Wolfgang Hardle, etc – Applied Quantitative Finance

Description

Wolfgang Hardle, etc – Applied Quantitative Finance

Recent years have witnessed a rising significance of quantitative strategies in each monetary analysis and business. This growth requires the usage of superior methods on a theoretical and utilized stage, particularly with regards to the quantification of threat and the valuation of recent monetary merchandise.

Applied Quantitative Finance (2nd version) gives a complete and state-of-the-art therapy of cutting-edge matters and strategies. It gives options to and presents theoretical developments in lots of sensible issues reminiscent of threat administration, pricing of credit score derivatives, quantification of volatility and copula modelling. The synthesis of concept and follow supported by computational instruments is mirrored within the collection of matters in addition to in a finely tuned steadiness of scientific contributions on sensible implementation and theoretical ideas. This linkage between concept and follow provides theoreticians insights into issues of applicability and, vice versa, gives practitioners snug entry to new methods in quantitative finance.

Themes which are dominant in present analysis and that are introduced on this ebook embrace amongst others the valuation of Collaterized Debt Obligations (CDOs), the high-frequency evaluation of market liquidity, the pricing of Bermuda choices and realized volatility.

All Quantlets for the calculation of the given examples are downloadable from the Springer internet pages.