Author | Hรคrdle, Wolfgang. author |
---|---|
Title | Applied Quantitative Finance [electronic resource] : Theory and Computational Tools / by Wolfgang Hรคrdle, Torsten Kleinow, Gerhard Stahl |
Imprint | Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2002 |
Connect to | http://dx.doi.org/10.1007/978-3-662-05021-7 |
Descript | XXI, 402 p. 182 illus. online resource |
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