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Return distributions in finance

Knight, John L.

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Return distributions in finance

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Return distributions in finance/ edited by John Knight, Stephen Satchell.
其他作者:	Knight, John L.
出版者:	Oxford ;Butterworth-Heinemann, : 2001.,
面頁冊數:	xiv, 313 p. :ill. ;25 cm.
叢書名:	Quantitative finance series
內容註:	Modelling asset returns with hyperbolic distributions / N.H. Bingham and R�udiger Kiesel -- A review of asymmetric conditional density functions in autoregressive conditional heteroscedasticity models/ Shaun A. Bond -- The distribution of commercial real estate returns / Colin Lizieri and Charles Ward -- Modelling emerging market risk premia using higher moments/ Soosung Hwang and Stephen E. Satchell -- Are stock prices driven by the volume of trade? Empirical analysis of the FT30, FT100 and certain British shares over 1988-1990/ L.C.G. Rogers, Stephen E. Satchell and Youngjun Yoon -- Testing for a finite variance in stock return distributions / Jun Yu -- Implementing option pricing models when asset returns are predictable and discontinuous/ George J. Jiang -- The probability functions of option prices, risk-neutral pricing and Value-at-Risk / John L. Knight, Stephen E. Satchell and Guoqiang Wang -- Pricing derivatives written on assets with arbitrary skewness and kurtosis/ John L. Knight and Stephen E. Satchell -- The distribution of realized returns from moving average trading rules with application to Canadian stock market data / Alexander Fritsche.
標題:	Asset allocation. -
電子資源:	http://www.sciencedirect.com/science/book/9780750647519An electronic book accessible through the World Wide Web; click for information
電子資源:	http://www.loc.gov/catdir/toc/els031/2001267746.html
電子資源:	http://www.loc.gov/catdir/description/els031/2001267746.html
ISBN:	0750647515

Return distributions in finance
Return distributions in finance[electronic resource] /edited by John Knight, Stephen Satchell. - Oxford ;Butterworth-Heinemann,2001. - xiv, 313 p. :ill. ;25 cm. - Quantitative finance series.

Includes bibliographical references and index.

Modelling asset returns with hyperbolic distributions / N.H. Bingham and R�udiger Kiesel -- A review of asymmetric conditional density functions in autoregressive conditional heteroscedasticity models/ Shaun A. Bond -- The distribution of commercial real estate returns / Colin Lizieri and Charles Ward -- Modelling emerging market risk premia using higher moments/ Soosung Hwang and Stephen E. Satchell -- Are stock prices driven by the volume of trade? Empirical analysis of the FT30, FT100 and certain British shares over 1988-1990/ L.C.G. Rogers, Stephen E. Satchell and Youngjun Yoon -- Testing for a finite variance in stock return distributions / Jun Yu -- Implementing option pricing models when asset returns are predictable and discontinuous/ George J. Jiang -- The probability functions of option prices, risk-neutral pricing and Value-at-Risk / John L. Knight, Stephen E. Satchell and Guoqiang Wang -- Pricing derivatives written on assets with arbitrary skewness and kurtosis/ John L. Knight and Stephen E. Satchell -- The distribution of realized returns from moving average trading rules with application to Canadian stock market data / Alexander Fritsche.

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.

Electronic reproduction.
Amsterdam :
Elsevier Science & Technology,
2008.

Mode of access: World Wide Web.

ISBN: 0750647515

Source: 95066:95065Elsevier Science & Technologyhttp://www.sciencedirect.comSubjects--Topical Terms:

656154
Asset allocation.
Index Terms--Genre/Form:

542853
Electronic books.

LC Class. No.: HG4529.5 / .R48 2001eb

Dewey Class. No.: 332.60151

Return distributions in finance
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504 $a Includes bibliographical references and index.
505 0 $a Modelling asset returns with hyperbolic distributions / N.H. Bingham and R�udiger Kiesel -- A review of asymmetric conditional density functions in autoregressive conditional heteroscedasticity models/ Shaun A. Bond -- The distribution of commercial real estate returns / Colin Lizieri and Charles Ward -- Modelling emerging market risk premia using higher moments/ Soosung Hwang and Stephen E. Satchell -- Are stock prices driven by the volume of trade? Empirical analysis of the FT30, FT100 and certain British shares over 1988-1990/ L.C.G. Rogers, Stephen E. Satchell and Youngjun Yoon -- Testing for a finite variance in stock return distributions / Jun Yu -- Implementing option pricing models when asset returns are predictable and discontinuous/ George J. Jiang -- The probability functions of option prices, risk-neutral pricing and Value-at-Risk / John L. Knight, Stephen E. Satchell and Guoqiang Wang -- Pricing derivatives written on assets with arbitrary skewness and kurtosis/ John L. Knight and Stephen E. Satchell -- The distribution of realized returns from moving average trading rules with application to Canadian stock market data / Alexander Fritsche.
520 $a 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.
533 $a Electronic reproduction. $b Amsterdam : $c Elsevier Science & Technology, $d 2008. $n Mode of access: World Wide Web. $n System requirements: Web browser. $n Title from title screen (viewed on Mar. 10, 2008). $n Access may be restricted to users at subscribing institutions.
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650 0 $a Financial engineering. $3 550926
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655 7 $a Electronic books. $2 lcsh $3 542853
700 1 $a Knight, John L. $3 813786
700 1 $a Satchell, S. $q (Stephen) $3 783203
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856 4 2 $3 Publisher description $u http://www.loc.gov/catdir/description/els031/2001267746.html
994 $a C0 $b TEF