1. Auflage - September 2003
119,- Euro
2003. 426 Seiten, Hardcover
ISBN-10: 0-470-84885-5
ISBN-13: 978-0-470-84885-2 - John Wiley & Sons

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Probekapitel

Kurzbeschreibung
This book sets out to provide a manual on applied quantitative financial analysis. Aiming to focus on advanced methods for modelling financial markets in the context of practical financial applications, the book includes data, software and techniques that will enable the reader to implement and interpret quantitative methodologies, specifically for trading and investment.

Aus dem Inhalt
About the Contributors.

Preface.

1. Applications of Advanced Regression Analysis for Trading and Investment (Christian L. Dunis and Mark Williams).

2. Using Cointegration to Hedge and Trade International Equities (A. Neil Burgess).

3. Modelling the Term Structure of Interest Rates: An Application of Gaussian Affine Models to the German Yield Curve (Nuno Cassola and Jorge Barros Lu).

4. Forecasting and Trading Currency Volatility: An Application of Recurrent Neural Regression and Model Combination (Christian L. Dunis and Xuehuan Huang).

5. Implementing Neural Networks, Classification Trees, and Rule Induction Classification Techniques: An Application to Credit Risk (George T. Albanis).

6. Switching Regime Volatility: An Empirical Evaluation (Bruno B. Roche and Michael Rockinger).

7. Quantitative Equity Investment Management with Time-Varying Factor Sensitivities (Yves Bentz).

8. Stochastic Volatility Models: A Survey with Applications to Option Pricing and Value at Risk (Monica Billio and Domenico Sartore).

9. Portfolio Analysis Using Excel (Jason Laws).

10. Applied Volatility and Correlation Modelling Using Excel (Frédérick Bourgoin).

11. Optimal Allocation of Trend-Following Rules: An Application Case of Theoretical Results Pierre Lequeux).

12. Portfolio Management and Information from Over-the-Counter Currency Options (Jorge Barros Luís.

13. Filling Analysis for Missing Data: An Application to Weather Risk Management (Christian L. Dunis and Vassilios Karalis.).

Index.