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Multi-factor models and signal processing techniques : application to quantitative finance /
With recent outbreaks of multiple large-scale financial crises, amplified by interconnected risk sources, a new paradigm of fund management has emerged. This new paradigm leverages "embedded" quantitative processes and methods to provide more transparent, adaptive, reliable and easily impl...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Otros Autores: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Hoboken : London :
Wiley ; ISTE,
2013.
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| Colección: | ISTE.
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| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 082 | 0 | 4 | |a 519.5/354 |2 23 |
| 049 | |a UAMI | ||
| 100 | 1 | |a Darolles, Serge. | |
| 245 | 1 | 0 | |a Multi-factor models and signal processing techniques : |b application to quantitative finance / |c Serge Darolles, Patrick Duvaut, Emmanuelle Jay. |
| 260 | |a Hoboken : |b Wiley ; |a London : |b ISTE, |c 2013. | ||
| 300 | |a 1 online resource (xxiii, 162 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a ISTE | |
| 505 | 0 | |a Factor Models and General Definition / Serge Darolles, Patrick Duvaut, Emmanuelle Jay -- Factor Selection / Serge Darolles, Patrick Duvaut, Emmanuelle Jay -- Least Squares Estimation (LSE) and Kalman Filtering (KF) for Factor Modeling: / Serge Darolles, Patrick Duvaut, Emmanuelle Jay -- A Regularized Kalman Filter (rgKF) for Spiky Data / Serge Darolles, Patrick Duvaut, Emmanuelle Jay -- Some Probability Densities -- Supplemental Images. | |
| 504 | |a Includes bibliographical references and index (pages 143-152). | ||
| 588 | 0 | |a Online resource; title from PDF title page (Wiley, viewed Aug. 14, 2013). | |
| 520 | |a With recent outbreaks of multiple large-scale financial crises, amplified by interconnected risk sources, a new paradigm of fund management has emerged. This new paradigm leverages "embedded" quantitative processes and methods to provide more transparent, adaptive, reliable and easily implemented "risk assessment-based" practices. This book surveys the most widely used factor models employed within the field of financial asset pricing. Through the concrete application of evaluating risks in the hedge fund industry, the authors demonstrate that signal processing techniques are an intere. | ||
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Factor analysis. | |
| 650 | 0 | |a Signal processing |x Mathematics. | |
| 650 | 2 | |a Factor Analysis, Statistical | |
| 650 | 6 | |a Analyse factorielle. | |
| 650 | 6 | |a Traitement du signal |x Mathématiques. | |
| 650 | 7 | |a Factor analysis |2 fast | |
| 650 | 7 | |a Signal processing |x Mathematics |2 fast | |
| 700 | 1 | |a Duvaut, Patrick. | |
| 700 | 1 | |a Jay, Emmanuelle. | |
| 758 | |i has work: |a Multi-factor models and signal processing techniques (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGKBFB76bQgMVjWRR7HYdP |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |a Darolles, Serges. |t Multi-factor Models and Signal Processing Techniques : Application to Quantitative Finance. |d Hoboken : Wiley, ©2013 |z 9781848214194 |
| 830 | 0 | |a ISTE. | |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=1363661 |z Texto completo |
| 938 | |a Askews and Holts Library Services |b ASKH |n AH25572221 | ||
| 938 | |a EBL - Ebook Library |b EBLB |n EBL4036441 | ||
| 938 | |a EBL - Ebook Library |b EBLB |n EBL1363661 | ||
| 994 | |a 92 |b IZTAP | ||