The Basics of Financial Econometrics: Tools, Concepts, and Asset Management Applications (Frank J. Fabozzi Series)

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en Limba Engleză Carte Hardback – 29 Apr 2014
An accessible guide to the growing field of financial econometrics

As finance and financial products have become more complex, financial econometrics has emerged as a fast-growing field and necessary foundation for anyone involved in quantitative finance. The techniques of financial econometrics facilitate the development and management of new financial instruments by providing models for pricing and risk assessment. In short, financial econometrics is an indispensable component to modern finance.

The Basics of Financial Econometrics covers the commonly used techniques in the field without using unnecessary mathematical/statistical analysis. It focuses on foundational ideas and how they are applied. Topics covered include: regression models, factor analysis, volatility estimations, and time series techniques.

  • Covers the basics of financial econometrics--an important topic in quantitative finance
  • Contains several chapters on topics typically not covered even in basic books on econometrics such as model selection, model risk, and mitigating model risk

Geared towards both practitioners and finance students who need to understand this dynamic discipline, but may not have advanced mathematical training, this book is a valuable resource on a topic of growing importance.

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ISBN-13: 9781118573204
ISBN-10: 111857320X
Pagini: 448
Ilustrații: black & white tables, figures
Dimensiuni: 165 x 235 x 35 mm
Greutate: 0.68 kg
Editura: Wiley
Seria Frank J. Fabozzi Series

Locul publicării: Hoboken, United States

Public țintă

Finance professionals and finance students 

Textul de pe ultima copertă


With the growth in quantitative finance, financial econometrics has emerged as a vitally important field, providing the analytical models to address complex financial product structures, valuation, and risk assessment. The Basics of Financial Econometrics covers the commonly used techniques in the field without using unnecessary mathematical or statistical proofs and derivations, and with a clear emphasis on basic ideas and how to apply them.

Financial econometrics is an indispensable component to modern finance and a crucial body of knowledge for financial professionals. The Basics of Financial Econometrics addresses the key relationship between econometrics and quantitative finance, and provides practical examples that use real-world financial data. Areas covered include:

  • Building financial models
  • Asset pricing
  • Derivative pricing
  • Portfolio allocation
  • Hedging strategies
  • Model selection
  • Strategy development

Written for both seasoned financial professionals and advanced students of finance, The Basics of Financial Econometrics provides a complete, real-world overview that provides a strong foundation in financial econometrics.