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...
Guardat en:
| Autor principal: | |
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| Altres autors: | , , |
| Format: | Livre numérique |
| Idioma: | Anglais |
| Publicat: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Edició: | Version électronique de la seconde édition datant de 2009. |
| Matèries: | |
| Accés en línia: | 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 |
Taula de continguts:
- 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