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Market Models: A Guide To Financial Data Analysis: Financial Engineering

Market Models: A Guide To Financial Data Analysis: Financial Engineering

          
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About the Book

Models play a crucial role in today's financial markets and an understanding and appreciation of how to model financial data is key to any finance practitioner's skill set. Model developers are faced with many decisions, about the data, methodology, model specification and testing, prior to the final model implementation. This is costly and how many media reports in recent years have highlighted the mismanagement of such resources! It is crucial to make the right choices at every stage of model development. But this is as much an 'art' as a 'science'. The talented interpretation of results is just as critical for success as the mathematical foundation.
This new book is the first of its kind. As well as providing numerous real world examples to illustrate concepts in an accessible manner, the accompanying CD will allow the reader to implement the examples themselves and adapt them for their own purposes. Professor Carol Alexander, Chair of Risk Management at the ISMA Centre and one of the best known names in financial data analysis, provides an authoritative and up-to-date treatment of model development. She brings many new insights to the practicalities of volatility and correlation analysis, modelling the market risk of portfolios and statistical models. New models that are based on cointegration, principal component analysis, normal mixture densities, GARCH and many other areas are elegantly and rigorously explained, with an emphasis on concepts that makes this text accessible to a very wide audience. The book is also designed to be self contained, with many technical appendices.
Market Models is the ideal reference for all those involved in model selection and development

About the Author

Carol Alexander is Professor of Risk Management at the ISMA Centre, the Business School of Reading University. Prior to this post, she has held positions in both academia and financial institutions at: Gemente Universiteit in Amsterdam; UBS Phillips and Drew; The University of Sussex; Algorithmics Inc. and Nikko Global Holdings.Professor Alexander has edited many books, most recently 'Risk Management and Analysis: Measuring and Modelling Financial Risk' and 'New Markets and Products' (John Wiley,1998) 'Visions of Risk (FT-Prentice Hall, 2000) and Mastering Risk Volume 2 (FT-Prentice Hall, 2001). For over a decade Professor Alexander has been consulting in risk management and investment analysis, developing solutions for private and commercial clients. She is also a principal of Pennoyer Capital Management, New York. She has published a large number of papers in international academic and professional journals and further details are available



Table of Contents:
Preface. Acknowledgments. PART I: VOLATILITY AND CORRELATION ANALYSIS. · Understanding Volatility and Correlation. · Implied Volatility and Correlation. · Moving Average Models. · GARCH Models. · Forecasting Volatility and Correlation. PART II: MODELLING THE MARKET RISK OF PORTFOLIOS. · Principal Component Analysis. · Covariance Matrices. · Risk Measurement in Factor Models. · Value-At-Risk. · Modelling Non-Normal Returns. PART III: STATISTICAL MODELS FOR FINANCIAL MARKETS. · Time Series Models. · Cointegration. · Forecasting High-Frequency Data. · Technical Appendices. A1 Linear Regression. A2 Statistical Inference. A3 Residual Analysis. A4 Data Problems. A5 Prediction. A6 Maximum Likelihood Methods. References. Tables. Index.


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Product Details
  • ISBN-13: 9788126523702
  • Publisher: Wiley India Pvt Ltd
  • Binding: Paperback
  • No of Pages: 516
  • ISBN-10: 8126523700
  • Publisher Date: 2009
  • Language: English
  • Sub Title: Financial Engineering

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