Ebook226 pages7 hours
Linear Factor Models in Finance
By John Knight
Rating: 4 out of 5 stars
4/5
()
About this ebook
The 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.
* Covers the latest methods in this area.
* Combines actual quantitative finance experience with analytical research rigour
* Written by both quantitative analysts and academics who work in this area
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.
* Covers the latest methods in this area.
* Combines actual quantitative finance experience with analytical research rigour
* Written by both quantitative analysts and academics who work in this area
Read more from John Knight
LLC: LLC Quick start guide - A beginner's guide to Limited liability companies, and starting a business Rating: 5 out of 5 stars5/5Accounting: Accounting made simple, basic accounting principles, and how to do your own bookkeeping Rating: 0 out of 5 stars0 ratingsForecasting Volatility in the Financial Markets Rating: 4 out of 5 stars4/5Project Management: Project Management, Management Tips and Strategies, and How to Control a Team to Complete a Project Rating: 0 out of 5 stars0 ratingsRobert's Rules of Order: A Beginner's Guide to Robert's Rules of Order, Teaching You how to Manage and Run Meetings! Rating: 0 out of 5 stars0 ratingsReturn Distributions in Finance Rating: 3 out of 5 stars3/5Pacific Oceans 11 Rating: 0 out of 5 stars0 ratings
Related to Linear Factor Models in Finance
Related ebooks
Quantitative Finance: Its Development, Mathematical Foundations, and Current Scope Rating: 0 out of 5 stars0 ratingsLearning and Expectations in Macroeconomics Rating: 4 out of 5 stars4/5The Mathematics of Derivatives: Tools for Designing Numerical Algorithms Rating: 3 out of 5 stars3/5Macrofinancial Risk Analysis Rating: 0 out of 5 stars0 ratingsAdvanced Derivatives Pricing and Risk Management: Theory, Tools, and Hands-On Programming Applications Rating: 0 out of 5 stars0 ratingsForecasting Expected Returns in the Financial Markets Rating: 5 out of 5 stars5/5Portfolio Risk Analysis Rating: 4 out of 5 stars4/5Return Distributions in Finance Rating: 3 out of 5 stars3/5Interest Rate Risk Management Rating: 1 out of 5 stars1/5Multi-moment Asset Allocation and Pricing Models Rating: 0 out of 5 stars0 ratingsStructured Finance: The Object Oriented Approach Rating: 0 out of 5 stars0 ratingsPricing and Hedging Interest and Credit Risk Sensitive Instruments Rating: 0 out of 5 stars0 ratingsAn Introduction to the Mathematics of Financial Derivatives Rating: 5 out of 5 stars5/5Advances in Portfolio Construction and Implementation Rating: 3 out of 5 stars3/5Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach Rating: 0 out of 5 stars0 ratingsRisk Management in Commodity Markets: From Shipping to Agriculturals and Energy Rating: 0 out of 5 stars0 ratingsMultiobjective Programming and Planning Rating: 0 out of 5 stars0 ratingsHandbook of the Economics of Risk and Uncertainty Rating: 0 out of 5 stars0 ratingsComputational Finance Using C and C# Rating: 0 out of 5 stars0 ratingsPortfolio Theory: With Application to Bank Asset Management Rating: 0 out of 5 stars0 ratingsListed Volatility and Variance Derivatives: A Python-based Guide Rating: 0 out of 5 stars0 ratingsPractical Portfolio Performance Measurement and Attribution Rating: 3 out of 5 stars3/5Extreme Events: Robust Portfolio Construction in the Presence of Fat Tails Rating: 0 out of 5 stars0 ratingsTime Series Analysis: Nonstationary and Noninvertible Distribution Theory Rating: 0 out of 5 stars0 ratingsDynamic Copula Methods in Finance Rating: 4 out of 5 stars4/5GARCH Models: Structure, Statistical Inference and Financial Applications Rating: 5 out of 5 stars5/5Problems and Solutions in Mathematical Finance: Stochastic Calculus Rating: 4 out of 5 stars4/5Applied Quantitative Methods for Trading and Investment Rating: 4 out of 5 stars4/5Handbook of the Economics of Finance: Asset Pricing Rating: 0 out of 5 stars0 ratings
Personal Finance For You
The Millionaire Next Door Rating: 4 out of 5 stars4/5The Psychology of Money: Timeless lessons on wealth, greed, and happiness Rating: 5 out of 5 stars5/5Same as Ever: Timeless Lessons on Risk, Opportunity and Living a Good Life Rating: 4 out of 5 stars4/5The Total Money Makeover: Classic Edition: A Proven Plan for Financial Fitness Rating: 4 out of 5 stars4/5Set for Life: An All-Out Approach to Early Financial Freedom Rating: 4 out of 5 stars4/5Summary of The 48 Laws of Power by Robert Greene Rating: 4 out of 5 stars4/5The Intelligent Investor, Rev. Ed: The Definitive Book on Value Investing Rating: 4 out of 5 stars4/5Summary of I Will Teach You To Be Rich: by Ramit Sethi | Includes Analysis Rating: 4 out of 5 stars4/5Rich Dad Poor Dad Rating: 5 out of 5 stars5/5Investing For Dummies Rating: 4 out of 5 stars4/5We Should All Be Millionaires: A Woman’s Guide to Earning More, Building Wealth, and Gaining Economic Power Rating: 4 out of 5 stars4/5The Black Girl's Guide to Financial Freedom: Build Wealth, Retire Early, and Live the Life of Your Dreams Rating: 5 out of 5 stars5/5Financial Feminist: Overcome the Patriarchy's Bullsh*t to Master Your Money and Build a Life You Love Rating: 5 out of 5 stars5/5Buy, Rehab, Rent, Refinance, Repeat: The BRRRR Rental Property Investment Strategy Made Simple Rating: 5 out of 5 stars5/5The Little Book of Common Sense Investing: The Only Way to Guarantee Your Fair Share of Stock Market Returns Rating: 4 out of 5 stars4/5The Money Answer Book Rating: 4 out of 5 stars4/5Legal Loopholes: Credit Repair Tactics Exposed Rating: 4 out of 5 stars4/5Personal Finance For Dummies Rating: 4 out of 5 stars4/5A Happy Pocket Full of Money, Expanded Study Edition: Infinite Wealth and Abundance in the Here and Now Rating: 5 out of 5 stars5/5Get the Hell Out of Debt: The Proven 3-Phase Method That Will Radically Shift Your Relationship to Money Rating: 5 out of 5 stars5/5Rich Dad Poor Dad: What the Rich Teach Their Kids About Money That the Poor and Middle Class Do Not! Rating: 5 out of 5 stars5/5Rich Dad's Cashflow Quadrant Rating: 4 out of 5 stars4/5Good to Great: Why Some Companies Make the Leap...And Others Don't Rating: 4 out of 5 stars4/5
Reviews for Linear Factor Models in Finance
Rating: 4 out of 5 stars
4/5
2 ratings0 reviews
Book preview
Linear Factor Models in Finance - John Knight
Enjoying the preview?
Page 1 of 1