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Asset Price Dynamics, Volatility, and Prediction
Stephen J. Taylor
€ 92.25
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Description for Asset Price Dynamics, Volatility, and Prediction
Paperback. Moving beyond purely theoretical models, the author applies methods supported by empirical research of equity and foreign exchange markets to show how daily and more frequent asset prices, and the prices of option contracts, can be used to construct and assess predictions about future prices, their volatility, and their probability distributions. Num Pages: 544 pages, 101 line illus. 47 tables. BIC Classification: KFF. Category: (P) Professional & Vocational; (U) Tertiary Education (US: College). Dimension: 157 x 236 x 38. Weight in Grams: 782.
This book shows how current and recent market prices convey information about the probability distributions that govern future prices. Moving beyond purely theoretical models, Stephen Taylor applies methods supported by empirical research of equity and foreign exchange markets to show how daily and more frequent asset prices, and the prices of option contracts, can be used to construct and assess predictions about future prices, their volatility, and their probability distributions. Stephen Taylor provides a comprehensive introduction to the dynamic behavior of asset prices, relying on finance theory and statistical evidence. He uses stochastic processes to define mathematical models for price ... Read more
This book shows how current and recent market prices convey information about the probability distributions that govern future prices. Moving beyond purely theoretical models, Stephen Taylor applies methods supported by empirical research of equity and foreign exchange markets to show how daily and more frequent asset prices, and the prices of option contracts, can be used to construct and assess predictions about future prices, their volatility, and their probability distributions. Stephen Taylor provides a comprehensive introduction to the dynamic behavior of asset prices, relying on finance theory and statistical evidence. He uses stochastic processes to define mathematical models for price ... Read more
Product Details
Publisher
Princeton University Press United States
Number of pages
544
Format
Paperback
Publication date
2007
Condition
New
Weight
803g
Number of Pages
544
Place of Publication
New Jersey, United States
ISBN
9780691134796
SKU
V9780691134796
Shipping Time
Usually ships in 7 to 11 working days
Ref
99-50
About Stephen J. Taylor
Stephen J. Taylor is Professor of Finance at Lancaster University, England. He is the author of "Modelling Financial Time Series" and many influential articles about applications of financial econometrics.
Reviews for Asset Price Dynamics, Volatility, and Prediction
Winner of the 2005 BestBook Award, Riskbook.com "This book provides thorough, well-presented and concise coverage of asset price dynamics and manages to combine new developments, established issues, theory and application in a practical and refreshing manner. It is well illustrated with time series graphs and tables and has a good balance between theoretical concepts and their practical applications with a ... Read more