Download or read book An Introduction to Market Risk Measurement written by Kevin Dowd and published by John Wiley & Sons. This book was released on 2003-03-14 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt: Includes a CD-ROM that contains Excel workbooks and a Matlab manual and software. Covers the subject without advanced or exotic material.
Download or read book Measuring Market Risk written by Kevin Dowd and published by John Wiley & Sons. This book was released on 2007-01-11 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fully revised and restructured, Measuring Market Risk, Second Edition includes a new chapter on options risk management, as well as substantial new information on parametric risk, non-parametric measurements and liquidity risks, more practical information to help with specific calculations, and new examples including Q&A’s and case studies.
Download or read book Applications of State Space Models in Finance written by Sascha Mergner and published by Universitätsverlag Göttingen. This book was released on 2009 with total page 235 pages. Available in PDF, EPUB and Kindle. Book excerpt: State space models play a key role in the estimation of time-varying sensitivities in financial markets. The objective of this book is to analyze the relative merits of modern time series techniques, such as Markov regime switching and the Kalman filter, to model structural changes in the context of widely used concepts in finance. The presented material will be useful for financial economists and practitioners who are interested in taking time-variation in the relationship between financial assets and key economic factors explicitly into account. The empirical part illustrates the application of the various methods under consideration. As a distinctive feature, it includes a comprehensive analysis of the ability of time-varying coefficient models to estimate and predict the conditional nature of systematic risks for European industry portfolios.
Download or read book Market Risk Analysis Quantitative Methods in Finance written by Carol Alexander and published by John Wiley & Sons. This book was released on 2008-04-30 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by leading market risk academic, Professor Carol Alexander, Quantitative Methods in Finance forms part one of the Market Risk Analysis four volume set. Starting from the basics, this book helps readers to take the first step towards becoming a properly qualified financial risk manager and asset manager, roles that are currently in huge demand. Accessible to intelligent readers with a moderate understanding of mathematics at high school level or to anyone with a university degree in mathematics, physics or engineering, no prior knowledge of finance is necessary. Instead the emphasis is on understanding ideas rather than on mathematical rigour, meaning that this book offers a fast-track introduction to financial analysis for readers with some quantitative background, highlighting those areas of mathematics that are particularly relevant to solving problems in financial risk management and asset management. Unique to this book is a focus on both continuous and discrete time finance so that Quantitative Methods in Finance is not only about the application of mathematics to finance; it also explains, in very pedagogical terms, how the continuous time and discrete time finance disciplines meet, providing a comprehensive, highly accessible guide which will provide readers with the tools to start applying their knowledge immediately. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Principal component analysis of European equity indices; Calibration of Student t distribution by maximum likelihood; Orthogonal regression and estimation of equity factor models; Simulations of geometric Brownian motion, and of correlated Student t variables; Pricing European and American options with binomial trees, and European options with the Black-Scholes-Merton formula; Cubic spline fitting of yields curves and implied volatilities; Solution of Markowitz problem with no short sales and other constraints; Calculation of risk adjusted performance metrics including generalised Sharpe ratio, omega and kappa indices.
Download or read book The Quarterly Review of Economics and Finance written by and published by . This book was released on 2010 with total page 1098 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimization Methods in Finance written by Gérard Cornuéjols and published by Cambridge University Press. This book was released on 2018-08-09 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: Optimization methods play a central role in financial modeling. This textbook is devoted to explaining how state-of-the-art optimization theory, algorithms, and software can be used to efficiently solve problems in computational finance. It discusses some classical mean–variance portfolio optimization models as well as more modern developments such as models for optimal trade execution and dynamic portfolio allocation with transaction costs and taxes. Chapters discussing the theory and efficient solution methods for the main classes of optimization problems alternate with chapters discussing their use in the modeling and solution of central problems in mathematical finance. This book will be interesting and useful for students, academics, and practitioners with a background in mathematics, operations research, or financial engineering. The second edition includes new examples and exercises as well as a more detailed discussion of mean–variance optimization, multi-period models, and additional material to highlight the relevance to finance.
Download or read book Market Risk Analysis Boxset written by Carol Alexander and published by John Wiley & Sons. This book was released on 2009-02-24 with total page 1691 pages. Available in PDF, EPUB and Kindle. Book excerpt: Market Risk Analysis is the most comprehensive, rigorous and detailed resource available on market risk analysis. Written as a series of four interlinked volumes each title is self-contained, although numerous cross-references to other volumes enable readers to obtain further background knowledge and information about financial applications. Volume I: Quantitative Methods in Finance covers the essential mathematical and financial background for subsequent volumes. Although many readers will already be familiar with this material, few competing texts contain such a complete and pedagogical exposition of all the basic quantitative concepts required for market risk analysis. There are six comprehensive chapters covering all the calculus, linear algebra, probability and statistics, numerical methods and portfolio mathematics that are necessary for market risk analysis. This is an ideal background text for a Masters course in finance. Volume II: Practical Financial Econometrics provides a detailed understanding of financial econometrics, with applications to asset pricing and fund management as well as to market risk analysis. It covers equity factor models, including a detailed analysis of the Barra model and tracking error, principal component analysis, volatility and correlation, GARCH, cointegration, copulas, Markov switching, quantile regression, discrete choice models, non-linear regression, forecasting and model evaluation. Volume III: Pricing, Hedging and Trading Financial Instruments has five very long chapters on the pricing, hedging and trading of bonds and swaps, futures and forwards, options and volatility as well detailed descriptions of mapping portfolios of these financial instruments to their risk factors. There are numerous examples, all coded in interactive Excel spreadsheets, including many pricing formulae for exotic options but excluding the calibration of stochastic volatility models, for which Matlab code is provided. The chapters on options and volatility together constitute 50% of the book, the slightly longer chapter on volatility concentrating on the dynamic properties the two volatility surfaces the implied and the local volatility surfaces that accompany an option pricing model, with particular reference to hedging. Volume IV: Value at Risk Models builds on the three previous volumes to provide by far the most comprehensive and detailed treatment of market VaR models that is currently available in any textbook. The exposition starts at an elementary level but, as in all the other volumes, the pedagogical approach accompanied by numerous interactive Excel spreadsheets allows readers to experience the application of parametric linear, historical simulation and Monte Carlo VaR models to increasingly complex portfolios. Starting with simple positions, after a few chapters we apply value-at-risk models to interest rate sensitive portfolios, large international securities portfolios, commodity futures, path dependent options and much else. This rigorous treatment includes many new results and applications to regulatory and economic capital allocation, measurement of VaR model risk and stress testing.
Download or read book Understanding Risk written by David Murphy and published by CRC Press. This book was released on 2008-04-23 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: Sound risk management often involves a combination of both mathematical and practical aspects. Taking this into account, Understanding Risk: The Theory and Practice of Financial Risk Management explains how to understand financial risk and how the severity and frequency of losses can be controlled. It combines a quantitative approach with a
Download or read book Issues in Global Business and Management Research Proceedings of the 2008 International Online Conference on Business and Management IOCBM 2008 written by Mehran Nejati and published by Universal-Publishers. This book was released on 2008-10-10 with total page 568 pages. Available in PDF, EPUB and Kindle. Book excerpt: IOCBM 2008 is the second International Online Conference on Business and Management at a global scale, attracting business and management practitioners, students, professors, researchers, and activists from around the world to submit their research findings to the conference. It is an annual conference in the field of business and management which is held by ALA Excellence Consulting Group annually. More information about this conference can be found at http://www.ala.ir/iocbm2008.
Download or read book Assessment of Intraseasonal to Interannual Climate Prediction and Predictability written by National Research Council and published by National Academies Press. This book was released on 2010-10-08 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: More accurate forecasts of climate conditions over time periods of weeks to a few years could help people plan agricultural activities, mitigate drought, and manage energy resources, amongst other activities; however, current forecast systems have limited ability on these time- scales. Models for such climate forecasts must take into account complex interactions among the ocean, atmosphere, and land surface. Such processes can be difficult to represent realistically. To improve the quality of forecasts, this book makes recommendations about the development of the tools used in forecasting and about specific research goals for improving understanding of sources of predictability. To improve the accessibility of these forecasts to decision-makers and researchers, this book also suggests best practices to improve how forecasts are made and disseminated.
Download or read book Recent Advances in Robust Speech Recognition Technology written by Javier Ramirez and published by Bentham Science. This book was released on 2011 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This E-book is a collection of articles that describe advances in speech recognition technology. Robustness in speech recognition refers to the need to maintain high speech recognition accuracy even when the quality of the input speech is degraded, or whe"
Download or read book 6GN for Future Wireless Networks written by Ao Li and published by Springer Nature. This book was released on 2023-07-07 with total page 364 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 2-volume set constitutes the proceedings of the 5th International Conference on 6G for Future Wireless Networks, 6GN 2022, held in Harbin, China, in December 2022. The 60 full papers were selected from 194 submissions and present the state of the art and practical applications of 6G technologies. The papers are arranged thematically in tracks as follows: Resource Allocation for 6G Networks; Security and Privacy for 6G Networks; Big data mining and pattern analysis techniques for 6G Networks; Artificial intelligent techniques for 6G Networks; Mobile Edge Computing for 6G Networks; Unmanned Aerial Vehicle Communication for 6G Networks.
Download or read book Numerical Methods for Chemical Engineering written by Kenneth J. Beers and published by Cambridge University Press. This book was released on 2007 with total page 496 pages. Available in PDF, EPUB and Kindle. Book excerpt: Applications of numerical mathematics and scientific computing to chemical engineering.
Download or read book Princeton Companion to Applied Mathematics written by Nicholas J. Higham and published by Princeton University Press. This book was released on 2015-09-09 with total page 1014 pages. Available in PDF, EPUB and Kindle. Book excerpt: The must-have compendium on applied mathematics This is the most authoritative and accessible single-volume reference book on applied mathematics. Featuring numerous entries by leading experts and organized thematically, it introduces readers to applied mathematics and its uses; explains key concepts; describes important equations, laws, and functions; looks at exciting areas of research; covers modeling and simulation; explores areas of application; and more. Modeled on the popular Princeton Companion to Mathematics, this volume is an indispensable resource for undergraduate and graduate students, researchers, and practitioners in other disciplines seeking a user-friendly reference book on applied mathematics. Features nearly 200 entries organized thematically and written by an international team of distinguished contributors Presents the major ideas and branches of applied mathematics in a clear and accessible way Explains important mathematical concepts, methods, equations, and applications Introduces the language of applied mathematics and the goals of applied mathematical research Gives a wide range of examples of mathematical modeling Covers continuum mechanics, dynamical systems, numerical analysis, discrete and combinatorial mathematics, mathematical physics, and much more Explores the connections between applied mathematics and other disciplines Includes suggestions for further reading, cross-references, and a comprehensive index
Download or read book High Dimensional Probability written by Roman Vershynin and published by Cambridge University Press. This book was released on 2018-09-27 with total page 299 pages. Available in PDF, EPUB and Kindle. Book excerpt: An integrated package of powerful probabilistic tools and key applications in modern mathematical data science.
Download or read book Data Science written by Jianchao Zeng and published by Springer Nature. This book was released on 2020-08-20 with total page 738 pages. Available in PDF, EPUB and Kindle. Book excerpt: This two volume set (CCIS 1257 and 1258) constitutes the refereed proceedings of the 6th International Conference of Pioneering Computer Scientists, Engineers and Educators, ICPCSEE 2020 held in Taiyuan, China, in September 2020. The 98 papers presented in these two volumes were carefully reviewed and selected from 392 submissions. The papers are organized in topical sections: database, machine learning, network, graphic images, system, natural language processing, security, algorithm, application, and education. The chapter “Highly Parallel SPARQL Engine for RDF” is available open access under a Creative Commons Attribution 4.0 International License via link.springer.com.
Download or read book An Introduction to Matrix Concentration Inequalities written by Joel Tropp and published by . This book was released on 2015-05-27 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: Random matrices now play a role in many areas of theoretical, applied, and computational mathematics. It is therefore desirable to have tools for studying random matrices that are flexible, easy to use, and powerful. Over the last fifteen years, researchers have developed a remarkable family of results, called matrix concentration inequalities, that achieve all of these goals. This monograph offers an invitation to the field of matrix concentration inequalities. It begins with some history of random matrix theory; it describes a flexible model for random matrices that is suitable for many problems; and it discusses the most important matrix concentration results. To demonstrate the value of these techniques, the presentation includes examples drawn from statistics, machine learning, optimization, combinatorics, algorithms, scientific computing, and beyond.
