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Linear Factor Models In Finance : Quantitative Finance - Satchell

Linear Factor Models In Finance

Quantitative Finance

Hardcover Published: 1st January 2005
ISBN: 9780750660068
Number Of Pages: 304

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The determination of the values of stocks, bonds, options, futures, and derivatives is done by the scientific process of asset pricing, which has developed dramatically in the last few years due to advances in financial theory and econometrics. This book covers the science of asset pricing by concentrating on the most widely used modelling technique called: Linear Factor Modelling.
Linear Factor Models covers an important area for Quantitative Analysts/Investment Managers who are developing Quantitative Investment Strategies. Linear factor models (LFM) are part of modern investment processes that include asset valuation, portfolio theory and applications, linear factor models and applications, dynamic asset allocation strategies, portfolio performance measurement, risk management, international perspectives, and the use of derivatives.
The book develops the building blocks for one of the most important theories of asset pricing - Linear Factor Modelling. Within this framework, we can include other asset pricing theories such as the Capital Asset Pricing Model (CAPM), arbitrage pricing theory and various pricing formulae for derivatives and option prices.
As a bare minimum, the reader of this book must have a working knowledge of basic calculus, simple optimisation and elementary statistics. In particular, the reader must be comfortable with the algebraic manipulation of means, variances (and covariances) of linear combination(s) of random variables. Some topics may require a greater mathematical sophistication.
* Covers the latest methods in this area.
* Combines actual quantitative finance experience with analytical research rigour
* Written by both quantitative analysts and academics who work in this area

Review of the literature on multifactor asset pricing
Estimating UK factor models using multivariate skew normal distribution
Misspecification in the Linear Pricing Model
Bayesian estimation of Risk-Premia in an APT context
Sharpe Style Analysis in the MSCI Sector Portfolios
Implication of the method of portfolio formation on asset pricing tests
The Small Noise Arbitrage Pricing Theory
Risk Attribution in a Global Country Sector
Predictability of Fund of Hedge Fund Returns Using Dynaporte
Estimating a Combined Linear Model
Attributing Equity Risk with a Statistical Factor Model
Making Covariance-based Portfolio Risk Models Sensitive to the rate at which markets reflect new information
Decomposing Factor Exposure for Equity Portfolios
Table of Contents provided by Publisher. All Rights Reserved.

ISBN: 9780750660068
ISBN-10: 0750660066
Series: Quantitative Finance
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 304
Published: 1st January 2005
Publisher: Elsevier Science & Technology
Country of Publication: GB
Dimensions (cm): 23.4 x 15.6  x 2.24
Weight (kg): 0.65