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Books > Business & Economics > Economics > Econometrics
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Applied Quantitative Finance (Hardcover, 3rd ed. 2017)
Loot Price: R2,992
Discovery Miles 29 920
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Applied Quantitative Finance (Hardcover, 3rd ed. 2017)
Series: Statistics and Computing
Expected to ship within 12 - 17 working days
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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.com, 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.
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