Carol Alexander

Market Risk Analysis, Volume I, Quantitative Methods in Finance (eBook, PDF)

• Format: PDF

Produktbeschreibung

Written by leading market risk academic, Professor Carol Alexander,Quantitative Methods in Finance forms part one of theMarket Risk Analysis four volume set. Starting from thebasics, this book helps readers to take the first step towardsbecoming a properly qualified financial risk manager and assetmanager, roles that are currently in huge demand. Accessible tointelligent readers with a moderate understanding of mathematics athigh school level or to anyone with a university degree inmathematics, physics or engineering, no prior knowledge of financeis necessary. Instead the emphasis is on understanding ideas ratherthan on mathematical rigour, meaning that this book offers afast-track introduction to financial analysis for readers with somequantitative background, highlighting those areas of mathematicsthat are particularly relevant to solving problems in financialrisk management and asset management. Unique to this book is afocus on both continuous and discrete time finance so thatQuantitative Methods in Finance is not only about the applicationof mathematics to finance; it also explains, in very pedagogicalterms, how the continuous time and discrete time financedisciplines meet, providing a comprehensive, highly accessibleguide which will provide readers with the tools to start applyingtheir knowledge immediately. All together, the Market Risk Analysis four volume setillustrates virtually every concept or formula with a practical,numerical example or a longer, empirical case study. Across allfour volumes there are approximately 300 numerical and empiricalexamples, 400 graphs and figures and 30 case studies many of whichare contained in interactive Excel spreadsheets available from theaccompanying CD-ROM . Empirical examples and case studies specificto this volume include: Principal component analysis of European equity indices; * Calibration of Student t distribution by maximumlikelihood; * Orthogonal regression and estimation of equity factormodels; * Simulations of geometric Brownian motion, and of correlatedStudent t variables; * Pricing European and American options with binomial trees, andEuropean options with the Black-Scholes-Merton formula; * Cubic spline fitting of yields curves and impliedvolatilities; * Solution of Markowitz problem with no short sales and otherconstraints; * Calculation of risk adjusted performance metrics includinggeneralised Sharpe ratio, omega and kappa indices.

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Produktdetails

• Verlag: John Wiley & Sons
• Seitenzahl: 318
• Erscheinungstermin: 02.08.2008
• Englisch
• ISBN-13: 9780470771020
• Artikelnr.: 37299658

Autorenporträt

Carol Alexander is a Professor of Risk Management at the ICMA Centre, University of Reading, and Chair of the Academic Advisory Council of the Professional Risk Manager's International Association (PRMIA). She is the author of Market Models: A Guide to Financial Data Analysis(John Wiley & Sons Ltd, 2001) and has been editor and contributor of a very large number of books in finance and mathematics, including the multi-volume Professional Risk Manager's Handbook(McGraw-Hill, 2008 and PRMIA Publications). Carol has published nearly 100 academic journal articles, book chapters and books, the majority of which focus on financial risk management and mathematical finance. Professor Alexander is one of the world's leading authorities on market risk analysis. For further details, see www.icmacentre.rdg.ac.uk/alexander

Inhaltsangabe

List of Figures

List of Tables

List of Examples

Foreword

Preface to Volume 1

I.1 Basic Calculus for Finance

I.2 Essential Linear Algebra for Finance

I.3 Probability and Statistics

I.4 Introduction to Linear Regression

I.5 Numerical Methods in Finance

I.6 Introduction to Portfolio Theory

References

Statistical Tables

Index

Rezensionen

'...one of those rare gems...breaking down the barriers and demystifying finance.' (Market-Melange.com, January 2011)