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- Product code: 15614
- ISBN: 0471953601,
ISBN13: 9780471953609,
492 pages, paperback
Published by John Wiley & Sons on 1996
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Contents of Quantitative Financial Economics |
Part 1 Returns and Valuations
1 Basic Concepts in Finance
1.1 Returns on Stocks, Bonds and Real Assets
1.2 Utility and Indifference Curves
1.3 Physical Investment Decisions and Optimal Consumption
1.4 Summary
Endnotes
2 The Capital Asset Pricing Model: CAPM
2.1 An Overview
2.2 Portfolio Diversification, Efficient Frontier and the Transformation Line
2.3 Derivation of the CAPM
2.4 Summary
Appendix 2.1 Derivation of the CAPM
3 Modelling Equilibrium Returns
3.1 Extensions of the CAPM
3.2 A Simple Mean-Variance Model of Asset Demands
3.3 Performance Measures
3.4 The Arbitrage Pricing Theory (APT)
3.5 Testing the Single Index Model, the CAPM and the APT
3.6 Summary
4 Valuation Models
4.1 The Rational Value Formula (RVF)
4.2 Summary
Endnotes
Further Reading
Part 2 Efficiency, Predictability and Volatility
5 The Efficient Market Hypothesis
5.1 Overview
5.2 Implications of the EMH
5.3 Expectations, Martingales and Fair Game
5.4 Testing the EMH
5.5 Summary
Endnotes
6 Empirical Evidence on Efficiency in the Stock Market
6.1 Predictability in Stock Returns
6.2 Volatility Tests
6.3 Summary
Endnotes
Appendix 6.1
7 Rational Bubbles
7.1 Euler Equation and the Rational Valuation Formula
7.2 Tests of Rational Bubbles
7.3 Intrinsic Bubbles
7.4 Summary
Endnotes
8 Anomalies, Noise Traders and Chaos
8.1 The EMH and Anomalies
8.2 Noise Traders
8.3 Chaos
8.4 Summary
Appendix 8.1
Appendix 8.2
Endnote
Further Reading
Part 3 The Bond Market
9 Bond Prices and the Term Structure
9.1 Prices, Yields and the RVF
9.2 Theories of the Term Structure
9.3 Summary
Endnotes
10 Empirical Evidence on the Term Structure
10.1 The Behavior of Rates of Return
10.2 Pure Discount Bonds
10.3 Coupon Paying Bonds: Bond Prices and the Yield to Maturity
10.4 Summary
Appendix 10.1 Is the Long Rate a Martingale?
Appendix 10.2 Forward Rates
Endnotes
Further Reading
Part 4 The Foreign Exchange Market
11 Basic Arbitrage Relationships in the FOREX Market
11.1 Covered and Uncovered Interest Parity (CIP)
11.2 Purchase Power Parity (PPP)
11.3 Interrelationships between CIP, UIP and PPP
11.4 Summary
Appendix 11.1 PPP and the Wage-Price Spiral
12 Testing CIP, UIP and FRU
12.1 Covered Interest Arbitrage
12.2 Uncovered Interest Parity and Forward Rate Unbiasedness
12.3 Forward Rate: Risk Aversion and Rational Expectations
12.4 Exchange Rates and News
12.5 Peso Problems and Noise Traders
12.6 Summary
Appendix 12.1 Derivation of Fama's Decomposition of the Risk Premium in the Forward Market
13 The Exchange Rate and Fundamentals
13.1 Flex-Price Monetary Model
13.2 Stick-Price Monetary Model (SPMM)
13.3 Dornbush Overshooting Model
13.4 Frankel Real Interest Differential Model (RIDM)
13.5 Testing the Models
13.6 Chaos and Fundamentals
13.7 Summary
Further Reading
Part 5 Tests of the EMH using the VAR Methodology
14 The Term Structure and the Bond Market
14.1 Cross-equation Restr&tions and Informational Efficiency
14.2 The VAR Approach
14.3 Empirical Evidence
14.4 Summary
Endnotes
15 The FOREX Market
15.1 Efficiency in the FOREX Market
15.2 Recent Empirical Results
15.3 Summary
Endnotes
16 Stock Price Volatility
16.1 Theoretical Issues
16.2 Stock Price Volatility and the VAR Methodology
16.3 Empirical Results
16.4 Persistence and Volatility
Appendix 16.1 Returns, Variance Decomposition and Persistence
Endnotes
Further Reading
Part 6 Time Varying Risk Premia
17 Risk Premia: The Stock Market
17.1 What Influences Stock Market Volatility?
17.2 The Impact of Risk on Stock Returns
17.3 Summary
18 The Mean-Variance Model and the CAPM
18.1 The Mean-Variance Model
18.2 Tests of the CAPM Using Asset Shares
18.3 Summary
19 Risk Premia and the Bond Market
19.1 Time-Varying Risk: Pure Discount Bonds
19.2 Time-Varying Risk: Long-Term Bonds
19.3 Interaction Between Stock and Bond Markets
19.4 Summary
Endnotes
Further Reading
Part 7 Econometric Issues in testing Asset Pricing Models
20 Economic and Statistical Models
20.1 Univariate Time Series
20.2 Multivariate Time Series
20.3 Simple ARCH and GARCH Models
20.4 Rational Expectations: estimation Issues
Further Reading
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