Dirk Nitzsche - Böcker

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 learningMean-variance and intertemporal asset allocationPerformance of mutual and hedge fundsMomentum, value-glamour strategies, style investing, market timing.Stochastic discount factor models: Equity premium and volatility puzzlesAffine and cash-in-advance modelsValue at risk: Monte Carlo simulation, bootstrapping.Market microstructure: FX markets, technical trading, chartismCalibration, 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.

Based on class-tested material, this book is an excellent introduction to global financial markets. The authors link theory and real world issues in their coverage of equity, bond and FX strategies including methods such as chartism, neural networks and chaos theory. Raising funds in the money markets and via equity and debt securities, as well as dividend and merger policy provide further practical illustrations of theoretical ideas. Futures, options and swaps and their use in speculation, hedging and arbitrage are also examined. The authors include a vast array of pedagogy, including chapter objectives summaries; end of chapter exercises; numerous real-world examples and case vignettes; Excel spreadsheets providing simulations for the reader; a glossary of terms; clear, simple and consistent mathematical notation.

This text provides a thorough treatment of futures, 'plain vanilla' options and swaps as well as the use of exotic derivatives and interest rate options for speculation and hedging. Pricing of options using numerical methods such as lattices (BOPM), Mone Carlo simulation and finite difference methods, in additon to solutions using continuous time mathematics, are also covered. Real options theory and its use in investment appraisal and in valuing internet and biotechnology companies provide cutting edge practical applications.Practical risk management issues are examined in depth. Alternative models for calculating Value at Risk (market risk) and credit risk provide the throretical basis for a practical and timely overview of these areas of regulatory policy.This book is designed for courses in derivatives and risk management taken by specialist MBA, MSc Finance students or final year undergraduates, either as a stand-alone text or as a follow-on to Investments: Spot and Derivatives Markets by the same authors.The authors adopt a real-world emphasis throughout, and include features such as:* topic boxes, worked examples and learning objectives* Financial Times and Wall Street Journal newspaper extracts and analysis of real world cases* supporting web site including Lecturer's Resource Pack and Student Centre with interactive Excel and GAUSS software