Return Distributions in Finance (Quantitative Finance) - Hardcover

Satchell, Stephen; Knight, John

Hardcover

ISBN 10: 0750647515 ISBN 13: 9780750647519

Publisher: Butterworth-Heinemann, 2001

Synopsis

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

About this title

About the Author

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.

Edition details

• Publisher: Butterworth-Heinemann
• Publication date: 2001
• ISBN 10: 0750647515
• ISBN 13: 9780750647519
• Binding: Hardcover
• Language: English
• Edition number: 1
• Number of pages: 224