UID:
almahu_9949285328302882
Format:
XXI, 402 p. 182 illus.
,
online resource.
Edition:
1st ed. 2002.
ISBN:
9783662050217
Content:
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 access to 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 executable on an XploRe Quantlet Server (XQS) and can be modified by the reader via the internet. The electronic edition can be downloaded from the web site www.i-xplore.de using the licence and registration number at the back cover.
Note:
I Value at Risk -- 1 Approximating Value at Risk in Conditional Gaussian Models -- 2 Applications of Copulas for the Calculation of Value-at-Risk -- 3 Quantification of Spread Risk by Means of Historical Simulation -- II Credit Risk -- 4 Rating Migrations -- 5 Sensitivity analysis of credit portfolio models -- III Implied Volatility -- 6 The Analysis of Implied Volatilities -- 7 How Precise Are Price Distributions Predicted by IBT? -- 8 Estimating State-Price Densities with Nonparametric Regression -- 9 Trading on Deviations of Implied and Historical Densities -- IV Econometrics -- 10 Multivariate Volatility Models -- 11 Statistical Process Control -- 12 An Empirical Likelihood Goodness-of-Fit Test for Diffusions -- 13 A simple state space model of house prices -- 14 Long Memory Effects Trading Strategy -- 15 Locally time homogeneous time series modeling -- 16 Simulation based Option Pricing -- 17 Nonparametric Estimators of GARCH Processes -- 18 Net Based Spreadsheets in Quantitative Finance.
In:
Springer Nature eBook
Additional Edition:
Printed edition: ISBN 9783540434603
Additional Edition:
Printed edition: ISBN 9783662050224
Language:
English
DOI:
10.1007/978-3-662-05021-7
URL:
https://doi.org/10.1007/978-3-662-05021-7
