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Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange, 2nd Edition

ISBN: 978-0-470-09171-5

December 2004

736 pages

Description
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.

REVIEWS FOR 1ST EDITION

Review of 1st edition in Journal of Banking and Finance (22, pp 121-124):

“In general the book is well written with a lucid exposition and Cuthbertson is eager on giving intuitive explanations whenever possible. Thus students and empirical researchers in macroeconomics and finance will undoubtedly find the book very valuable.”
Tom Engsted, Aarhus School of Business, Aarhus, Denmark

Review of 1st edition in Journal of Finance (53(1), pp. 417-420):

“I found the book accessible and informative on a variety of topics. It provided me with a different perspective on some of the recent empirical literature. I believe that many finance doctoral student and academics would find it to be a useful resource and a handy reference.”
Robert F. Whitelaw, Stern School of Business, NYU

The book has a supporting website http://www.wiley.co.uk/cuthbertson which includes questions and answers, illustrative Excel and GAUSS programmes and econometrics notes.

About the Author
Keith Cuthbertson is Professor of Finance at CASS Business School, City University, London. He has been an advisor to the Bank of England and UK Treasury and a visitor at the Federal Reserve, Washington DC and Bundesbank Professor at the Freie University, Berlin. He has held chairs at the University of Newcastle and Tanaka Business School, Imperial College, as well as undertaking consultancy with financial institutions.

Dirk Nitzsche is an Associate Professor in Finance at CASS Business School and previously was at the Tanaka Business School, Imperial College.

New to Edition
  • 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.
Features
  • Covers the most recent theoretical and econometric/empirical advances in the financial markets field.
  • Empirical results illustrate technical theories.
  • Lucid and accessible - the reader progresses from simple to more complex models.
  • Skillfully blends theory and practice.