Return Distributions in Finance

Return Distributions in Finance

Author: Stephen Satchell

Publisher: Elsevier

ISBN: 9780080516240

Category: Business & Economics

Page: 224

View: 541

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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. 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
Return Distributions in Finance
Language: en
Pages: 224
Authors: Stephen Satchell, John Knight
Categories: Business & Economics
Type: BOOK - Published: 2000-12-08 - Publisher: Elsevier

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
Return Distributions in Finance
Language: en
Pages: 313
Authors: John Knight, Stephen Satchell
Categories: Business & Economics
Type: BOOK - Published: 2001-01 - Publisher:

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
Handbook of Heavy Tailed Distributions in Finance
Language: en
Pages: 704
Authors: S.T Rachev
Categories: Business & Economics
Type: BOOK - Published: 2003-03-05 - Publisher: Elsevier

The Handbooks in Finance are intended to be a definitive source for comprehensive and accessible information in the field of finance. Each individual volume in the series should present an accurate self-contained survey of a sub-field of finance, suitable for use by finance and economics professors and lecturers, professional researchers,
Copulae and Multivariate Probability Distributions in Finance
Language: en
Pages: 208
Authors: Alexandra Dias, Mark Salmon, Chris Adcock
Categories: Business & Economics
Type: BOOK - Published: 2013-08-21 - Publisher: Routledge

Portfolio theory and much of asset pricing, as well as many empirical applications, depend on the use of multivariate probability distributions to describe asset returns. Traditionally, this has meant the multivariate normal (or Gaussian) distribution. More recently, theoretical and empirical work in financial economics has employed the multivariate Student (and
Financial Econometrics
Language: en
Pages: 560
Authors: Svetlozar T. Rachev, Stefan Mittnik, Frank J. Fabozzi, Sergio M. Focardi, Teo Jašić
Categories: Business & Economics
Type: BOOK - Published: 2007-03-22 - Publisher: John Wiley & Sons

A comprehensive guide to financial econometrics Financial econometrics is a quest for models that describe financial time series such as prices, returns, interest rates, and exchange rates. In Financial Econometrics, readers will be introduced to this growing discipline and the concepts and theories associated with it, including background material on