Multi-factor models and signal processing techniques : application to quantitative finance /

• Main Author: Darolles, Serge
• Other Authors: Duvaut, Patrick, Jay, Emmanuelle
• Format: eBook
• Language: English
• Published: Hoboken : Wiley ; 2013.; London : ISTE, 2013.
• Series: ISTE.
• Subjects: Factor analysis.; Signal processing > Mathematics.; Wireless communication systems.; Electronic books.

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 impl...

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.