The Resource Applied Quantitative Finance, edited by Wolfgang Karl Härdle, Cathy Yi-Hsuan Chen, Ludger Overbeck, (electronic resource)
Applied Quantitative Finance, edited by Wolfgang Karl Härdle, Cathy Yi-Hsuan Chen, Ludger Overbeck, (electronic resource)
Resource Information
The item Applied Quantitative Finance, edited by Wolfgang Karl Härdle, Cathy Yi-Hsuan Chen, Ludger Overbeck, (electronic resource) represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute Library.This item is available to borrow from 1 library branch.
Resource Information
The item Applied Quantitative Finance, edited by Wolfgang Karl Härdle, Cathy Yi-Hsuan Chen, Ludger Overbeck, (electronic resource) represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute Library.
This item is available to borrow from 1 library branch.
- Summary
- 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.c om, 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.--
- Language
- eng
- Edition
- 3rd ed. 2017.
- Extent
- 1 online resource (X, 372 pages)
- Contents
-
- Part I Market Risk: VaR in High-Dimensional Systems
- Multivariate Volatility Models
- Portfolio Selection with Spectral Risk Measures
- Implementation of Local Stochastic Volatility Model
- Part II Credit Risk: Estimating DTD via Sequential Monte Carlo.- Risk Measurement with Spectral Capital Allocation.- Market Based Credit Rating and its Applications.- Using Public Information to Predict Corporate Default Risk.- Stress Testing in Credit Portfolio Models.- Penalized Independent Factor.- Term Structure of Loss Cascades in Portfolio Securitisation.- Credit Rating Score Analysis
- Part III Dynamics Risk Measurement: Copulae in High Dimensions - An Introduction.- Measuring and Modeling Risk Using High-Frequency Data.- Measuring Financial Risk in Energy Markets.- Risk Analysis of Cryptocurrency as an Alternative Asset Class.- Time Varying Quantile Lasso.- Dynamic Topic Modelling for Cryptocurrency Community Forums
- Isbn
- 9783662544860
- Label
- Applied Quantitative Finance
- Title
- Applied Quantitative Finance
- Statement of responsibility
- edited by Wolfgang Karl Härdle, Cathy Yi-Hsuan Chen, Ludger Overbeck
- Language
- eng
- Summary
- 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.c om, 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.--
- Assigning source
- Provided by publisher
- Image bit depth
- 0
- Literary form
- non fiction
- Nature of contents
- dictionaries
- http://library.link/vocab/relatedWorkOrContributorName
-
- Härdle, Wolfgang Karl
- Chen, Cathy Yi-Hsuan
- Overbeck, Ludger
- Series statement
-
- Springer eBooks
- Statistics and Computing,
- http://library.link/vocab/subjectName
-
- Statistics
- Business enterprises
- Risk management
- Economics, Mathematical
- Label
- Applied Quantitative Finance, edited by Wolfgang Karl Härdle, Cathy Yi-Hsuan Chen, Ludger Overbeck, (electronic resource)
- Antecedent source
- mixed
- Carrier category
- online resource
- Carrier category code
-
- cr
- Carrier MARC source
- rdacarrier
- Color
- not applicable
- Content category
- text
- Content type code
-
- txt
- Content type MARC source
- rdacontent
- Contents
- Part I Market Risk: VaR in High-Dimensional Systems -- Multivariate Volatility Models -- Portfolio Selection with Spectral Risk Measures -- Implementation of Local Stochastic Volatility Model -- Part II Credit Risk: Estimating DTD via Sequential Monte Carlo.- Risk Measurement with Spectral Capital Allocation.- Market Based Credit Rating and its Applications.- Using Public Information to Predict Corporate Default Risk.- Stress Testing in Credit Portfolio Models.- Penalized Independent Factor.- Term Structure of Loss Cascades in Portfolio Securitisation.- Credit Rating Score Analysis -- Part III Dynamics Risk Measurement: Copulae in High Dimensions - An Introduction.- Measuring and Modeling Risk Using High-Frequency Data.- Measuring Financial Risk in Energy Markets.- Risk Analysis of Cryptocurrency as an Alternative Asset Class.- Time Varying Quantile Lasso.- Dynamic Topic Modelling for Cryptocurrency Community Forums
- Control code
- 978-3-662-54486-0
- Dimensions
- unknown
- Edition
- 3rd ed. 2017.
- Extent
- 1 online resource (X, 372 pages)
- File format
- multiple file formats
- Form of item
-
- online
- electronic
- Governing access note
- Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
- Isbn
- 9783662544860
- Level of compression
- uncompressed
- Media category
- computer
- Media MARC source
- rdamedia
- Media type code
-
- c
- Other control number
- 10.1007/978-3-662-54486-0
- Other physical details
- 111 illustrations, 75 illustrations in color.
- Quality assurance targets
- absent
- Reformatting quality
- access
- Specific material designation
- remote
- System control number
- (OCoLC)1000297947
- Label
- Applied Quantitative Finance, edited by Wolfgang Karl Härdle, Cathy Yi-Hsuan Chen, Ludger Overbeck, (electronic resource)
- Antecedent source
- mixed
- Carrier category
- online resource
- Carrier category code
-
- cr
- Carrier MARC source
- rdacarrier
- Color
- not applicable
- Content category
- text
- Content type code
-
- txt
- Content type MARC source
- rdacontent
- Contents
- Part I Market Risk: VaR in High-Dimensional Systems -- Multivariate Volatility Models -- Portfolio Selection with Spectral Risk Measures -- Implementation of Local Stochastic Volatility Model -- Part II Credit Risk: Estimating DTD via Sequential Monte Carlo.- Risk Measurement with Spectral Capital Allocation.- Market Based Credit Rating and its Applications.- Using Public Information to Predict Corporate Default Risk.- Stress Testing in Credit Portfolio Models.- Penalized Independent Factor.- Term Structure of Loss Cascades in Portfolio Securitisation.- Credit Rating Score Analysis -- Part III Dynamics Risk Measurement: Copulae in High Dimensions - An Introduction.- Measuring and Modeling Risk Using High-Frequency Data.- Measuring Financial Risk in Energy Markets.- Risk Analysis of Cryptocurrency as an Alternative Asset Class.- Time Varying Quantile Lasso.- Dynamic Topic Modelling for Cryptocurrency Community Forums
- Control code
- 978-3-662-54486-0
- Dimensions
- unknown
- Edition
- 3rd ed. 2017.
- Extent
- 1 online resource (X, 372 pages)
- File format
- multiple file formats
- Form of item
-
- online
- electronic
- Governing access note
- Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
- Isbn
- 9783662544860
- Level of compression
- uncompressed
- Media category
- computer
- Media MARC source
- rdamedia
- Media type code
-
- c
- Other control number
- 10.1007/978-3-662-54486-0
- Other physical details
- 111 illustrations, 75 illustrations in color.
- Quality assurance targets
- absent
- Reformatting quality
- access
- Specific material designation
- remote
- System control number
- (OCoLC)1000297947
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<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.library.eui.eu/portal/Applied-Quantitative-Finance-edited-by-Wolfgang/dwXaamEyxB4/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.eui.eu/portal/Applied-Quantitative-Finance-edited-by-Wolfgang/dwXaamEyxB4/">Applied Quantitative Finance, edited by Wolfgang Karl Härdle, Cathy Yi-Hsuan Chen, Ludger Overbeck, (electronic resource)</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.eui.eu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="https://link.library.eui.eu/">European University Institute Library</a></span></span></span></span></div>