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    Return Distributions in Finance
    Return Distributions in Finance
    Return Distributions in Finance
    Ebook269 pages6 hours

    Return Distributions in Finance

    By Stephen Satchell and John Knight

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    About this ebook

    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
    LanguageEnglish
    PublisherElsevier Science
    Release dateDec 8, 2000
    ISBN9780080516240
    Return Distributions in Finance
    Author

    Stephen Satchell

    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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