Market models: (Record no. 144940)

MARC details
000 -LEADER
fixed length control field 05400nam a2200193Ia 4500
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
ISBN 9788126523702
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
ISBN 9780471899754
082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER
Classification number 658.4033
Item number ALE
100 ## - MAIN ENTRY--AUTHOR NAME
Personal name Alexander, Carol
245 ## - TITLE STATEMENT
Title Market models:
Sub Title A guide to financial data analysis /
Statement of responsibility, etc Carol Alexander
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT)
Place of publication New Delhi :
Name of publisher Wiley India Pvt Ltd ,
Year of publication 2001.
300 ## - PHYSICAL DESCRIPTION
Number of Pages xviii, 494 p.
505 ## - FORMATTED CONTENTS NOTE
Formatted contents note Product description<br/>From the Inside Flap<br/>In part 1, Carol Alexander brings many new insights to the pricing and hedging of options with her understanding of volatility and correlation, and the uncertainty which surrounds these key determinants of option portfolio risk. Modelling the market risk of portfolios is covered in part 2 where the main focus is on a linear algebraic approach; the covariance matrix and principal component analysis are developed as key tools for the analysis of financial systems. The traditional time series econometric approach is explained in part 3, with coverage ranging from the application cointegration to long-short equity hedge funds, to high-frequency data prediction using neural networks and nearest neighbour algorithms .<br/><br/>Throughout this text the emphasis is on understanding concepts and implementing solutions. It has been designed to be accessible to a very wide audience: the coverage is comprehensive and complete and the technical appendix makes the book largely self-contained.<br/>From the Back Cover<br/>Market Models provides an authoritative and up-to-date treatment of the use of market data to develop models for financial analysis. Written by a leading figure in the field of financial data analysis, this book is the first of its kind to address the vital techniques required for model selection and development. Model developers are faced with many decisions, about the pricing, the data, the statistical methodology and the calibration and testing of the model prior to implementation. It is important to make the right choices and Carol Alexander's clear exposition provides valuable insights at every stage.<br/><br/>In each of the 13 Chapters, Market Models presents real world illustrations to motivate theoretical developments. The accompanying CD contains spreadsheets with data and programs; this enables the reader to implement and adapt many of the examples. The pricing of options using normal mixture density functions to model returns; the use of Monte Carlo simulation to calculate the VaR of an options portfolio; modifying the covariance VaR to allow for fat-tailed P&L distributions; the calculation of implied, EWMA and 'historic' volatilities; GARCH volatility term structure forecasting; principal components analysis; and many more are all included.<br/><br/>Market Models: A Guide to Financial Data Analysis is the ideal reference for all those involved in market risk measurement, quantitative trading and investment analysis.
520 ## - SUMMARY, ETC.
Summary, etc Market Models provides an authoritative and up-to-date treatment of the use of market data to develop models for financial analysis. Written by a leading figure in the field of financial data analysis, this book is the first of its kind to address the vital techniques required for model selection and development. Model developers are faced with many decisions, about the pricing, the data, the statistical methodology and the calibration and testing of the model prior to implementation. It is important to make the right choices and Carol Alexander's clear exposition provides valuable insights at every stage. In each of the 13 Chapters, Market Models presents real world illustrations to motivate theoretical developments. The accompanying CD contains spreadsheets with data and programs; this enables you to implement and adapt many of the examples. The pricing of options using normal mixture density functions to model returns; the use of Monte Carlo simulation to calculate the VaR of an options portfolio; modifying the covariance VaR to allow for fat-tailed P&L distributions; the calculation of implied, EWMA and 'historic' volatilities; GARCH volatility term structure forecasting; principal components analysis; and many more are all included. Carol Alexander brings many new insights to the pricing and hedging of options with her understanding of volatility and correlation, and the uncertainty which surrounds these key determinants of option portfolio risk. Modelling the market risk of portfolios is covered where the main focus is on a linear algebraic approach; the covariance matrix and principal component analysis are developed as key tools for the analysis of financial systems. The traditional time series econometric approach is also explained with coverage ranging from the application cointegration to long-short equity hedge funds, to high-frequency data prediction using neural networks and nearest neighbour algorithms. Throughout this text the emphasis is on understanding concepts and implementing solutions. It has been designed to be accessible to a very wide audience: the coverage is comprehensive and complete and the technical appendix makes the book largely self-contained. Market Models: A Guide to Financial Data Analysis is the ideal reference for all those involved in market risk measurement, quantitative trading and investment analysis.
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical Term Economic Theory
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical Term Healthy Living & Wellness
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical Term Theory & Philosophy
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        Dept. of Futures Studies Dept. of Futures Studies 23/05/2023   658.4033 ALE DFSKM33   23/05/2023 General Knowledge Management Processing Center 473.21
        Kerala University Library Kerala University Library 25/03/2013 D C Books X65:8:(B28) P1 282639 599.00 12/08/2017 General