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Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange

Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange
Author: Keith Cuthbertson - Dirk Nitzsche
ISBN 13: 9780470091715
ISBN 10: 470091711
Edition: 2
Publisher: Wiley
Publication Date: 2004-12-27
Format: Paperback
Pages: 736
List Price: N/A

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.