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Applied quantitative finance [electronic resource] / 3rd ed

Applied quantitative finance [electronic resource] / 3rd ed

자료유형
E-Book(소장)
개인저자
Härdle, Wolfgang Karl. Chen, Cathy Yi-Hsuan. Overbeck, Ludger.
서명 / 저자사항
Applied quantitative finance [electronic resource] / Wolfgang Karl Härdle, Cathy Yi-Hsuan Chen, Ludger Overbeck, editors.
판사항
3rd ed.
발행사항
Berlin :   Springer,   c2017.  
형태사항
1 online resource (x, 372 p.) : ill.
총서사항
Statistics and Computing,1431-8784, 2197-1706 (electronic)
ISBN
9783662544853 9783662544860 (e-book)
요약
This volume provides practical solutions and introduces recent theoretical developments in risk management, pricing of credit derivatives, quantification of volatility and copula modeling. This third edition is devoted to modern risk analysis based on quantitative methods and textual analytics to meet the current challenges in banking and finance. It includes 14 new contributions and presents a comprehensive, state-of-the-art treatment of cutting-edge methods and topics, such as collateralized debt obligations, the high-frequency analysis of market liquidity, and realized volatility. The book is divided into three parts: Part 1 revisits important market risk issues, while Part 2 introduces novel concepts in credit risk and its management along with updated quantitative methods. The third part discusses the dynamics of risk management and includes risk analysis of energy markets and for cryptocurrencies. Digital assets, such as blockchain-based currencies, have become popular b ut are theoretically challenging when based on conventional methods. Among others, it introduces a modern text-mining method called dynamic topic modeling in detail and applies it to the message board of Bitcoins.  The unique synthesis of theory and practice supported by computational tools is reflected not only in the selection of topics, but also in the fine balance of scientific contributions on practical implementation and theoretical concepts. This link between theory and practice offers theoreticians insights into considerations of applicability and, vice versa, provides practitioners convenient access to new techniques in quantitative finance. Hence the book will appeal both to researchers, including master and PhD students, and practitioners, such as financial engineers. The results presented in the book are fully reproducible and all quantlets needed for calculations are provided on an accompanying website. The Quantlet platform quantlet.de, quantlet.c om, quantlet.org is an integrated QuantNet environment consisting of different types of statistics-related documents and program codes. Its goal is to promote reproducibility and offer a platform for sharing validated knowledge native to the social web.  QuantNet and the corresponding Data-Driven Documents-based visualization allows readers to reproduce the tables, pictures and calculations inside this Springer book.
일반주기
Title from e-Book title page.  
내용주기
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.
서지주기
Includes bibliographical references.
이용가능한 다른형태자료
Issued also as a book.  
일반주제명
Finance --Mathematical models. Risk --Mathematical models.
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020 ▼a 9783662544853
020 ▼a 9783662544860 (e-book)
040 ▼a 211009 ▼c 211009 ▼d 211009
050 4 ▼a QA276-280
082 0 4 ▼a 332.01/51 ▼2 23
084 ▼a 332.0151 ▼2 DDCK
090 ▼a 332.0151
245 0 0 ▼a Applied quantitative finance ▼h [electronic resource] / ▼c Wolfgang Karl Härdle, Cathy Yi-Hsuan Chen, Ludger Overbeck, editors.
250 ▼a 3rd ed.
260 ▼a Berlin : ▼b Springer, ▼c c2017.
300 ▼a 1 online resource (x, 372 p.) : ▼b ill.
490 1 ▼a Statistics and Computing, ▼x 1431-8784, ▼x 2197-1706 (electronic)
500 ▼a Title from e-Book title page.
504 ▼a Includes bibliographical references.
505 0 ▼a 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.
520 ▼a This volume provides practical solutions and introduces recent theoretical developments in risk management, pricing of credit derivatives, quantification of volatility and copula modeling. This third edition is devoted to modern risk analysis based on quantitative methods and textual analytics to meet the current challenges in banking and finance. It includes 14 new contributions and presents a comprehensive, state-of-the-art treatment of cutting-edge methods and topics, such as collateralized debt obligations, the high-frequency analysis of market liquidity, and realized volatility. The book is divided into three parts: Part 1 revisits important market risk issues, while Part 2 introduces novel concepts in credit risk and its management along with updated quantitative methods. The third part discusses the dynamics of risk management and includes risk analysis of energy markets and for cryptocurrencies. Digital assets, such as blockchain-based currencies, have become popular b ut are theoretically challenging when based on conventional methods. Among others, it introduces a modern text-mining method called dynamic topic modeling in detail and applies it to the message board of Bitcoins.  The unique synthesis of theory and practice supported by computational tools is reflected not only in the selection of topics, but also in the fine balance of scientific contributions on practical implementation and theoretical concepts. This link between theory and practice offers theoreticians insights into considerations of applicability and, vice versa, provides practitioners convenient access to new techniques in quantitative finance. Hence the book will appeal both to researchers, including master and PhD students, and practitioners, such as financial engineers. The results presented in the book are fully reproducible and all quantlets needed for calculations are provided on an accompanying website. The Quantlet platform quantlet.de, quantlet.c om, quantlet.org is an integrated QuantNet environment consisting of different types of statistics-related documents and program codes. Its goal is to promote reproducibility and offer a platform for sharing validated knowledge native to the social web.  QuantNet and the corresponding Data-Driven Documents-based visualization allows readers to reproduce the tables, pictures and calculations inside this Springer book.
530 ▼a Issued also as a book.
538 ▼a Mode of access: World Wide Web.
650 0 ▼a Finance ▼x Mathematical models.
650 0 ▼a Risk ▼x Mathematical models.
700 1 ▼a Härdle, Wolfgang Karl.
700 1 ▼a Chen, Cathy Yi-Hsuan.
700 1 ▼a Overbeck, Ludger.
830 0 ▼a Statistics and Computing.
856 4 0 ▼u https://oca.korea.ac.kr/link.n2s?url=https://doi.org/10.1007/978-3-662-54486-0
945 ▼a KLPA
991 ▼a E-Book(소장)

소장정보

No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
No. 1 소장처 중앙도서관/e-Book 컬렉션/ 청구기호 CR 332.0151 등록번호 E14016655 도서상태 대출불가(열람가능) 반납예정일 예약 서비스 M

컨텐츠정보

목차

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.


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