Linear Factor Models in Finance
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Linear Factor Models in Finance by John Knight
Book DescriptionThe 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. It covers the latest methods in this area. It combines actual quantitative finance experience with analytical research rigour. It is written by both quantitative analysts and academics who work in this area.
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Book DetailsISBN: 9780750660068
(234mm x 156mm x 17mm)
Imprint: Butterworth-Heinemann Ltd
Publisher: Elsevier Science & Technology
Publish Date: 1-Dec-2004
Country of Publication: United Kingdom
Books By Author John Knight
China's Remarkable Economic Growth, Hardback (April 2012)
China's economy has been growing at ten per cent per annum for the last three decades. This book considers one of the biggest questions facing contemporary economists: why and how is the Chinese economy growing so fast?
Forecasting Volatility in the Financial Markets, Hardback (February 2007)» View all books by John Knight
Assuming that the reader has knowledge of the principles and methods of understanding volatility measurement, this book provides a survey of ways to measure risk and define the different models of volatility and return.
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Author Biography - John Knight
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.
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