Wolfgang Hardle, etc – Applied Quantitative Finance
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Wolfgang Hardle, etc – Applied Quantitative Finance
Recent years have witnessed a rising significance of quantitative strategies in each monetary analysis and trade. This growth requires using superior methods on a theoretical and utilized stage, particularly in relation to the quantification of danger and the valuation of recent monetary merchandise.
Applied Quantitative Finance (2nd version) gives a complete and state-of-the-art remedy of cutting-edge subjects and strategies. It gives options to and presents theoretical developments in lots of sensible issues corresponding to danger administration, pricing of credit score derivatives, quantification of volatility and copula modelling. The synthesis of concept and observe supported by computational instruments is mirrored within the number of subjects in addition to in a finely tuned stability of scientific contributions on sensible implementation and theoretical ideas. This linkage between concept and observe presents theoreticians insights into concerns of applicability and, vice versa, gives practitioners snug entry to new methods in quantitative finance.
Themes which might be dominant in present analysis and that are offered on this guide embody 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 net pages.
