Applied Quantitative Finance

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Beschreibung


Recent years have witnessed a growing importance of quantitative methods in both financial research and industry. This development requires the use of advanced techniques on a theoretical and applied level, especially when it comes to the quantification of risk and the valuation of modern financial products. Applied Quantitative Finance (2nd edition) provides a comprehensive and state-of-the-art treatment of cutting-edge topics and methods. It provides solutions to and presents theoretical developments in many practical problems such as risk management, pricing of credit derivatives, quantification of volatility and copula modelling. The synthesis of theory and practice supported by computational tools is reflected in the selection of topics as well as in a finely tuned balance of scientific contributions on practical implementation and theoretical concepts. This linkage between theory and practice offers theoreticians insights into considerations of applicability and, vice versa, provides practitioners comfortable access to new techniques in quantitative finance. Themes that are dominant in current research and which are presented in this book include among others the valuation of Collaterized Debt Obligations (CDOs), the high-frequency analysis of market liquidity, the pricing of Bermuda options and realized volatility. All Quantlets for the calculation of the given examples are downloadable from the Springer web pages.


Wolfgang Karl Härdle is the Ladislaus von Bortkiewicz Professor of Statistics at the Humboldt-Universität zu Berlin and director of C.A.S.E. (Center for Applied Statistics and Economics), director of the CRC-649 (Collaborative Research Center) “Economic Risk” and director of the IRTG 1792 “High Dimensional Non-stationary Time Series.” He teaches quantitative finance and semi-parametric statistics. His research focuses on dynamic factor models, multivariate statistics in finance and computational statistics. He is an elected member of the ISI (International Statistical Institute) and advisor to the Guanghua School of Management, Peking University and a senior fellow of Sim Kee Boon Institute of Financial Economics at the Singapore Management University. 


Cathy Yi-Hsuan Chen is guest professor at the Humboldt-Universität zu Berlin School of Business & Economics, a principal investigator in the International Research Training Group 1792 – High Dimensional Non-stationary Time Series and visiting fellow at Sim Kee Boon Institute for Financial Economics, Singapore Management University. Her research interests focus on text mining, finance analysis and risk analysis and management. She has dedicated herself to applying text-mining techniques to distill news flow from social media. She has published in key journals and has written important software for financial econometrics. She applies modern econometric techniques, such as copulae and ultra-high dimensional factor models to financial data on systemic risk indicators. She has professional experience in risk modeling and management in banking industry. 

Ludger Overbeck is Professor of Mathematics at the University of Giessen, specializing in stochastic processes, as well as mathematical financial and quantitative methods in risk management. His research covers a wide range of topics from infinite-dimensional stochastic analysis, like measure-valued processes, path-dependent stochastic equations and partial differential equations; pricing issues such as term structure modelling for credit products; risk management like portfolio credit risk; and the axiomatic approach to systemic dynamic risk measures. He gained broad professional experience in risk-management quantification issues during his career with the Deutsche Bundesbank, Deutsche Bank, UniCredit and Commerzbank.  

Produktdetails

Einband gebundene Ausgabe
Herausgeber Wolfgang Karl Härdle, Cathy Yi-Hsuan Chen, Ludger Overbeck
Seitenzahl 372
Erscheinungsdatum 05.08.2017
Sprache Englisch
ISBN 978-3-662-54485-3
Reihe Statistics and Computing
Verlag Springer Berlin
Maße (L/B/H) 24.1/16/2.6 cm
Gewicht 6978 g
Abbildungen 36 schwarzweisse Abbilmit 75 FarbabbildungenFarbabb.
Auflage 3rd ed. 2017

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  • Part I Market Risk: VaR in High-Dimensional Systems.-  Multivariate Volatility Models.- Portfolio Selection with Spectral Risk Measures.-  Implementation of Local Stochastic Volatility Model.- Part II Credit Risk: Estimating DTD via Sequential Monte Carlo.- Risk Measurement with Spectral Capital Allocation.- Market Based Credit Rating and its Applications.- Using Public Information to Predict Corporate Default Risk.- Stress Testing in Credit Portfolio Models.- Penalized Independent Factor.- Term Structure of Loss Cascades in Portfolio Securitisation.- Credit Rating Score Analysis.- Part III Dynamics Risk Measurement: Copulae in High Dimensions - An Introduction.- Measuring and Modeling Risk Using High-Frequency Data.- Measuring Financial Risk in Energy Markets.- Risk Analysis of Cryptocurrency as an Alternative Asset Class.- Time Varying Quantile Lasso.- Dynamic Topic Modelling for Cryptocurrency Community Forums.