Free Ebook Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange (Financial Economics and Quantitative Analysis Series)
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Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange (Financial Economics and Quantitative Analysis Series)
Free Ebook Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange (Financial Economics and Quantitative Analysis Series)
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Product details
Series: Financial Economics and Quantitative Analysis Series (Book 4)
Hardcover: 492 pages
Publisher: Wiley; 1 edition (December 2, 1996)
Language: English
ISBN-10: 0471953598
ISBN-13: 978-0471953593
Product Dimensions:
6.9 x 1.4 x 9.8 inches
Shipping Weight: 2.4 pounds
Average Customer Review:
4.2 out of 5 stars
8 customer reviews
Amazon Best Sellers Rank:
#10,974,534 in Books (See Top 100 in Books)
it is very goodï¼
I am very happy with this book. It reach many topics of finance in precise way. I highly recommend it.
An old book for the latest age. It was a good one ten years ago.
This is fast becoming one of my favorite books, simply because it packs so much into one volume (where I previously had to turn to three). "Quantitative Financial Economics" rivals Bodie, Kane and Marcus, and Elton and Gruber in scope and quality.It almost goes without saying, but this book is much better than anything by Frank Fabozzi.No one book can contain everything, but lord knows Cuthbertson and Nitzche try. Here is a quick list of chapters: Basic Concepts in Finance; Basit Statistics; Efficient Market Hypothesis; Are Stock Returns Predictable?; Mean-Variance Portfolio Theory and the CAPM; International Portfoli Diversification; Performance Measures, CAPM and APT; Emperical Evidence: CAPM and APT; Applications of Linear Factor Models; Valuation Models and Asset Returns; Stock Pricve Volatility; Stock Prices: the VAR Approach; SDF Model and the C-CAPM; C-CAPM: Evidence and Extensions; Intertemporal Asset Allocation: Theory; Intertemporal Asset Allocation: Emperics; Rational Bubbles and Learning; Behavioral Finance and Anomalies; Behaviorla Models; Theories of the Term Structure; The EH-From Theory to Testing; Empirical Evidenceon the Term Stucture; SDF and Affine Term Structure Models; The Foreign Exchange market; Testing CIP, UIP, and FRU; Modeling the FX Risk Premium; Exchange Rate Fundamentals; Market Risk; Volatitlity and market Microstructure.Whew!If I had to recommend a single book to someone who had the energy and discipline to teach themselves the basics of modern finance, this would be the book I'd recommend. I'd also recommend this as an excellent "one stop shopping" refresher for PhD in Finance candidates who are about to take comprehensive exams, for this work serves as a very strong and efficient outline of the most important topics in empirical and academic finance.Weaknesses are few, but I will say that the chapters of foreign exchange have a "tacked on" quality to them that does not compare to the strengths of the other chapters on CAPM and EMH.An additional strength is that Cuthbertson and Nieztche are United Kingdom-based authors, and so the tone throughout is one of conscious international focus and attention. Bodie Kane and Marcus and Elton and Gruber often allude to an implicitly US biased market tone, which, as global capital efficiency increases, is becoming a liability.This is an excellent, highly recommended work for an introductory text, a support text for intermediate studies with a particular focus, or for support and review for advanced students. Cuthbertson and Nietzche have every reason to be proud, and "Quantitative Financial Economics" should be used by undergraduate and graduate programs, and widely available in reference libraries.
Most Finance graduate students with Engineering background will find this book very useful for the following reasons.a) The book builds upon concepts in a very modular engineering-like style (from basic stats, basic finance concepts, CAPM, APT, C-CAPM, Inter-temporal Asset Allocation, SDF and Affine Term Structure Models etc).b) The math is very similar to engineering math (not econ math with proofs by contradiction etc).c) Unlike the other theoretical books in the field, this book provides theory & empirical studies one after the other. So you can see how theory can be applied and what are some issues found in the empirical studies.All in all, it is a great book for a Finance PhD students, especially to those without Economics background.
This book contains one of the clearest discussions of the CAPM model that I have found anywhere. It is also quite rigorous. It also contains one of the most vague treatments of utility functions in existence. Overall this is an outstanding book on financial economics. Potential sophisticated readers should be aware that the book does rely almost exclusively on time series analysis and therefore is subject to the limitations associated with the same. But for a good clear introduction of the subject from a time series point of view the book is really hard to beat.
An excellent book to start understanding quantitaive methods in financial economics. This could serve as one of the best introductions to the first-timers. The author has taken care to explain the concepts in a lucid manner to prepare the student to take on the concepts at a greater detail. He even touches upon complex issues like stock market 'anomalies' and models of noise trader behaviour. The discussion on 'rational bubble'is also quite helpful. On the whole, a very good text to understand competing theoritical models in financial economics and their applicability in various markets like stock, bond and currency market.
A superb book particularly attractive for those who intend to learn about the application of econometric techniques to finance but likely to find its peer book by Campbell,Lo,McKinlay a bit too advanced...
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