tailieunhanh - Applied Quantitative Finance

This book is designed for students and researchers who want to develop professional skill in modern quantitative applications in nance. The Center for Applied Statistics and Economics (CASE) course at Humboldt-Universit at zu Berlin that forms the basis for this book is o ered to interested students who have had some experience with probability, statistics and software applications but have not had advanced courses in mathematical nance. Although the course assumes only a modest background it moves quickly between di erent elds of applications and in the end, the reader can expect to have theoretical and computational tools that are deep enough and rich enough to be relied on throughout future professional. | Applied Quantitative Finance Wolfgang Hardie Torsten Kleinow Gerhard Stahl In cooperation with Gokhan Aydinli Oliver Jim Blaskowitz Song Xi Chen Matthias Fengler Jurgen Franke Christoph Frisch Helmut Herwartz Harriet Holzberger Steffi Hose Stefan Huschens Kim Huynh Stefan R. Jaschke Yuze Jiang Pierre Kervella Rudiger Kiesel Germar Knochlein Sven Knoth Jens Lussem Danilo Mercurio Marlene Muller Jorn Rank Peter Schmidt Rainer Schulz Jourgen Schumacher Thomas Siegl Robert Wania Axel Werwatz Jun Zheng June 20 2002 Contents Preface xv Contributors xix Frequently Used Notation xxi I Value at Risk 1 1 Approximating Value at Risk in Conditional Gaussian Models 3 Stefan R. Jaschke and Yuze Jiang Introduction. 3 The Practical Need. 3 Statistical Modeling for VaR . 4 VaR Approximations. 6 Pros and Cons of Delta-Gamma Approximations . 7 General Properties of Delta-Gamma-Normal Models. 8 Cornish-Fisher Approximations . 12 Derivation . 12 Properties. 15 Fourier Inversion . .

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