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 fina...
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| Other Authors: | , , |
|---|---|
| Format: | Ebook |
| Language: | English |
| Published: |
Berlin ; London :
Springer,
2008.
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| Edition: | Second edition / |
| Subjects: | |
| Online Access: | Springer eBooks |
Table of Contents:
- Value at Risk:
- Modeling Dependencies with Copulae / Wolfgang Härdle, Ostap Okhrin, Yarema Okhrin
- Quantification of Spread Risk by Means of Historical Simulation / Christoph Frisch, Germar Knöchlein
- A Copula-Based Model of the Term Structure of CDO Tranches / Umberto Cherubini, Sabrina Mulinacci, Silvia Romagnoli
- VaR in High Dimensional Systems – a Conditional Correlation Approach / Helmut Herwartz, Bruno Pedrinha
- Credit Risk:
- Rating Migrations / Steffi Höse, Stefan Huschens, Robert Wania
- Cross- and Autocorrelation in Multi-Period Credit Portfolio Models / Christoph K. J. Wagner
- Risk Measurement with Spectral Capital Allocation / Ludger Overbeck, Maria Sokolova
- Valuation and VaR Computation for CDOs Using Stein’s Method / Nicole El Karoui, Ying Jiao, David Kurtz
- Implied Volatility:
- Least Squares Kernel Smoothing of the Implied Volatility Smile / Matthias R. Fengler, Qihua Wang
- Numerics of Implied Binomial Trees / Wolfgang Härdle, Alena Myšičková
- Application of Extended Kalman Filter to SPD Estimation / Zdeněk Hlávka, Marek Svojik
- Stochastic Volatility Estimation Using Markov Chain Simulation / Nikolaus Hautsch, Yangguoyi Ou
- Measuring and Modeling Risk Using High-Frequency Data / Wolfgang Härdle, Nikolaus Hautsch, Uta Pigorsch
- Valuation of Multidimensional Bermudan Options / Shih-Feng Huang, Meihui Guo
- Econometrics:
- Multivariate Volatility Models / Matthias R. Fengler, Helmut Herwartz
- The Accuracy of Long-term Real Estate Valuations / Rainer Schulz, Markus Staiber, Martin Wersing, Axel Werwatz
- Locally Time Homogeneous Time Series Modelling / Mstislav Elagin, Vladimir Spokoiny
- Simulation Based Option Pricing / Denis Belomestny, Grigori N. Milstein
- High-Frequency Volatility and Liquidity / Nikolaus Hautsch, Vahidin Jeleskovic
- Statistical Process Control in Asset Management / Vasyl Golosnoy, Wolfgang Schmid
- Canonical Dynamics Mechanism of Monetary Policy and Interest Rate / Jenher Jeng, Wei-Fang Niu, Nan-Jye Wang, Shih-Shan Lin.