Applied Quantitative Finance
Theory and Computational Tools
1st Edition
Published on 29. June 2013
XXI, 402 pages
978-3-662-05021-7 (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
Other editions
New editions
Wolfgang Karl Härdle | Nikolaus Hautsch | Ludger Overbeck
Applied Quantitative Finance
E-Book
08/2008
2nd Edition
Springer
€96.29
Available for download
Additional editions
Book
07/2002
Springer
€85.59
Article exhausted; check for reprint
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.
