| Description |
xv, 525 pages ; 24 cm |
| Contents |
1. Introduction -- 2. Prices and returns -- 3. Stochastic processes : definitions and examples -- 4. Stylized facts for financial returns -- 5. The variance-ratio test of the random walk hypothesis -- 6. Further tests of the random walk hypothesis -- 7. Trading rules and market efficiency -- 8. An introduction to volatility -- 9. ARCH models : definitions and examples -- 10. ARCH models : selection and likelihood methods -- 11. Stochastic volatility models -- 12. High-frequency data and models -- 13. Continuous-time stochastic processes -- 14. Option pricing formulae -- 15. Forecasting volatility -- 16. Density prediction for asset prices |
| Summary |
"This book shows how current and recent market prices convey information about the probability distributions that govern future prices. Moving beyond purely theoretical models, Stephen Taylor applies methods supported by empirical research of equity and foreign exchange markets to show how daily and more frequent asset prices, and the prices of option contracts, can be used to construct and assess predictions about future prices, their volatility, and their probability distributions." "Stephen Taylor provides a comprehensive introduction to the dynamic behavior of asset prices, relying on finance theory and statistical evidence. He uses stochastic processes to define mathematical models for price dynamics, but with less mathematics than in alternative texts." |
|
"Asset Price Dynamics, Volatility, and Prediction is ideal for students of economics, finance, and mathematics who are studying financial econometrics, and will enable researchers to identify and apply appropriate models and methods. It will likewise be a valuable resource for quantitative analysts, fund managers, risk managers, and investors who seek realistic expectations about future asset prices and the risks to which they are exposed."--BOOK JACKET |
| Bibliography |
Includes bibliographical references and index |
| Subject |
Capital assets pricing model.
|
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Finance -- Mathematical models.
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| LC no. |
2005048758 |
| ISBN |
0691115370 (alk. paper) |
|
0691115370 (hbk.) |
|
