Stocks, Bonds and Foreign Exchange
This textbook by Keith Cuthbertson covers quantitative financial economics and provides a thorough introduction to models of economic behavior in financial markets. With a focus on discrete-time series analysis, it is aimed at applications in equity, bond, and currency markets.
Description
Quantitative Financial Economics provides an up-to-date overview of theoretical and empirical developments in financial markets. The second edition has been fully updated with topics such as behavioral finance, intertemporal asset allocation, and market microstructure.
- Behavioral finance: preferences, arbitrage and learning processes
- Mean-variance and intertemporal wealth allocation
- Performance of mutual funds and hedge funds
- Strategies such as momentum, value-glamour, style investing and market timing
- Stochastic discount rate models and puzzles about premia and volatility
- Affine and cash-in-advance models
- Value at risk via Monte Carlo simulations and bootstrapping
- Market microstructure of FX markets, technical trading and chartism
- Calibration, regime switching and non-linear modeling
The authors analyze different theories and empirical tests in financial economics, with an emphasis on practical applications for students and professionals working in financial markets and the dynamics of asset prices.
Product specifications
- Author: Keith Cuthbertson (Imperial College, London, UK)
- Publisher: John Wiley & Sons Inc
- Publication date: 2004-11-19
- Number of pages: 736
- ISBN: 9780470091715
- Subject: Economics
- BISAC: BUSINESS & ECONOMICS / Economics / General
About the author
Keith Cuthbertson is a Professor of Finance at CASS Business School, City University, London. He advised, among others, the Bank of England and the UK Treasury and has been a visiting speaker at the Federal Reserve and the Bundesbank. In addition, he has held various professorial chairs and has provided consultancy for financial institutions.
Dirk Nitzsche is an Associate Professor in Finance at CASS Business School and previously was affiliated with Imperial College London. Complementary titles by these authors are Investments: Spot and Derivatives Markets and Financial Engineering: Derivatives and Risk Management.