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Quantitative Financial Economics: Stocks, Bonds And Foreign Exchange

Quantitative Financial Economics: Stocks, Bonds And Foreign Exchange

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  • ISBN:9780470091715
  • Editorial: Wiley & Sons Ltd.
  • Fecha de la edición:
  • Número de la edición: 2
  • Encuadernación:
  • Dimensiones: 0 cm x 0 cm
  • Nº Pág.:720
  • Idiomas:Ingles,Inglés

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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

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