Return Distributions in Finance
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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.
Key Features
- Assists in understanding asset return distributions
- Provides a full overview of financial risk management techniques in asset allocation
- Demonstrates how to use asset return forecast applications
Readership
Industry professionals, Finance analysts, PhD and advanced MBA students
Table of 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
Product details
- No. of pages: 224
- Language: English
- Copyright: © Butterworth-Heinemann 2000
- Published: December 8, 2000
- Imprint: Butterworth-Heinemann
- eBook ISBN: 9780080516240
About the Authors
Stephen Satchell
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.
Affiliations and Expertise
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
Affiliations and Expertise
FCIBSE (Haden Young Ltd), UK
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