Linear Factor Models in Finance - Couverture rigide

Couverture rigide

ISBN 10 : 0750660066 ISBN 13 : 9780750660068

Editeur : Butterworth-Heinemann Ltd, 2004

Synopsis

The determination of the values of stocks, bonds, options, futures, and derivatives is done by the scientific process of asset pricing, which has developed dramatically in the last few years due to advances in financial theory and econometrics. This book covers the science of asset pricing by concentrating on the most widely used modelling technique called: Linear Factor Modelling.Linear Factor Models covers an important area for Quantitative Analysts/Investment Managers who are developing Quantitative Investment Strategies. Linear factor models (LFM) are part of modern investment processes that include asset valuation, portfolio theory and applications, linear factor models and applications, dynamic asset allocation strategies, portfolio performance measurement, risk management, international perspectives, and the use of derivatives. The book develops the building blocks for one of the most important theories of asset pricing - Linear Factor Modelling. Within this framework, we can include other asset pricing theories such as the Capital Asset Pricing Model (CAPM), arbitrage pricing theory and various pricing formulae for derivatives and option prices. As a bare minimum, the reader of this book must have a working knowledge of basic calculus, simple optimisation and elementary statistics. In particular, the reader must be comfortable with the algebraic manipulation of means, variances (and covariances) of linear combination(s) of random variables. Some topics may require a greater mathematical sophistication.

A propos du livre

À propos de l?auteur

Stephen Satchell is a Fellow of Trinity College, the Reader in Financial Econometrics at the University of Cambridge and Visiting Professor at Birkbeck College, City University Business School and University of Technology, Sydney. He provides consultancy for a range of city institutions in the broad area of quantitative finance. He has published papers in many journals and has a particular interest in risk.

Détails de l'édition

• Éditeur: Butterworth-Heinemann Ltd
• Date d'édition: 2004
• Langue: anglais
• ISBN 10: 0750660066
• ISBN 13: 9780750660068
• Reliure: Relié
• Nombre de pages: 304
• Éditeur: Knight John
• Coordonnées du fabricant: non disponible
• Personne responsable: Buchpark GmbH; gpsr@buchpark.de; ; Krügerweg 1; Trebbin; Brandenburg; 14959; Allemagne