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Applied quantitative finance.

Author: Wolfgang Härdle; Nikolaus Hautsch; Ludger Overbeck
Publisher: Berlin ; London : Springer, 2008.
Edition/Format:   Print book : English : 2nd ed.View all editions and formats
Summary:

This text explores developments and solutions for many practical problems confronting quantitative methods in financial research and industry. It is a synthesis of scientific contributions on  Read more...

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Wolfgang Härdle; Nikolaus Hautsch; Ludger Overbeck
ISBN: 9783540691778 3540691774
OCLC Number: 233788985
Notes: "All Quantlets for the calculation of the given examples are downloadable from the Springer web pages"--Page 4 of cover.
Previous ed. published as: Applied quantitative finance : theory and computational tools / W. Härdle, T. Kleinow, G. Stahl. ©2002.
Description: xxvi, 447 pages : illustrations ; 24 cm
Contents: Modeling dependencies with copulae / Wolfgang Härdle, Ostap Okhrin and Yarema Okhrin --
Quantification of spread risk by means of historical simulation / Christoph Frisch and Germar Knöchlein --
A copula-based model of the term structure of CDO tranches / Umberto Cherubini, Sabrina Mulinacci and Silvia Romagnoli --
VaR in high dimensional systems : a conditional correlation approach / Helmut Herwartz and Bruno Pedrinha --
Rating migrations / Steffi Höse, Stefan Huschens and Robert Wania --
Cross- and autocorrelation in multi-period credit portfolio models / Christoph K.J. Wagner --
Risk measurement and spectral capital allocation / Ludger Overbeck and Maria Sokolova --
Valuation and VaR computation for CDOs using Stein's method / Nicole El Karoui, Ying Jiao, David Kurtz --
Least squares kernel smoothing of the implied volatility smile / Matthias R. Fengler and Qihua Wang --
Numerics of implied binomial trees / Wolfgang Härdle and Alena Myšičková --
Application of extended Kalman filter to SPD estimation / Zdeněk Hlávka and Marek Svojik --
Stochastic volatility estimation using Markov chain simulation / Nikolaus Hautsch and Yangguoyi Ou --
Measuring and modeling risk using high-frequency data / Wolfgang Härdle, Nikolaus Hautsch and Uta Pigorsch --
Valuation of multidimensional Bermudan options / Shih-Feng Huang and Meihui Guo --
Multivariate volatility models / Matthias R. Fengler and Helmut Herwartz --
The accuracy of long-term real estate valuations / Rainer Schulz [and others] --
Locally time homogeneous time series modelling / Mstislav Elagin and Vladimir Spokoiny --
Simulation based option pricing / Denis Belomestny and Grigori N. Milstein --
High-frequency volatility and liquidity/ Nikolaus Hautsch and Vahidin Jeleskovic --
Statistical process control in asset management / Vasyl Golosnoy and Wolfgang Schmid --
Canonical dynamics mechanism of monetary policy and interest rate / Jenher Jeng [and others].

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From the reviews of the second edition:"The second edition ... compared with the first, has widened the scope of the overall message and topics. ... have also included more up-to-date data. ... Read more...

 
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