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...

Descripción completa

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Darolles, Serge
Otros Autores: Duvaut, Patrick, Jay, Emmanuelle
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Hoboken : London : Wiley ; ISTE, 2013.
Colección:ISTE.
Temas:
Factor analysis.
Signal processing > Mathematics.
Factor Analysis, Statistical
Analyse factorielle.
Traitement du signal > Mathématiques.
Factor analysis
Signal processing > Mathematics
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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.

Ejemplares similares