Applied Quantitative Finance | Buch

Cover: 9783540691778 | Applied Quantitative Finance | Wolfgang Karl Härdle (u. a.) | Buch

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Sprache: Englisch

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Beschreibung

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.

Zusammenfassung

Includes supplementary material: [...]

Inhaltsverzeichnis

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.

Erscheinungsjahr:	2008
Fachbereich:	Betriebswirtschaft
Genre:	Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Buch
Inhalt:	xxvi 447 S.
ISBN-13:	9783540691778
ISBN-10:	3540691774
Sprache:	Englisch
Herstellernummer:	12318353
Ausstattung / Beilage:	HC runder Rücken kaschiert
Einband:	Gebunden
Redaktion:	Härdle, Wolfgang Karl Overbeck, Ludger Hautsch, Nikolaus
Herausgeber:	Wolfgang Härdle/Nikolaus Hautsch/Ludger Overbeck
Auflage:	2nd ed. 2008
Hersteller:	Springer-Verlag GmbH Springer Berlin Heidelberg
Maße:	241 x 160 x 31 mm
Von/Mit:	Wolfgang Karl Härdle (u. a.)
Erscheinungsdatum:	25.08.2008
Gewicht:	0,875 kg

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