Applied Quantitative Finance
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...
Gardado en:
| Autor Principal: | |
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| Outros autores: | , , |
| Formato: | Livre numérique |
| Idioma: | Anglais |
| Publicado: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Edición: | Version électronique de la seconde édition datant de 2009. |
| Sujets: | |
| Acceso en liña: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Nota: |
L'impression du document génère 447 p. Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Applied Quantitative Finance, Texte imprimé, 9783540865056 • Applied Quantitative Finance, Texte imprimé, 9783642088674 • Applied quantitative finance, Wolfgang K. Härdle, Nikolaus Hautsch, Ludger Overbeck, editors, 2nd edition, Berlin, Springer, 2009, 1 vol. (xxvi-447 p.), 978-3-540-69177-8 |
| LEADER | 05153nam a22004817a 4500 | ||
|---|---|---|---|
| 001 | 940706 | ||
| 008 | 081009q2000 xxe ||| |||| 00| 0 eng d | ||
| 009 | PPN128124601 | ||
| 020 | |a 9783540691792 | ||
| 041 | 0 | |a eng | |
| 082 | |a 519 | ||
| 084 | |a 91Gxx. 2010 | ||
| 084 | |a 91G40. 2010 | ||
| 084 | |a 62Gxx. 2010 | ||
| 084 | |a 62Hxx. 2010 | ||
| 100 | 1 | |a Härdle, Wolfgang Karl, |d 1953- | |
| 245 | 1 | 0 | |a Applied Quantitative Finance |c Wolfgang K. Härdle, Nikolaus Hautsch, Ludger Overbeck, editors. |
| 250 | |a Version électronique de la seconde édition datant de 2009. | ||
| 260 | |a Berlin, Heidelberg : |b Springer Berlin Heidelberg. | ||
| 260 | |a Cham : |b Springer Nature, |c [20..]. | ||
| 500 | |a L'impression du document génère 447 p. | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 504 | |a Notes bibliogr. Index | ||
| 505 | 1 | |a 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 | |
| 506 | |a Accès en ligne pour les établissements français bénéficiaires des licences nationales | ||
| 506 | |a Accès soumis à abonnement pour tout autre établissement | ||
| 506 | |a Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 | ||
| 520 | |a 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 products. Applied Quantitative Finance (2nd edition) provides a comprehensive and state-of-the-art treatment of cutting-edge topics and methods. It provides solutions to and presents theoretical developments in many practical problems such as risk management, pricing of credit derivatives, quantification of volatility and copula modelling. The synthesis of theory and practice supported by computational tools is reflected in the selection of topics as well as in a finely tuned balance of scientific contributions on practical implementation and theoretical concepts. This linkage between theory and practice offers theoreticians insights into considerations of applicability and, vice versa, provides practitioners comfortable access to new techniques in quantitative finance. Themes that are dominant in current research and which are presented in this book include among others the valuation of Collaterized Debt Obligations (CDOs), the high-frequency analysis of market liquidity, the pricing of Bermuda options and realized volatility. All Quantlets for the calculation of the given examples are downloadable from the Springer web pages | ||
| 650 | |a Finances |x Statistiques | ||
| 650 | |a Finances |x Modèles mathématiques | ||
| 650 | |a Mathématiques financières | ||
| 700 | 1 | |a Härdle, Wolfgang Karl. |4 pbd | |
| 700 | 1 | |a Hautsch, Nikolaus. |4 pbd | |
| 700 | 1 | |a Overbeck, Ludger, |d 19..-...., |c financier. |4 pbd | |
| 776 | 0 | |t Applied Quantitative Finance |b Texte imprimé |z 9783540865056 | |
| 776 | 0 | |t Applied Quantitative Finance |b Texte imprimé |z 9783642088674 | |
| 776 | 0 | |0 133632547 |t Applied quantitative finance |f Wolfgang K. Härdle, Nikolaus Hautsch, Ludger Overbeck, editors |e 2nd edition |c Berlin |n Springer |d 2009 |p 1 vol. (xxvi-447 p.) |z 978-3-540-69177-8 | |
| 856 | 4 | |q PDF |u https://doi.org/10.1007/978-3-540-69179-2 |z Accès sur la plateforme de l'éditeur | |
| 856 | 4 | |u https://revue-sommaire.istex.fr/ark:/67375/8Q1-LRNM1HT1-6 |z Accès sur la plateforme Istex | |
| 856 | 4 | |5 452349901:747852685 |u https://ezproxy.univ-orleans.fr/login?url=https://dx.doi.org/10.1007/978-3-540-69179-2 |z Accès Université d'Orléans | |
| 856 | 4 | |5 180339901:750870281 |u https://ezproxy.insa-cvl.fr/login?qurl=https://dx.doi.org/10.1007/978-3-540-69179-2 |z Accès INSA CVL | |
| 997 | |0 940706 |1 Livre numérique |a Ressource numérique |b INSA |b ENSA |c 0/Bibliothèque numérique/ |c 1/Bibliothèque numérique/Autre ressource numérique/ | ||