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| RETURN DISTRIBUTIONS IN FINANCE
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To order this title, and for more information, click here
By
Stephen Satchell, Consultant to financial institutions and Reader in Financial Econometrics at Trinity College, Cambridge, Stephen Satchell is Editor-in-Chief
of the Journal of Asset Management and Derivatives, Use, Trading, and Regulation. He has edited or authored over 20 books on finance.
John Knight, FCIBSE (Haden Young Ltd), UK
Included in series
Quantitative Finance,
Description
Quantitative methods have revolutionised the area of trading, regulation, risk management, portfolio construction, asset pricing and treasury
activities, and governmental activity such as central banking.
One of the original contributions in this area is the classic by Cootner
entitled 'The Random Nature of Stock Market Prices'. This work investigated the statistical properties of asset prices and was one of
the first works to investigate this area in a rigorous manner.
Much has happened in this field in the last 35 years and 'Return Distributions
in Finance' contains much new information that reflects this huge growth.
The authors combined experience reflects not only the new
theory but also the new practice in this fascinating area. The rise of financial engineering now allows us to change the nature of asset
returns to whatever pattern we desire, albeit at a cost. Benefits and costs can only be understood if we understand the underlying processes.
'Return Distributions in Finance' allows us to gain that understanding.
Audience
Industry professionals, Finance analysts, PhD and advanced MBA students.
Contents
Return distributions; Stochastic processes; Derivative pricing for different return distribution; Impact of volatility on different distributions;
Return distributions and value at risk; Forecasting sudden jumps/crashes in returns; Returns of different asset classes and choosing
portfolios; Returns and tactical asset allocations; Returns to trading strategies; Reshaping the return profile using derivatives.
| Bibliographic details |
Hardbound, 224 pages, publication date: DEC-2000
ISBN-13: 978-0-7506-4751-9
ISBN-10: 0-7506-4751-5
Imprint: BUTTERWORTH HEINEMANN
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| Price and Ordering |
Price:
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USD 125
GBP 80
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Last update: 7 Sep 2009
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