Quantitative Risk and Portfolio Management

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Sprache: Englisch

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Beschreibung

A comprehensive modern introduction to risk and portfolio management for quantitatively adept advanced undergraduate and beginning graduate students who will become practitioners in the field of quantitative finance. With a focus on real-world application, but providing a background in academic theory, this text builds a firm foundation of rigorous but practical knowledge. Extensive live data and Python code are provided as online supplements, allowing a thorough understanding of how to manage risk and portfolios in practice. With its detailed examination of how mathematical techniques are applied to finance, this is the ideal textbook for giving students with a background in engineering, mathematics or physics a route into the field of quantitative finance.

Über den Autor

Kenneth J. Winston is a Lecturer in Economics at the California Institute of Technology and an Adjunct Professor of Mathematics at New York University. Having trained as a combinatorist at MIT, he moved into the field of quantitative finance, creating algorithms for equity and option investment strategies. He worked as a Chief Risk Officer at Western Asset Management and Morgan Stanley, and is a founder of the Buy Side Risk Managers Forum. Winston won the 2006 Roger Murray Award at the Institute for Quantitative Research in Finance and is a co-editor of The Oxford Handbook of Quantitative Asset Management (OUP: 2014).

Inhaltsverzeichnis

Preface; 1. What is risk?; 2. Risk metrics; 3. Fixed income modeling; 4. Equity modeling; 5. Convex optimization; 6. Factor models; 7. Distributions; 8. Simulation, scenarios and stress testing; 9. Time-varying volatility; 10. Modeling relationships; 11. Credit modeling; 12. Hedging; References; Index.

Erscheinungsjahr:	2023
Fachbereich:	Betriebswirtschaft
Genre:	Importe , Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Buch
ISBN-13:	9781009209045
ISBN-10:	1009209043
Sprache:	Englisch
Einband:	Gebunden
Autor:	Winston, Kenneth J.
Hersteller:	Cambridge University Pr.
Verantwortliche Person für die EU:	Libri GmbH, Europaallee 1, D-36244 Bad Hersfeld, gpsr@libri.de
Abbildungen:	Worked examples or Exercises
Maße:	258 x 180 x 35 mm
Von/Mit:	Kenneth J. Winston
Erscheinungsdatum:	21.09.2023
Gewicht:	1,468 kg