. Hence the book will appeal both to researchers, including master and PhD students, and practitioners, such as financial engineers. The results presented in the book are fully reproducible and all quantlets needed for calculations are provided on an accompanying website. The Quantlet platform quantlet.de, quantlet.com, quantlet.org is an integrated QuantNet environment consisting of different types of statistics-related documents and program codes. Its goal is to promote reproducibility and offer a platform for sharing validated knowledge native to the social web. QuantNet and the corresponding Data-Driven Documents-based visualization allows readers to reproduce the tables, pictures and calculations inside this Springer book.