rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Multi-factor models and signal processing techniques
    sub title: application to quantitative finance
  name:
    name part: Darolles, Serge.
    role:
      role term: creator
  name:
    name part: Duvaut, Patrick.
  name:
    name part: Jay, Emmanuelle.
  type of resource: text
  genre: bibliography
  genre: Electronic books.
  origin info:
    place:
      place term: nju
    date issued: 2013
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: remote
    extent: 1 online resource (xxiii, 162 pages) : illustrations.
  abstract: With recent outbreaks of multiple large-scale financial crises, amplified by interconnected risk sources, a new paradigm of fund management has emerged. This new paradigm leverages "embedded" quantitative processes and methods to provide more transparent, adaptive, reliable and easily implemented "risk assessment-based" practices. This book surveys the most widely used factor models employed within the field of financial asset pricing. Through the concrete application of evaluating risks in the hedge fund industry, the authors demonstrate that signal processing techniques are an intere.
  table of contents: Factor Models and General Definition / Serge Darolles, Patrick Duvaut, Emmanuelle Jay -- Factor Selection / Serge Darolles, Patrick Duvaut, Emmanuelle Jay -- Least Squares Estimation (LSE) and Kalman Filtering (KF) for Factor Modeling: / Serge Darolles, Patrick Duvaut, Emmanuelle Jay -- A Regularized Kalman Filter (rgKF) for Spiky Data / Serge Darolles, Patrick Duvaut, Emmanuelle Jay -- Some Probability Densities -- Supplemental Images.
  note: Serge Darolles, Patrick Duvaut, Emmanuelle Jay.
  note: Includes bibliographical references and index (pages 143-152).
  subject:
    topic: Factor analysis
  subject:
    topic: Signal processing
    topic: Mathematics
  subject:
    topic: Factor analysis
  subject:
    topic: Signal processing
    topic: Mathematics
  subject:
    topic: Wireless communication systems
  subject:
    topic: Factor analysis
  subject:
    topic: Signal processing
    topic: Mathematics
  classification: QA278.5
  classification: 519.5/354
  related item:
    title info:
      title: Multi-factor Models and Signal Processing Techniques : Application to Quantitative Finance
    name:
      name part: Darolles, Serges.
    origin info:
      publisher: Hoboken : Wiley, ©2013
  related item:
    title info:
      title: ISTE
  identifier: 9781118577387
  identifier: 1118577388
  identifier: 9781118577400
  identifier: 111857740X
  identifier: 9781848214194
  identifier: https://doi.org/10.1002/9781118577387
  record info:
    record content source: DG1
    record creation date: 130814
    record change date: 20170124070354.8
    record identifier: ocn855780055
    language of cataloging:
      language term: eng