Applied Quantitative Finance

• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Άλλοι συγγραφείς: Härdle, Wolfgang K. (Επιμελητής έκδοσης), Hautsch, Nikolaus (Επιμελητής έκδοσης), Overbeck, Ludger (Επιμελητής έκδοσης)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Berlin, Heidelberg : Springer Berlin Heidelberg, 2008.
• Έκδοση: 2.
• Θέματα: Mathematics.; Finance.; Economics, Mathematical.; Statistics.; Quantitative Finance.; Statistics for Business/Economics/Mathematical Finance/Insurance.; Finance, general.

Recent years have witnessed a growing importance of quantitative methods in both financial research and industry. This development requires the use of advanced techniques on a theoretical and applied level, especially when it comes to the quantification of risk and the valuation of modern financial...

Πίνακας περιεχομένων:

• Value at Risk
• Modeling Dependencies with Copulae
• Quantification of Spread Risk by Means of Historical Simulation
• A Copula-Based Model of the Term Structure of CDO Tranches
• VaR in High Dimensional Systems – a Conditional Correlation Approach
• Credit Risk
• Rating Migrations
• Cross- and Autocorrelation in Multi-Period Credit Portfolio Models
• Risk Measurement with Spectral Capital Allocation
• Valuation and VaR Computation for CDOs Using Stein’s Method
• Implied Volatility
• Least Squares Kernel Smoothing of the Implied Volatility Smile
• Numerics of Implied Binomial Trees
• Application of Extended Kalman Filter to SPD Estimation
• Stochastic Volatility Estimation Using Markov Chain Simulation
• Measuring and Modeling Risk Using High-Frequency Data
• Valuation of Multidimensional Bermudan Options
• Econometrics
• Multivariate Volatility Models
• The Accuracy of Long-term Real Estate Valuations
• Locally Time Homogeneous Time Series Modelling
• Simulation Based Option Pricing
• High-Frequency Volatility and Liquidity
• Statistical Process Control in Asset Management
• Canonical Dynamics Mechanism of Monetary Policy and Interest Rate.