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Applied quantitative finance : theory and computational tools

Author: Wolfgang Härdle; T Kleinow; Gerhard Stahl
Publisher: Berlin ; New York : Springer, ©2002.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

This text presents solutions, theoretical developments and method proliferation for many practical problems in quantitative finance. The combination of practice and theory supported by computational  Read more...

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Genre/Form: Aufsatzsammlung
Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Wolfgang Härdle; T Kleinow; Gerhard Stahl
ISBN: 3540434607 9783540434603
OCLC Number: 50079983
Notes: "MD Tech/Method & Data Technologies"--Cover.
"E book"--Cover.
"Also available as e-book on www.i-explore.de. Use the license code at the end of the book to download the e-book"--Title page verso.
"All Quantlets for the calculation of the given examples are executable on an XploRe Quantlet Server (XQS) and may be modified by the reader via the Internet"--Page 4 of cover.
Description: pxx, 401 pages : illustrations ; 24 cm
Contents: I. Value at Risk. 1. Approximating Value at Risk in Conditional Gaussian Models / Stefan R. Jaschke and Yuze Jiang. 2. Applications of Copulas for the Calculation of Value-at-Risk / Jorn Rank and Thomas Siegl. 3. Quantification of Spread Risk by Means of Historical Simulation / Christoph Frisch and Germar Knochlein --
II. Credit Risk. 4. Rating Migrations / Steffi Hose, Stefan Huschens and Robert Wania. 5. Sensitivity analysis of credit portfolio models / Rudiger Kiesel and Torsten Kleinow --
III. Implied Volatility. 6. The Analysis of Implied Volatilities / Matthias R. Fengler, Wolfgang Hardle and Peter Schmidt. 7. How Precise Are Price Distributions Predicted by IBT? / Wolfgang Hardle and Jun Zheng.
Responsibility: W. Härdle, T. Kleinow, G. Stahl.
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From the reviews: "The book under review a ] is designed for researchers who wish to develop professional skill in modern quantitative applications in finance. a ] This electronic book will be Read more...

 
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