Quantitative Financial Economics Stocks Bonds and Foreign Exchange 2nd Edition by Keith Cuthbertson, Dirk Nitzsche ISBN 047009172X 9780470091722

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Product details:

ISBN 10: 047009172X

ISBN 13: 9780470091722 

Author: Keith Cuthbertson, Dirk Nitzsche

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.

Table of contents:

1. Preface

2. Acknowledgements

3. Basic Concepts in Finance

4. Basic Statistics in Finance

5. Efficient Markets Hypothesis

6. Are Stock Returns Predictable?

7. Mean-Variance Portfolio Theory and the CAPM

8. International Portfolio Diversification

9. Performance Measures, CAPM and APT

10. Empirical Evidence: CAPM and APT

11. Applications of Linear Factor Models

12. Valuation Models and Asset Returns

13. Stock Price Volatility

14. Stock Prices: The VAR Approach

15. SDF Model and the C-CAPM

16. C-CAPM: Evidence and Extensions

17. Intertemporal Asset Allocation: Theory

18. Intertemporal Asset Allocation: Empirics

19. Rational Bubbles and Learning

20. Behavioural Finance and Anomalies

21. Behavioural Models

22. Theories of the Term Structure

23. The EH–From Theory to Testing

24. Empirical Evidence on the Term Structure

25. SDF and Affine Term Structure Models

26. The Foreign Exchange Market

27. Testing CIP, UIP and FRU

28. Modelling the FX Risk Premium

29. Exchange Rate and Fundamentals

30. Market Risk

31. Volatility and Market Microstructure

32. References

33. Recommended Reading

34. Index

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Tags: Keith Cuthbertson, Dirk Nitzsche, Quantitative Financial Economics, Stocks, Bonds, Foreign Exchange, Second Edition