Linear factor models in finance /:
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 concen...
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Oxford ; Boston :
Elsevier/Butterworth-Heinemann,
2005.
|
| Series: | Quantitative finance series.
|
| Subjects: | |
| Online Access: | DE-862 DE-863 DE-862 DE-863 |
| Summary: | 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. |
| Physical Description: | 1 online resource (xiv, 282 pages) |
| Bibliography: | Includes bibliographical references and index. |
| ISBN: | 9780750660068 0750660066 0080455328 9780080455327 |
Staff View
MARC
| LEADER | 00000cam a2200000 a 4500 | ||
|---|---|---|---|
| 001 | ZDB-4-EBU-ocn213298532 | ||
| 003 | OCoLC | ||
| 005 | 20241004212047.0 | ||
| 006 | m o d | ||
| 007 | cr cn||||||||| | ||
| 008 | 080310s2005 enk ob 001 0 eng d | ||
| 040 | |a OPELS |b eng |e pn |c OPELS |d OPELS |d OCLCQ |d N$T |d YDXCP |d MERUC |d IDEBK |d OCLCQ |d B24X7 |d OCLCQ |d UMI |d DEBSZ |d OCLCQ |d OCLCF |d OCLCQ |d AGLDB |d LIP |d OCLCQ |d K6U |d OCLCQ |d OCLCA |d VNS |d U3W |d VTS |d WYU |d G3B |d LEAUB |d OCLCQ |d OCLCO |d MHW |d INARC |d OCLCO |d OCLCQ |d OCLCA |d OCLCO |d OCLCL |d SXB |d OCLCQ |d OCLCO | ||
| 019 | |a 76822471 |a 441764677 |a 824151190 | ||
| 020 | |a 9780750660068 | ||
| 020 | |a 0750660066 | ||
| 020 | |a 0080455328 |q (electronic bk.) | ||
| 020 | |a 9780080455327 |q (electronic bk.) | ||
| 035 | |a (OCoLC)213298532 |z (OCoLC)76822471 |z (OCoLC)441764677 |z (OCoLC)824151190 | ||
| 037 | |a 102903:102923 |b Elsevier Science & Technology |n http://www.sciencedirect.com | ||
| 050 | 4 | |a HG106 |b .K55 2005eb | |
| 072 | 7 | |a BUS |x 027000 |2 bisacsh | |
| 082 | 7 | |a 332.015118 |2 22 | |
| 049 | |a MAIN | ||
| 100 | 1 | |a Knight, John L. |1 https://id.oclc.org/worldcat/entity/E39PCjvDY4vwRbdgwwpmqyGM4C |0 http://id.loc.gov/authorities/names/no2002028625 | |
| 245 | 1 | 0 | |a Linear factor models in finance / |c John Knight and Stephen Satchell. |
| 260 | |a Oxford ; |a Boston : |b Elsevier/Butterworth-Heinemann, |c 2005. | ||
| 300 | |a 1 online resource (xiv, 282 pages) | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a Quantitative finance series | |
| 520 | |a 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. | ||
| 505 | 0 | |a Review of the literature on multifactor asset pricing, M. Pitsillis. Estimating UK factor models using multivariate skew normal distribution, C. Adcock. Misspecification in the Linear Pricing Model, I. Lo. Bayesian estimation of Risk-Premia in an APT context, T. Darsinos and S. Satchell. Sharpe Style Analysis in the MSCI Sector Portfolios, G. Christodoulakis. Implication of the method of portfolio formation on asset pricing tests, I. Lo. The Small Noise Arbitrage Pricing Theory, S. Satchell. Risk Attribution in a Global Country Sector, A. Scowcroft and J. Sefton. Predictability of Fund of Hedge Fund Returns Using Dynaporte, G. Gregoriou and F. Rouah. Estimating a Combined Linear Model, A. Stroyny. Attributing Equity Risk with a Statistical Factor Model, T. Wilding Making Covariance-based Portfolio Risk Models Sensitive to the rate at which markets reflect new information, D. Di Bartolomeo and S. Warrick. Decomposing Factor Exposure for Equity Portfolios, D. Tien et al. | |
| 504 | |a Includes bibliographical references and index. | ||
| 588 | 0 | |a Print version record. | |
| 650 | 0 | |a Finance |x Mathematical models. |0 http://id.loc.gov/authorities/subjects/sh85048260 | |
| 650 | 6 | |a Finances |x Modèles mathématiques. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Finance. |2 bisacsh | |
| 650 | 7 | |a Finance |x Mathematical models |2 fast | |
| 700 | 1 | |a Satchell, Stephen, |d 1949- |1 https://id.oclc.org/worldcat/entity/E39PCjKWtd37brxrCjwFkfMbgq | |
| 758 | |i has work: |a Linear factor models in finance (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGFQ448PYdCDdtXPb3CB8C |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |a Knight, John L. |t Linear factor models in finance. |d Oxford ; Boston : Elsevier/Butterworth-Heinemann, 2005 |z 0750660066 |z 9780750660068 |w (OCoLC)56451653 |
| 830 | 0 | |a Quantitative finance series. |0 http://id.loc.gov/authorities/names/no2001010280 | |
| 966 | 4 | 0 | |l DE-862 |p ZDB-4-EBU |q FWS_PDA_EBU |u https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=117156 |3 Volltext |
| 966 | 4 | 0 | |l DE-863 |p ZDB-4-EBU |q FWS_PDA_EBU |u https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=117156 |3 Volltext |
| 966 | 4 | 0 | |l DE-862 |p ZDB-4-EBU |q FWS_PDA_EBU |u https://www.sciencedirect.com/science/book/9780750660068 |3 Volltext |
| 966 | 4 | 0 | |l DE-863 |p ZDB-4-EBU |q FWS_PDA_EBU |u https://www.sciencedirect.com/science/book/9780750660068 |3 Volltext |
| 938 | |a Books 24x7 |b B247 |n bkf00017718 | ||
| 938 | |a EBSCOhost |b EBSC |n 117156 | ||
| 938 | |a ProQuest MyiLibrary Digital eBook Collection |b IDEB |n 63881 | ||
| 938 | |a Internet Archive |b INAR |n linearfactormode0000knig | ||
| 938 | |a YBP Library Services |b YANK |n 2495551 | ||
| 994 | |a 92 |b GEBAY | ||
| 912 | |a ZDB-4-EBU | ||
| 049 | |a DE-862 | ||
| 049 | |a DE-863 | ||
Record in the Search Index
| DE-BY-FWS_katkey | ZDB-4-EBU-ocn213298532 |
|---|---|
| _version_ | 1826942408598749184 |
| adam_text | |
| any_adam_object | |
| author | Knight, John L. |
| author2 | Satchell, Stephen, 1949- |
| author2_role | |
| author2_variant | s s ss |
| author_GND | http://id.loc.gov/authorities/names/no2002028625 |
| author_facet | Knight, John L. Satchell, Stephen, 1949- |
| author_role | |
| author_sort | Knight, John L. |
| author_variant | j l k jl jlk |
| building | Verbundindex |
| bvnumber | localFWS |
| callnumber-first | H - Social Science |
| callnumber-label | HG106 |
| callnumber-raw | HG106 .K55 2005eb |
| callnumber-search | HG106 .K55 2005eb |
| callnumber-sort | HG 3106 K55 42005EB |
| callnumber-subject | HG - Finance |
| collection | ZDB-4-EBU |
| contents | Review of the literature on multifactor asset pricing, M. Pitsillis. Estimating UK factor models using multivariate skew normal distribution, C. Adcock. Misspecification in the Linear Pricing Model, I. Lo. Bayesian estimation of Risk-Premia in an APT context, T. Darsinos and S. Satchell. Sharpe Style Analysis in the MSCI Sector Portfolios, G. Christodoulakis. Implication of the method of portfolio formation on asset pricing tests, I. Lo. The Small Noise Arbitrage Pricing Theory, S. Satchell. Risk Attribution in a Global Country Sector, A. Scowcroft and J. Sefton. Predictability of Fund of Hedge Fund Returns Using Dynaporte, G. Gregoriou and F. Rouah. Estimating a Combined Linear Model, A. Stroyny. Attributing Equity Risk with a Statistical Factor Model, T. Wilding Making Covariance-based Portfolio Risk Models Sensitive to the rate at which markets reflect new information, D. Di Bartolomeo and S. Warrick. Decomposing Factor Exposure for Equity Portfolios, D. Tien et al. |
| ctrlnum | (OCoLC)213298532 |
| dewey-full | 332.015118 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.015118 |
| dewey-search | 332.015118 |
| dewey-sort | 3332.015118 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>05660cam a2200577 a 4500</leader><controlfield tag="001">ZDB-4-EBU-ocn213298532</controlfield><controlfield tag="003">OCoLC</controlfield><controlfield tag="005">20241004212047.0</controlfield><controlfield tag="006">m o d </controlfield><controlfield tag="007">cr cn|||||||||</controlfield><controlfield tag="008">080310s2005 enk ob 001 0 eng d</controlfield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">OPELS</subfield><subfield code="b">eng</subfield><subfield code="e">pn</subfield><subfield code="c">OPELS</subfield><subfield code="d">OPELS</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">N$T</subfield><subfield code="d">YDXCP</subfield><subfield code="d">MERUC</subfield><subfield code="d">IDEBK</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">B24X7</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">UMI</subfield><subfield code="d">DEBSZ</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">OCLCF</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">AGLDB</subfield><subfield code="d">LIP</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">K6U</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">OCLCA</subfield><subfield code="d">VNS</subfield><subfield code="d">U3W</subfield><subfield code="d">VTS</subfield><subfield code="d">WYU</subfield><subfield code="d">G3B</subfield><subfield code="d">LEAUB</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">OCLCO</subfield><subfield code="d">MHW</subfield><subfield code="d">INARC</subfield><subfield code="d">OCLCO</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">OCLCA</subfield><subfield code="d">OCLCO</subfield><subfield code="d">OCLCL</subfield><subfield code="d">SXB</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">OCLCO</subfield></datafield><datafield tag="019" ind1=" " ind2=" "><subfield code="a">76822471</subfield><subfield code="a">441764677</subfield><subfield code="a">824151190</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9780750660068</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">0750660066</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">0080455328</subfield><subfield code="q">(electronic bk.)</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9780080455327</subfield><subfield code="q">(electronic bk.)</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)213298532</subfield><subfield code="z">(OCoLC)76822471</subfield><subfield code="z">(OCoLC)441764677</subfield><subfield code="z">(OCoLC)824151190</subfield></datafield><datafield tag="037" ind1=" " ind2=" "><subfield code="a">102903:102923</subfield><subfield code="b">Elsevier Science & Technology</subfield><subfield code="n">http://www.sciencedirect.com</subfield></datafield><datafield tag="050" ind1=" " ind2="4"><subfield code="a">HG106</subfield><subfield code="b">.K55 2005eb</subfield></datafield><datafield tag="072" ind1=" " ind2="7"><subfield code="a">BUS</subfield><subfield code="x">027000</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="082" ind1="7" ind2=" "><subfield code="a">332.015118</subfield><subfield code="2">22</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">MAIN</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Knight, John L.</subfield><subfield code="1">https://id.oclc.org/worldcat/entity/E39PCjvDY4vwRbdgwwpmqyGM4C</subfield><subfield code="0">http://id.loc.gov/authorities/names/no2002028625</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Linear factor models in finance /</subfield><subfield code="c">John Knight and Stephen Satchell.</subfield></datafield><datafield tag="260" ind1=" " ind2=" "><subfield code="a">Oxford ;</subfield><subfield code="a">Boston :</subfield><subfield code="b">Elsevier/Butterworth-Heinemann,</subfield><subfield code="c">2005.</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 online resource (xiv, 282 pages)</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">text</subfield><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">computer</subfield><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">online resource</subfield><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">Quantitative finance series</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">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.</subfield></datafield><datafield tag="505" ind1="0" ind2=" "><subfield code="a">Review of the literature on multifactor asset pricing, M. Pitsillis. Estimating UK factor models using multivariate skew normal distribution, C. Adcock. Misspecification in the Linear Pricing Model, I. Lo. Bayesian estimation of Risk-Premia in an APT context, T. Darsinos and S. Satchell. Sharpe Style Analysis in the MSCI Sector Portfolios, G. Christodoulakis. Implication of the method of portfolio formation on asset pricing tests, I. Lo. The Small Noise Arbitrage Pricing Theory, S. Satchell. Risk Attribution in a Global Country Sector, A. Scowcroft and J. Sefton. Predictability of Fund of Hedge Fund Returns Using Dynaporte, G. Gregoriou and F. Rouah. Estimating a Combined Linear Model, A. Stroyny. Attributing Equity Risk with a Statistical Factor Model, T. Wilding Making Covariance-based Portfolio Risk Models Sensitive to the rate at which markets reflect new information, D. Di Bartolomeo and S. Warrick. Decomposing Factor Exposure for Equity Portfolios, D. Tien et al.</subfield></datafield><datafield tag="504" ind1=" " ind2=" "><subfield code="a">Includes bibliographical references and index.</subfield></datafield><datafield tag="588" ind1="0" ind2=" "><subfield code="a">Print version record.</subfield></datafield><datafield tag="650" ind1=" " ind2="0"><subfield code="a">Finance</subfield><subfield code="x">Mathematical models.</subfield><subfield code="0">http://id.loc.gov/authorities/subjects/sh85048260</subfield></datafield><datafield tag="650" ind1=" " ind2="6"><subfield code="a">Finances</subfield><subfield code="x">Modèles mathématiques.</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">BUSINESS & ECONOMICS</subfield><subfield code="x">Finance.</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Finance</subfield><subfield code="x">Mathematical models</subfield><subfield code="2">fast</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Satchell, Stephen,</subfield><subfield code="d">1949-</subfield><subfield code="1">https://id.oclc.org/worldcat/entity/E39PCjKWtd37brxrCjwFkfMbgq</subfield></datafield><datafield tag="758" ind1=" " ind2=" "><subfield code="i">has work:</subfield><subfield code="a">Linear factor models in finance (Text)</subfield><subfield code="1">https://id.oclc.org/worldcat/entity/E39PCGFQ448PYdCDdtXPb3CB8C</subfield><subfield code="4">https://id.oclc.org/worldcat/ontology/hasWork</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Print version:</subfield><subfield code="a">Knight, John L.</subfield><subfield code="t">Linear factor models in finance.</subfield><subfield code="d">Oxford ; Boston : Elsevier/Butterworth-Heinemann, 2005</subfield><subfield code="z">0750660066</subfield><subfield code="z">9780750660068</subfield><subfield code="w">(OCoLC)56451653</subfield></datafield><datafield tag="830" ind1=" " ind2="0"><subfield code="a">Quantitative finance series.</subfield><subfield code="0">http://id.loc.gov/authorities/names/no2001010280</subfield></datafield><datafield tag="966" ind1="4" ind2="0"><subfield code="l">DE-862</subfield><subfield code="p">ZDB-4-EBU</subfield><subfield code="q">FWS_PDA_EBU</subfield><subfield code="u">https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=117156</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="4" ind2="0"><subfield code="l">DE-863</subfield><subfield code="p">ZDB-4-EBU</subfield><subfield code="q">FWS_PDA_EBU</subfield><subfield code="u">https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=117156</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="4" ind2="0"><subfield code="l">DE-862</subfield><subfield code="p">ZDB-4-EBU</subfield><subfield code="q">FWS_PDA_EBU</subfield><subfield code="u">https://www.sciencedirect.com/science/book/9780750660068</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="4" ind2="0"><subfield code="l">DE-863</subfield><subfield code="p">ZDB-4-EBU</subfield><subfield code="q">FWS_PDA_EBU</subfield><subfield code="u">https://www.sciencedirect.com/science/book/9780750660068</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">Books 24x7</subfield><subfield code="b">B247</subfield><subfield code="n">bkf00017718</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">EBSCOhost</subfield><subfield code="b">EBSC</subfield><subfield code="n">117156</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">ProQuest MyiLibrary Digital eBook Collection</subfield><subfield code="b">IDEB</subfield><subfield code="n">63881</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">Internet Archive</subfield><subfield code="b">INAR</subfield><subfield code="n">linearfactormode0000knig</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">YBP Library Services</subfield><subfield code="b">YANK</subfield><subfield code="n">2495551</subfield></datafield><datafield tag="994" ind1=" " ind2=" "><subfield code="a">92</subfield><subfield code="b">GEBAY</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-4-EBU</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-862</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-863</subfield></datafield></record></collection> |
| id | ZDB-4-EBU-ocn213298532 |
| illustrated | Not Illustrated |
| indexdate | 2025-03-18T14:27:32Z |
| institution | BVB |
| isbn | 9780750660068 0750660066 0080455328 9780080455327 |
| language | English |
| oclc_num | 213298532 |
| open_access_boolean | |
| owner | MAIN DE-862 DE-BY-FWS DE-863 DE-BY-FWS |
| owner_facet | MAIN DE-862 DE-BY-FWS DE-863 DE-BY-FWS |
| physical | 1 online resource (xiv, 282 pages) |
| psigel | ZDB-4-EBU FWS_PDA_EBU ZDB-4-EBU |
| publishDate | 2005 |
| publishDateSearch | 2005 |
| publishDateSort | 2005 |
| publisher | Elsevier/Butterworth-Heinemann, |
| record_format | marc |
| series | Quantitative finance series. |
| series2 | Quantitative finance series |
| spelling | Knight, John L. https://id.oclc.org/worldcat/entity/E39PCjvDY4vwRbdgwwpmqyGM4C http://id.loc.gov/authorities/names/no2002028625 Linear factor models in finance / John Knight and Stephen Satchell. Oxford ; Boston : Elsevier/Butterworth-Heinemann, 2005. 1 online resource (xiv, 282 pages) text txt rdacontent computer c rdamedia online resource cr rdacarrier Quantitative finance series 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. Review of the literature on multifactor asset pricing, M. Pitsillis. Estimating UK factor models using multivariate skew normal distribution, C. Adcock. Misspecification in the Linear Pricing Model, I. Lo. Bayesian estimation of Risk-Premia in an APT context, T. Darsinos and S. Satchell. Sharpe Style Analysis in the MSCI Sector Portfolios, G. Christodoulakis. Implication of the method of portfolio formation on asset pricing tests, I. Lo. The Small Noise Arbitrage Pricing Theory, S. Satchell. Risk Attribution in a Global Country Sector, A. Scowcroft and J. Sefton. Predictability of Fund of Hedge Fund Returns Using Dynaporte, G. Gregoriou and F. Rouah. Estimating a Combined Linear Model, A. Stroyny. Attributing Equity Risk with a Statistical Factor Model, T. Wilding Making Covariance-based Portfolio Risk Models Sensitive to the rate at which markets reflect new information, D. Di Bartolomeo and S. Warrick. Decomposing Factor Exposure for Equity Portfolios, D. Tien et al. Includes bibliographical references and index. Print version record. Finance Mathematical models. http://id.loc.gov/authorities/subjects/sh85048260 Finances Modèles mathématiques. BUSINESS & ECONOMICS Finance. bisacsh Finance Mathematical models fast Satchell, Stephen, 1949- https://id.oclc.org/worldcat/entity/E39PCjKWtd37brxrCjwFkfMbgq has work: Linear factor models in finance (Text) https://id.oclc.org/worldcat/entity/E39PCGFQ448PYdCDdtXPb3CB8C https://id.oclc.org/worldcat/ontology/hasWork Print version: Knight, John L. Linear factor models in finance. Oxford ; Boston : Elsevier/Butterworth-Heinemann, 2005 0750660066 9780750660068 (OCoLC)56451653 Quantitative finance series. http://id.loc.gov/authorities/names/no2001010280 |
| spellingShingle | Knight, John L. Linear factor models in finance / Quantitative finance series. Review of the literature on multifactor asset pricing, M. Pitsillis. Estimating UK factor models using multivariate skew normal distribution, C. Adcock. Misspecification in the Linear Pricing Model, I. Lo. Bayesian estimation of Risk-Premia in an APT context, T. Darsinos and S. Satchell. Sharpe Style Analysis in the MSCI Sector Portfolios, G. Christodoulakis. Implication of the method of portfolio formation on asset pricing tests, I. Lo. The Small Noise Arbitrage Pricing Theory, S. Satchell. Risk Attribution in a Global Country Sector, A. Scowcroft and J. Sefton. Predictability of Fund of Hedge Fund Returns Using Dynaporte, G. Gregoriou and F. Rouah. Estimating a Combined Linear Model, A. Stroyny. Attributing Equity Risk with a Statistical Factor Model, T. Wilding Making Covariance-based Portfolio Risk Models Sensitive to the rate at which markets reflect new information, D. Di Bartolomeo and S. Warrick. Decomposing Factor Exposure for Equity Portfolios, D. Tien et al. Finance Mathematical models. http://id.loc.gov/authorities/subjects/sh85048260 Finances Modèles mathématiques. BUSINESS & ECONOMICS Finance. bisacsh Finance Mathematical models fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85048260 |
| title | Linear factor models in finance / |
| title_auth | Linear factor models in finance / |
| title_exact_search | Linear factor models in finance / |
| title_full | Linear factor models in finance / John Knight and Stephen Satchell. |
| title_fullStr | Linear factor models in finance / John Knight and Stephen Satchell. |
| title_full_unstemmed | Linear factor models in finance / John Knight and Stephen Satchell. |
| title_short | Linear factor models in finance / |
| title_sort | linear factor models in finance |
| topic | Finance Mathematical models. http://id.loc.gov/authorities/subjects/sh85048260 Finances Modèles mathématiques. BUSINESS & ECONOMICS Finance. bisacsh Finance Mathematical models fast |
| topic_facet | Finance Mathematical models. Finances Modèles mathématiques. BUSINESS & ECONOMICS Finance. Finance Mathematical models |
| work_keys_str_mv | AT knightjohnl linearfactormodelsinfinance AT satchellstephen linearfactormodelsinfinance |