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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...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor Corporativo: | |
| Otros Autores: | , , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Berlin, Heidelberg :
Springer Berlin Heidelberg : Imprint: Springer,
2008.
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| Edición: | 2nd ed. 2008. |
| Temas: | |
| Acceso en línea: | Texto Completo |
Tabla de Contenidos:
- 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.