Financial Economics Books - Finance Books |
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Market Models
- A Guide to Financial Data Analysis
by Carol Alexander [see details | buy at Amazon.com] Chapters: 1. Understanding volatility and correlation. 2. Implied volatility and correlation. 3. Moving average models. 4. GARCH models. 5. Forecasting Volatility and Correlation. 6. Principle component analysis. 7. Covariance matrices. 8. Risk measurement in factor models. 9. Value-at-risk. 10. Modelling non-normal returns. 11. Time series models. 12. Cointegration. 13. Forecasting high-frequency data. Technical appendices: A1. Linear Regression. A2. Statistical inference. A3. Residual analysis. A4. Data problems. A5. Prediction. A6. Maximum likelihood methods. |
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Numerical Methods in Finance
- A MATLAB-Based Introduction
by Paolo Brandimarte [see details | buy at Amazon.com] |
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The Econometrics of Financial Markets
by John Campbell, Andrew W. Lo, and A. Craig MacKinlay [see details | buy at Amazon.com] |
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Asset Pricing
by John Cochrane [see details | buy at Amazon.com] |
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An Introduction to High-Frequency Finance
by Michel M. Dacorogna, et al. [see details | buy at Amazon.com] |
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Financial Crises
- And What to Do About Them
by Barry Eichengreen [see details | buy at Amazon.com] |
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Modern Portfolio Theory and Investment Analysis
by Edwin J. Elton, Martin J. Gruber, Stephen J. Brown and William N. Goetzmann [see details | buy at Amazon.com] |
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Non-Linear Time Series Models in Empirical Finance
by Philip Hans Franses and Dick van Dijk [see details | buy at Amazon.com] |
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The New Finance
- The Case Against Efficient Markets
by Robert A. Haugen [see details | buy at Amazon.com] |
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Value-at-Risk
- Theory and Practice
by Glen Holton [see details | buy at Amazon.com] |
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Puzzles of Finance
- Six Practical Problems and Their Remarkable Solutions
by Mark Kritzman [see details | buy at Amazon.com] This small book is loaded with insights to make better financial decisions. Much of what passes as common sense investment rules of thumb contain logical falacies or violate certain principles of financial mathematics and risk management. This book sets it straight, being clear to show the assumptions under that make the arguments hold together. Chapters: 1. Siegel's paradox; 2. Likelihood of loss; 3. Time diversification; 4. Why the expected return is not to be expected; 5. Half the stocks all the time or all the stocks half the time; 6. The irrelevance of expected return for option valuation; Primer: 7. Financial concepts and quantitative methods. |
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Computational Finance
- Numerical Methods for Pricing Financial Instruments
by George Levy [see details | buy at Amazon.com] |
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A Non-Random Walk Down Wall Street
by Andrew Lo and Craig MacKinlay [see details | buy at Amazon.com] Chapters: 1. Introduction. 2. Stock market prices do not follow random walks: Evidence from a simple specification test. 3. The size and power of the variance ratio test in finite samples: A Monte Carlo investigation. 4. An econometric analysis of nonsynchronous trading. 5. When are contrarian profits due to stock market overreaction? 6. Long-term memory in stock market prices. 7. Multifactor models do not explain deviations from the CAPM. 8. Data-snooping biases in tests of financial asset pricing models. 9. Maximizing predictability in the stock and bond markets. 10. An ordered probit analysis of transaction stock prices. 11. Index-futures arbitrage and the behavior of stock index futures prices. 12. Order imbalances and stock price movements on October 19 and 20, 1987. |
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Fractals and Scaling in Finance
by Benoit B. Mandelbrot [see details | buy at Amazon.com] |
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The Misbehavior of Markets
by Benoit B. Mandelbrot, Richard L. Hudson [see details | buy at Amazon.com] |
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Applied Computational Economics and Finance
by Mario J. Miranda and Paul L. Fackler [see details | buy at Amazon.com] |
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Market Volatility
by Robert Shiller [see details | buy at Amazon.com] |
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Inefficient Markets
- An Introduction to Behavioral Finance
by Andre Shleifer [see details | buy at Amazon.com] |
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Analysis of Financial Time Series
by Ruey S. Tsay [see details | buy at Amazon.com] |
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Paul Wilmott on Quantitative Finance
- 2 Volume Set
by Paul Wilmott [see details | buy at Amazon.com] |