Designed for MBA and advanced undergraduate students taking a course in investments/introduction to finance/financial markets. These courses aim to introduce students to the financial markets and instruments (including money markets, fixed income, equities and FX markets). Investments provides an introduction to risk management and provides a real world flavour throughout. The authors include a lot of pedagogy, namely: chapter objectives summaries; end of chapter exercises; numerous real-world examples and case vignettes; Excel spreadsheets providing simulations for the reader; a glossary of terms; clear, simple and consistent mathematical notation.
This text provides a thorough treatment of futures, 'plain vanilla' options and swaps as well as the use of exotic derivatives and interest rate options for speculation and hedging. Pricing of options using numerical methods such as lattices (BOPM), Mone Carlo simulation and finite difference methods, in additon to solutions using continuous time mathematics, are also covered. Real options theory and its use in investment appraisal and in valuing internet and biotechnology companies provide cutting edge practical applications. Practical risk management issues are examined in depth. Alternative models for calculating Value at Risk (market risk) and credit risk provide the throretical basis for a practical and timely overview of these areas of regulatory policy. This book is designed for courses in derivatives and risk management taken by specialist MBA, MSc Finance students or final year undergraduates, either as a stand-alone text or as a follow-on to Investments: Spot and Derivatives Markets by the same authors. The authors adopt a real-world emphasis throughout, and include features such as: * topic boxes, worked examples and learning objectives * Financial Times and Wall Street Journal newspaper extracts and analysis of real world cases * supporting web site including Lecturer's Resource Pack and Student Centre with interactive Excel and GAUSS software
Three experts provide an authoritative guide to the theory and practice of derivatives Derivatives: Theory and Practice and its companion website explore the practical uses of derivatives and offer a guide to the key results on pricing, hedging and speculation using derivative securities. The book links the theoretical and practical aspects of derivatives in one volume whilst keeping mathematics and statistics to a minimum. Throughout the book, the authors put the focus on explanations and applications. Designed as an engaging resource, the book contains commentaries that make serious points in a lighthearted manner. The authors examine the real world of derivatives finance and include discussions on a wide range of topics such as the use of derivatives by hedge funds and the application of strip and stack hedges by corporates, while providing an analysis of how risky the stock market can be for long-term investors, and more. To enhance learning, each chapter contains learning objectives, worked examples, details of relevant finance blogs technical appendices and exercises.
This new edition of the hugely successful Quantitative Financial Economics has been revised and updated to reflect the most recent theoretical and econometric/empirical advances in the financial markets. It provides an introduction to models of economic behaviour in financial markets, focusing on discrete time series analysis. Emphasis is placed on theory, testing and explaining ‘real-world’ issues. The new edition will include: Updated charts and cases studies. New companion website allowing students to put theory into practice and to test their knowledge through questions and answers. Chapters on Monte Carlo simulation, bootstrapping and market microstructure.
Originally published in 1986. This helpful text sets out what appears to make exchange rates change and shows how these various factors contribute to an explanation of the past. It considers the problems of providing satisfactory forecasts of the exchange rate while presenting the methods used, outlining their drawbacks and speculating on future ways forward. Laid out to move from empirical issues to theory and on to policy, this book is easily of use to those interested in macroeconomics, applied economics and international economics as well as economic history.
Quantitative Financial Economics Stocks, Bonds and Foreign Exchange Quantitative techniques in finance have become vitally important to academics and professionals in the financial markets looking to gain a more profitable edge. Quantitative Financial Economics provides a comprehensive introduction to models of economic behaviour in financial markets, focusing on discrete time series analysis. It covers the most recent theoretical and econometric advances in the field, including: * Models of noise trader behaviour and short-termism * Rational and intrinsic bubbles * Chaos and time varying risk * Non-stationarity and cointegration * Rational expectations * ARCH and GARCH models The author demonstrates how competing theoretical models may be tested and provides illustrative empirical results and theories from the stock, bond and foreign exchange markets. With a judicious blend of theory and practice Quantitative Financial Economics progresses from simple to more complex theoretical models and empirical tests, making it accessible to both students and practitioners undertaking research into the behaviour of asset returns and prices.
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