Applied Quantitative Finance (Record no. 427394)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 05773nam a22005895i 4500 |
| 020 ## - INTERNATIONAL STANDARD BOOKNUMBER | |
| International Standard Book Number | 9783662544860 |
| -- | 978-3-662-54486-0 |
| 024 7# - | |
| -- | 10.1007/978-3-662-54486-0 |
| -- | doi |
| 040 ## - | |
| -- | ISI Library, Kolkata |
| 050 #4 - | |
| -- | QA276-280 |
| 072 #7 - | |
| -- | PBT |
| -- | bicssc |
| 072 #7 - | |
| -- | BUS061000 |
| -- | bisacsh |
| 072 #7 - | |
| -- | PBT |
| -- | thema |
| 072 #7 - | |
| -- | K |
| -- | thema |
| 082 04 - DEWEYDECIMAL CLASSIFICATION NUMBER | |
| Classification number | 330.015195 |
| Edition number | 23 |
| 245 10 - TITLE STATEMENT | |
| Title | Applied Quantitative Finance |
| Medium | [electronic resource] / |
| Statement of responsibility, etc | edited by Wolfgang Karl Härdle, Cathy Yi-Hsuan Chen, Ludger Overbeck. |
| 250 ## - EDITIONSTATEMENT | |
| Edition statement | 3rd ed. 2017. |
| 942 ## - ADDED ENTRY ELEMENTS(KOHA) | |
| Koha item type | E-BOOKS |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE STATEMENTS | |
| Place of production, publication, distribution, manufacture | Berlin, Heidelberg : |
| Name of producer, publisher, distributor, manufacturer | Springer Berlin Heidelberg : |
| -- | Imprint: Springer, |
| Date of production, publication, distribution, manufacture | 2017. |
| 300 ## - | |
| -- | X, 372 p. 111 illus., 75 illus. in color. |
| -- | online resource. |
| 336 ## - CONTENT TYPE | |
| Content Type Term | text |
| Content Type Code | txt |
| Source | rdacontent |
| 337 ## - MEDIA TYPE | |
| Media Type Term | computer |
| Media Type Code | c |
| Source | rdamedia |
| 338 ## - CARRIER TYPE | |
| Carrier Type Term | online resource |
| Carrier Type Code | cr |
| Source | rdacarrier |
| 347 ## - | |
| -- | text file |
| -- | |
| -- | rda |
| 490 1# - | |
| -- | Statistics and Computing, |
| -- | 1431-8784 |
| 505 0# - | |
| -- | 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. |
| 520 ## - | |
| -- | 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. |
| 650 #0 - | |
| -- | Statistics. |
| 650 #0 - | |
| -- | Finance. |
| 650 #0 - | |
| -- | Risk management. |
| 650 #0 - | |
| -- | Business enterprises-Finance. |
| 650 14 - | |
| -- | Statistics for Business/Economics/Mathematical Finance/Insurance. |
| -- | http://scigraph.springernature.com/things/product-market-codes/S17010 |
| 650 24 - | |
| -- | Quantitative Finance. |
| -- | http://scigraph.springernature.com/things/product-market-codes/M13062 |
| 650 24 - | |
| -- | Risk Management. |
| -- | http://scigraph.springernature.com/things/product-market-codes/612040 |
| 650 24 - | |
| -- | Business Finance. |
| -- | http://scigraph.springernature.com/things/product-market-codes/512000 |
| 700 1# - | |
| -- | Härdle, Wolfgang Karl. |
| -- | editor. |
| -- | edt |
| -- | http://id.loc.gov/vocabulary/relators/edt |
| 700 1# - | |
| -- | Chen, Cathy Yi-Hsuan. |
| -- | editor. |
| -- | edt |
| -- | http://id.loc.gov/vocabulary/relators/edt |
| 700 1# - | |
| -- | Overbeck, Ludger. |
| -- | editor. |
| -- | edt |
| -- | http://id.loc.gov/vocabulary/relators/edt |
| 710 2# - | |
| -- | SpringerLink (Online service) |
| 773 0# - | |
| -- | Springer eBooks |
| 776 08 - | |
| -- | Printed edition: |
| -- | 9783662544853 |
| 776 08 - | |
| -- | Printed edition: |
| -- | 9783662544877 |
| 776 08 - | |
| -- | Printed edition: |
| -- | 9783662571996 |
| 830 #0 - | |
| -- | Statistics and Computing, |
| -- | 1431-8784 |
| 856 40 - | |
| -- | https://doi.org/10.1007/978-3-662-54486-0 |
| 912 ## - | |
| -- | ZDB-2-SMA |
| 950 ## - | |
| -- | Mathematics and Statistics (Springer-11649) |
No items available.
