Dirk Nitzsche is an Associate Professor in Finance at CASS Business School and previously was at the Tanaka Business School, Imperial College.

Based on class-tested material, this book is an excellent introduction to global financial markets. The authors link theory and real world issues in their coverage of equity, bond and FX strategies including methods such as chartism, neural networks and chaos theory. This practical approach is also applied to topics in corporate finance, including valuation of companies using NPV and other techniques such as economic value added (EVA), adjusted present value (APV) and real options theory. Raising funds in the money markets and via equity and debt securities, as well as dividend and merger policy provide further practical illustrations of theoretical ideas. Futures, options and swaps and their use in speculation, hedging and arbitrage are also examined.

Features include:

• Topic boxes on current policy issues and newspaper extracts, giving practical applications and real world context of the ideas presented
• 2 colour in-text design
• Clear, simple and consistent mathematical notation, with worked examples and end of chapter questions

For those wishing to deepen their knowledge of financial markets, the authors have written a companion book Financial Engineering: Derivatives and Risk Management.

This text provides a thorough treatment of futures, 'plain vanilla' options and swaps as well as the use of exotic derivatives and interest rate options for speculation and hedging. Pricing of options using numerical methods such as lattices (BOPM), Monte Carlo simulation and finite difference methods, in addition to solutions using continuous time mathematics, are also covered. Real options theory and its use in investment appraisal and in valuing internet and biotechnology companies provide cutting edge practical applications.

Practical risk management issues are examined in depth. Alternative models for calculating Value at Risk (market risk) and credit risk provide the theoretical basis for a practical and timely overview of these areas of regulatory policy.

The authors adopt a real-world emphasis throughout, and include features such as:

• topic boxes, worked examples and learning objectives
• Financial Times and Wall Street Journal newspaper extracts and analysis of real world cases

This book is designed for courses in derivatives and risk management taken by specialist MBA, MSc Finance students or final year undergraduates, either as a stand-alone text or as a follow-on to Investments: Spot and Derivative Markets by the same authors.

Quantitative Financial Economics Second edition provides a comprehensive introduction to models of economic behaviour in financial markets, focusing on analysis in discrete time. Following the huge success of the first edition, this second edition has been fully revised and updated to reflect new developments in theory and practice, including:

The new edition will include:

• Behavioural finance: Preferences, arbitrage and learning
• Mean-variance and intertemporal asset allocation
• Performance of mutual and hedge funds
• Momentum, value-glamour strategies, style investing, market timing.
• Stochastic discount factor models: Equity premium and volatility puzzles
• Affine and cash-in-advance models
• Value at risk: Monte Carlo simulation, bootstrapping.
• Market microstructure: FX markets, technical trading, chartism
• Calibration, regime switching, data snooping, non-linear models.

The authors provide theories and tests of competing ideas in financial markets using examples from the stock, bond and foreign exchange markets. Emphasis is placed on how models inform real-world decisions, making this book accessible to both students and quants practitioners studying the behaviour of asset returns and prices.

“QFE is a clear, up-to-date text on the application of econometric techniques to the analysis of financial markets. What is particularly good about this book is that it combines a very lucid explanation of the relevant economic theories, a precise description of the econometric issues involved in their analysis and an admirably succinct account of the evidence from the best work in the field.”
David Miles, Professor of Finance, Tanaka Business School, Imperial College, London UK and Managing Director and Chief Economist, Morgan Stanley

“Apart from making complex material intelligible, the authors provide a number of insights that just make things click. I have used the first edition of this text on several Masters courses and the students loved it-- so did I. The second edition is even better. Quite simply it is a book every quant financial economist will use regularly and need to have close at hand.”
Mark Salmon, Professor of Finance, Warwick Business School, University of Warwick

“Empirical finance has become a key subject in most graduate courses thanks in large part to the dramatic and important strides the subject has taken in recent years. The new edition of this popular and highly readable book has been thoroughly revised and will become essential reading for these courses. I like especially its modern treatment and comprehensive coverage of the subject, and its accessibility for students.”
Mike Wickens, Professor of Economics, University of York

“QFE provides an excellent overview of received and more recent thinking on financial markets at a level suitable for graduate students and researchers. The treatment is well balanced between theory and empirical work, the coverage is wide and up-to-date and the exposition is clear, fluent and accessible. Every researcher and student of financial markets will want to have a copy of this book – not on their shelf but open on their desk.”
Mark Taylor, Professor of Economics, University of Warwick Research Fellow, Centre for Economic Policy Research

“One of the key challenges for economists and strategists working in the fund management industry is to develop and implement an investment process which is practical, firmly rooted in finance theory and statistically sound. This book brings together all the topics necessary to meet this challenge, and in a style that will make it very popular with finance practitioners.”
Andrew Clare, Financial Economist, Legal & General Investment Management, London

“This book is an essential cornerstone for every economist who wants to learn as well as understand the ever-expanding field of quantitative financial economics. Every researcher, practitioner and graduate student will benefit from the book's skillful presentation, insight and clarity of a wide range of important topics. A wonderful text and a definite ‘must have’ and ‘must read’.”
Gregory D. Hess, Russell S. Bock Professor of Economics, Claremont McKenna College, California.