Applied quantitative finance

Theory and computational tools

W. Hardle, T. Kleinow, G. Stahl

402 pages, parution le 17/07/2002

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Résumé

Applied Quantitative Finance presents solutions, theoretical developments and method proliferation for many practical problems in quantitative finance. The combination of practice and theory supported by computational tools is reflected in the selection of topics as well as in a finely tuned balance of scientific contributions on the practical implementation and theoretical concepts.
This concept offers theoreticians insight into the applicability of the methodology and, vice versa, practitioners insight into new methods for their applications. The e-book design of the text links theory and computational tools in an innovative way.
All "quantlets" for the calculation of given examples in the text are supported by the academic edition of XploRe. The electronic edition of the book enables one to execute and modify all quantlets immediately. The electronic edition can be downloaded at no cost via the attached registration card.

Sommaire

Value at Risk
- Approximating Value at Risk in Conditional Gaussian Models
- Applications of Copulas for the Calculation of Value-at-Risk
- Quantification of Spread Risk by Means of Historical Simulation
Credit Risk
- Rating Migrations
- Sensitivity analysis of credit portfolio models
Implied Volatility
- The Analysis of Implied Volatilities
- How Precise Are Price Distributions Predicted by IBT?
- Estimating State-Price Densities with Nonparametric Regression
- Trading on Deviations of Implied and Historical Densities
Econometrics
- Multivariate Volatility Models
- Statistical Process Control
- An Empirical Likelihood Goodness-of-Fit Test for Diffusions
- A simple state space model of house prices
- Long Memory Effects Trading Strategy
- Locally time homogeneous time series modeling
- Simulation based Option Pricing
- Nonparametric Estimators of GARCH Processes
- Net Based Spreadsheets in Quantitative Finance

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	W. Hardle, T. Kleinow, G. Stahl
Parution	17/07/2002
Nb. de pages	402
Format	15,5 x 23,5
Couverture	Broché
Poids	645g
Intérieur	Noir et Blanc
EAN13	9783540434603