Applied Quantitative Finance
Theory and Computational Tools
Published on 10. July 2002
Book
Paperback/Softback
XXI, 402 pages
978-3-540-43460-3 (ISBN)
Description
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.
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.
Reviews / Votes
From the reviews:
"The book under review . is designed for researchers who wish to develop professional skill in modern quantitative applications in finance. . This electronic book will be welcomed by all who are interested in computational mathematical finance and students may derive much practical training working with the data sets and the XploRe programs. This book can be recommended to undergraduate libraries in statistics, econometrics and finance." (Ravi Sreenivasan, Journal of the Royal Statistical Society Series A: Statistics in Society, Vol. 157 (1), 2004)
More details
Language
English
Place of publication
Berlin
Germany
Publishing group
Springer Berlin
Target group
Professional and scholarly
College/higher education
Practitioners and researchers in quantitative finance
Dimensions
Height: 23.5 cm
Width: 15.5 cm
Weight
660 gr
ISBN-13
978-3-540-43460-3 (9783540434603)
DOI
10.1007/978-3-662-05021-7
Schweitzer Classification
Other editions
New editions
Wolfgang Karl Härdle | Cathy Yi-Hsuan Chen | Ludger Overbeck
Applied Quantitative Finance
Book
08/2017
3rd Edition
Springer
€90.94
Shipment within 7-9 days
Wolfgang Karl Härdle | Nikolaus Hautsch | Ludger Overbeck
Applied Quantitative Finance
Book
08/2008
2nd Edition
Springer
€96.29
Shipment within 7-9 days
Additional editions
E-Book
06/2013
1st Edition
Springer
€85.59
Available for download
Persons
Wolfgang Härdle, Humboldt Universität zu Berlin, Germany / Torsten Kleinow, Humboldt Universität zu Berlin, Germany / Gerhard Stahl, Federal Banking Supervisory Office, Bonn, Germany
Content
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.