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Applied Quantitative Finance

Theory and Computational Tools

  • Book
  • © 2002

Overview

Authors:
  1. Wolfgang Härdle

    1. Institut für Statistik und Ökonometrie, CASE-Center for Applied Statistics and Economics, Humboldt-Universität zu Berlin, Berlin, Germany

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  2. Torsten Kleinow

    1. Institut für Statistik und Ökonometrie, CASE-Center for Applied Statistics and Economics, Humboldt-Universität zu Berlin, Berlin, Germany

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  3. Gerhard Stahl

    1. Bundesanstalt für Finanzdienstleistungsaufsicht, Bonn, Germany

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  • State of the art report on the topic
  • Electronic editon of the book allows execution and modification of the examples given
  • Electronic edition can be downloaded for free via attached registration card
  • Includes supplementary material: sn.pub/extras

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Table of contents (18 chapters)

  1. Front Matter

    Pages N1-xxi
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  2. Value at Risk

    1. Front Matter

      Pages 1-1
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    2. Approximating Value at Risk in Conditional Gaussian Models

      • Stefan R. Jaschke, Yuze Jiang
      Pages 3-33

    3. Applications of Copulas for the Calculation of Value-at-Risk

      • Jörn Rank, Thomas Siegl
      Pages 35-50

    4. Quantification of Spread Risk by Means of Historical Simulation

      • Christoph Frisch, Germar Knöchlein
      Pages 51-83

  3. Credit Risk

    1. Front Matter

      Pages 85-85
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    2. Rating Migrations

      • Steffi Höse, Stefan Huschens, Robert Wania
      Pages 87-110

    3. Sensitivity analysis of credit portfolio models

      • Rüdiger Kiesel, Torsten Kleinow
      Pages 111-124

  4. Implied Volatility

    1. Front Matter

      Pages 125-125
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    2. The Analysis of Implied Volatilities

      • Matthias R. Fengler, Wolfgang Härdie, Peter Schmidt
      Pages 127-144

    3. How Precise Are Price Distributions Predicted by Implied Binomial Trees?

      • Wolfgang Härdle, Jun Zheng
      Pages 145-170

    4. Estimating State-Price Densities with Nonparametric Regression

      • Kim Huynh, Pierre Kervella, Jun Zheng
      Pages 171-196

    5. Trading on Deviations of Implied and Historical Densities

      • Oliver Jim Blaskowitz, Peter Schmidt
      Pages 197-218

  5. Econometrics

    1. Front Matter

      Pages 219-219
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    2. Multivariate Volatility Models

      • Matthias R. Fengler, Helmut Herwartz
      Pages 221-236

    3. Statistical Process Control

      • Sven Knoth
      Pages 237-258

    4. An Empirical Likelihood Goodness-of-Fit Test for Diffusions

      • Song Xi Chen, Wolfgang Härdle, Torsten Kleinow
      Pages 259-281

    5. A simple state space model of house prices

      • Rainer Schulz, Axel Werwatz
      Pages 283-307

    6. Long Memory Effects Trading Strategy

      • Oliver Jim Blaskowitz, Peter Schmidt
      Pages 309-322

    7. Locally time homogeneous time series modeling

      • Danilo Mercurio
      Pages 323-347
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Keywords

About this book

Applied Quantitative Finance presents solutions, theoretical developments and method proliferation for many practical problems in quantitative finance. The combination of practice and theory supported by computational tools is reflected in the selection of topics as well as in a finely tuned balance of scientific contributions on the practical implementation and theoretical concepts. This concept offers theoreticians insight into the applicability of the methodology and, vice versa, practitioners access to new methods for their applications.
The e-book design of the text links theory and computational tools in an innovative way. All "quantlets" for the calculation of given examples in the text are executable on an XploRe Quantlet Server (XQS) and can be modified by the reader via the internet. The electronic edition can be downloaded from the web site www.i-xplore.de using the licence and registration number at the back cover.

Reviews

From the reviews:

"The book under review … is designed for researchers who wish to develop professional skill in modern quantitative applications in finance. … This electronic book will be welcomed by all who are interested in computational mathematical finance and students may derive much practical training working with the data sets and the XploRe programs. This book can be recommended to undergraduate libraries in statistics, econometrics and finance." (Ravi Sreenivasan, Journal of the Royal Statistical Society Series A: Statistics in Society, Vol. 157 (1), 2004)

Authors and Affiliations

  • Institut für Statistik und Ökonometrie, CASE-Center for Applied Statistics and Economics, Humboldt-Universität zu Berlin, Berlin, Germany

    Wolfgang Härdle, Torsten Kleinow

  • Bundesanstalt für Finanzdienstleistungsaufsicht, Bonn, Germany

    Gerhard Stahl

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