9780471899754
Market Models: A Guide to Financial Data Analysis
Carol Alexander
ISBN 13: 9780471899754
Publisher: John Wiley & Sons Inc
Publication Date: 2001
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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.
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Market Models: A Guide to Financial Data Analysis (ISBN: 0471899755 / 0-471-89975-5) Alexander, Carol Quantity Available: 10
Book Description: Wiley. Hardcover. Book Condition: New. 0471899755 BRAND NEW BOOK IN PLASTIC RAP.THIS IS AN INTERNATIONAL EDITION SOFTCOVER/PAPERBACKBOOK WITH DIFFERENT ISBN AND PAGE COVER.MAY HAVE THE WORDING LOW PRICE OR EASTERN ECONOMY EDITION.WE USE BEST AND FAST METHODS OF SHIPPING LIKE USPS PRIORITY,MEDIA MAIL,DHL PRIORITY AND ALL OTER REPUTES COURIERS. *********TRACKING NUMBER ARE SENT TO OUR EMAIL ADDRESS FOR THE TRACKING MEANS.SO ALL BOOKS AT YOUR DOOR STEP WITH A 100% CUSTOMER SATISFACTION. Bookseller Inventory # 9780471899754 Bookseller & Payment Information | More Books from this Seller | Ask Bookseller a Question |
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Market Models: A Guide to Financial Data Analysis (ISBN: 0471899755 / 0-471-89975-5) Alexander, Carol Quantity Available: 10
Book Description: Wiley. Hardcover. Book Condition: New. 0471899755 This is a Brand New Soft cover International Edition book comes in publisher original packing. Shipping will be done from multiple locations India/Singapore/USA depending on the stock avalabile via DHL/UPS/USPS, delivery time 6-10 business days via media mail,5-8 business days via priority mail. Tracking number provided via email. In some instances, the book may contains different cover design, different ISBN, and be printed in black & white scale but contents are the same as US edition. Please note that all books are in English Language. Kindly provide phone number in order to ensure smooth delivery. If you have any queries regards to purchase please e-mail us. Pure & sure Customer satisfaction guaranteed. Bookseller Inventory # CMO-TYS-IS-STDKT-OP11376 Bookseller & Payment Information | More Books from this Seller | Ask Bookseller a Question |
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Market Models: A Guide to Financial Data Analysis (ISBN: 0471899755 / 0-471-89975-5) Alexander, Carol Quantity Available: 10
Book Description: Wiley. Hardcover. Book Condition: New. 0471899755 This is a Brand New Soft cover International Edition book comes in publisher original packing. Shipping will be done from multiple locations India/Singapore/USA depending on the stock avalabile via DHL/UPS/USPS, delivery time 6-10 business days via media mail,5-8 business days via priority mail. Tracking number provided via email. In some instances, the book may contains different cover design, different ISBN, and be printed in black & white scale but contents are the same as US edition. Please note that all books are in English Language. Kindly provide phone number in order to ensure smooth delivery. If you have any queries regards to purchase please e-mail us. Pure & sure Customer satisfaction guaranteed. Bookseller Inventory # CMO-TYS-IS-STDKT-OP10146 Bookseller & Payment Information | More Books from this Seller | Ask Bookseller a Question |
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Book Description: Wiley. Hardcover. Book Condition: New. 0471899755 This is a Brand New Soft cover International Edition book comes in publisher original packing. Shipping will be done from multiple locations India/Singapore/USA depending on the stock avalabile via DHL/UPS/USPS, delivery time 6-10 business days via media mail,5-8 business days via priority mail. Tracking number provided via email. In some instances, the book may contains different cover design, different ISBN, and be printed in black & white scale but contents are the same as US edition. Please note that all books are in English Language. Kindly provide phone number in order to ensure smooth delivery. If you have any queries regards to purchase please e-mail us. Pure & sure Customer satisfaction guaranteed. Bookseller Inventory # CMO-TYS-IS-STDKT-OP3249 Bookseller & Payment Information | More Books from this Seller | Ask Bookseller a Question |
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