Applied Quantitative Methods for Trading and Investment
- Buch
- Release date: 15.9.2003
- Availability: deliverable within 1-2 weeks
(if available from supplier)
Detailed Information
Caution: Product is not in German language
Content
From the contents:
Preface
1 Applications of Advanced Regression Analysis for Trading and Investment
2Using Cointegration to Hedge and Trade International Equities
3 Modelling the Term Structure of Interest Rates: An Application of Gaussian Affine Models to the German Yield Curve
4 Forecasting and Trading Currency Volatility: An Application of Recurrent Neural Regression and Model Combination
5 Implementing Neural Networks, Classification Trees, and Rule Induction Classification Techniques: An Application to Credit Risk
6 Switching Regime Volatility: An Empirical Evaluation
7 Quantitative Equity Investment Management with Time-Varying Factor Sensitivities
8 Stochastic Volatility Models: A Survey with Applications to Option Pricing and Value at Risk
9 Portfolio Analysis Using Excel
10 Applied Volatility and Correlation Modelling Using Excel
11 Optimal Allocation of Trend-Following Rules: An Application Case of Theoretical Results
12 Portfolio Management and Information from Over-the-Counter Currency Options
13 Filling Analysis for Missing Data: An Application to Weather Risk Management
Index
Blurb
This book provides a manual on quantitative financial analysis. Focusing on advanced methods for modelling financial markets in the context of practical financial applications, it will cover data, software and techniques that will enable the reader to implement and interpret quantitative methodologies, specifically for trading and investment. Includes CD-ROM with samples of different software used in the various models. * Includes contributions from an international team of academics and quantitative asset managers from Morgan Stanley, Barclays Global Investors, ABN AMRO and Credit Suisse First Boston. * Fills the gap for a book on applied quantitative investment & trading models * Provides details of how to combine various models to manage and trade a portfolio
Miscellaneous
Lieferung vom Verlag mit leichten Qualitätsmängeln möglich
Biografie (Christian Dunis):
CHRISTIAN L. DUNIS is Girobank Professor of Banking and Finance at Liverpool Business School, and Director of its Centre for International Banking, Economics and Finance (CIBEF). He is also a consultant to asset management firms, a Visiting Professor of International Finance at Venice International University and an Official Reviewer attached to the European Commission for the evaluation of applications to finance of emerging software technologies. He is an Editor of the European Journal of Finance, and has widely published in the field of financial markets analysis and forecasting. He has organised the Forecasting Financial Markets Conference since 1994.
Biografie (Jason Laws):
Jason Laws is a Lecturer in International Banking and Finance at Liverpool John Moores University. He is also the Course Director for the M.Sc. in International Banking, Economics and Finance at Liverpool Business School. He has taught extensively in the area of investment theory and derivative securities at all levels, both in the UK and in Asia. Jason is also an active member of CIBEF, and has published in a number of academic journals. His research interests are focussed on volatility modelling and the implementation of trading strategies.
