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Experiments in Quantitative Finance

Editat de Joel Gibbons
en Limba Engleză Paperback – 15 noi 2011
This book presents a novel approach to characterizing markets in quantitative terms. The examples cut across the world of interest rates, price of gold, stock market and corporate worlds that the stock market rests on, and the pricing of options on financial instruments. The emphasis is on methods of inquiry, methods that can just as easily be applied to other markets and other economic phenomena as well. The goal is to make the methods available to the widest possible audience of quantitative analysts and to the trading desks and investment plans they feed.
Quantitative research and modeling in finance and economics have a long history going back to Frank Ramsey, mathematician, logician, and economist, who pioneered the application of dynamic models in economics in the 1920s, and to his theory of the Ramsey Tax, which is a rule for apportioning tax rates in a way that raises the maximum tax revenues while impacting the decisions of taxpayers as little as possible. The opposite would be a tax so inefficient that it causes people to avoid doing whatever it is that subjects them to the tax.
These experiments yield valuable insight into economic affairs, but they are only a stepping-stone for others—a starting point for discovery. Foremost among them is locating usable statistical findings to the investment world. Gibbons' intention is not to provide investment advice, it is to provide education. These data are subject to changing results, but that should not diminish their educational value. This is a proactive fusion of business economics and sound social science methods.
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Specificații

ISBN-13: 9781412845915
ISBN-10: 1412845912
Pagini: 298
Dimensiuni: 152 x 229 x 18 mm
Greutate: 0.43 kg
Ediția:1
Editura: Taylor & Francis
Colecția Routledge
Locul publicării:Oxford, United Kingdom

Cuprins

Introduction, PART I INTEREST RATES AND FIXED-INCOME SECURITIES, PART II SOME USEFUL MATHEMATICS, PART III EMPIRICAL STUDIES IN FINANCE AND ECONOMICS, Index

Descriere

This book presents a novel approach to characterizing markets in quantitative terms