An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments.This book offers a comprehensive advanced introduction to asset pricing
This book analyzes the verification of empirical asset pricing models when returns of securities are projected onto a set of presumed (or observed) factors. Particular emphasis is placed on the verifi
Written by two experts in the field (including a renowned Nobel Prize Laureate), this book represents an up-to-date compilation of empirical asset pricing theory and their techniques and application—k
Written by one of the leading experts in the field, this book focuses on the interplay between model specification, data collection, and econometric testing of dynamic asset pricing models. The first
This book mainly addresses the general equilibrium asset pricing method in two aspects: option pricing and variance risk premium. First, volatility smile and smirk is the famous puzzle in option prici
While mainstream financial theories and applications assume that asset returns are normally distributed, overwhelming empirical evidence shows otherwise. Yet many professionals don’t appreciate the hi
Reveals new methodologies for asset pricing within a global asset allocation framework. Contains cutting-edge empirical research on global markets and sectors of the global economy. Introduces the Bla
Portfolio theory and much of asset pricing, as well as many empirical applications, depend on the use of multivariate probability distributions to describe asset returns. Traditionally, this has meant
An introduction to how the mathematical tools from quantum field theory can be applied to economics and finance, providing a wide range of quantum mathematical techniques for designing financial instruments. The ideas of Lagrangians, Hamiltonians, state spaces, operators and Feynman path integrals are demonstrated to be the mathematical underpinning of quantum field theory, and which are employed to formulate a comprehensive mathematical theory of asset pricing as well as of interest rates, which are validated by empirical evidence. Numerical algorithms and simulations are applied to the study of asset pricing models as well as of nonlinear interest rates. A range of economic and financial topics are shown to have quantum mechanical formulations, including options, coupon bonds, nonlinear interest rates, risky bonds and the microeconomic action functional. This is an invaluable resource for experts in quantitative finance and in mathematics who have no specialist knowledge of quantum f
