Tools

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001 ocn233788985;

003 OCoLC;

005 20141212012440.0;

008 080703s2008 gw a b 001 0 eng c;

010 a| 2008933220;

015 a| GBA8865062| bnb;

016 7 a| 0146631172| Uk;

020 a| 9783540691778;

020 a| 3540691774;

020 z| 9783540691792 (e-ISBN);

020 z| 3540691790 (e-ISBN);

029 1 a| AU@b| 000043783649;

035 a| (Sirsi) o233788985;

035 a| (OCoLC)233788985;

042 a| pcc;

049 a| EREE;

050 4 a| HG106b| .A668 2008;

082 04 a| 332.01512| 22;

245 00 a| Applied quantitative finance.;

250 a| 2nd ed. /b| Wolfgang K. Hardle, Nikolaus Hautsch, Ludger Overbeck, editors.;

260 a| Berlin ;a| London :b| Springer,c| 2008.;

300 a| xxvi, 447 pages :b| illustrations ;c| 24 cm;

336 a| text2| rdacontent;

337 a| unmediated2| rdamedia;

338 a| volume2| rdacarrier;

500 a| "All Quantlets for the calculation of the given examples are downloadable from the Springer web pages"--P. [4] of cover.;

500 a| Previous ed. published as: Applied quantitative finance : theory and computational tools / W. Härdle, T. Kleinow, G. Stahl. c2002.;

504 a| Includes bibliographical references and index.;

505 0 a| Modeling dependencies with copulae / Wolfgang Härdle, Ostap Okhrin and Yarema Okhrin -- Quantification of spread risk by means of historical simulation / Christoph Frisch and Germar Knöchlein -- A copula-based model of the term structure of CDO tranches / Umberto Cherubini, Sabrina Mulinacci and Silvia Romagnoli -- VaR in high dimensional systems : a conditional correlation approach / Helmut Herwartz and Bruno Pedrinha -- Rating migrations / Steffi Höse, Stefan Huschens and Robert Wania -- Cross- and autocorrelation in multi-period credit portfolio models / Christoph K.J. Wagner -- Risk measurement and spectral capital allocation / Ludger Overbeck and Maria Sokolova -- Valuation and VaR computation for CDOs using Stein's method / Nicole El Karoui, Ying Jiao, David Kurtz -- Least squares kernel smoothing of the implied volatility smile / Matthias R. Fengler and Qihua Wang -- Numerics of implied binomial trees / Wolfgang Härdle and Alena Myšičková -- Application of extended Kalman filter to SPD estimation / Zdeněk Hlávka and Marek Svojik -- Stochastic volatility estimation using Markov chain simulation / Nikolaus Hautsch and Yangguoyi Ou -- Measuring and modeling risk using high-frequency data / Wolfgang Härdle, Nikolaus Hautsch and Uta Pigorsch -- Valuation of multidimensional Bermudan options / Shih-Feng Huang and Meihui Guo -- Multivariate volatility models / Matthias R. Fengler and Helmut Herwartz -- The accuracy of long-term real estate valuations / Rainer Schulz ... [et al.] -- Locally time homogeneous time series modelling / Mstislav Elagin and Vladimir Spokoiny -- Simulation based option pricing / Denis Belomestny and Grigori N. Milstein -- High-frequency volatility and liquidity/ Nikolaus Hautsch and Vahidin Jeleskovic -- Statistical process control in asset management / Vasyl Golosnoy and Wolfgang Schmid -- Canonical dynamics mechanism of monetary policy and interest rate / Jenher Jeng ... [et al.].;

650 0 a| Financex| Mathematical models.=| ^A51853;

650 0 a| Riskx| Mathematical models.=| ^A92747;

650 0 a| Econometrics.=| ^A21416;

700 1 a| Härdle, Wolfgang.=| ^A190556;

700 1 a| Hautsch, Nikolaus.=| ^A797801;

700 1 a| Overbeck, Ludger.=| ^A797802;

994 a| 92b| ERE;

910 a| PromptCat;

938 a| Baker & Taylorb| BKTYc| 139.00d| 139.00i| 3540691774n| 0007920355s| active;

938 a| Baker and Taylorb| BTCPn| BK0007920355;

938 a| YBP Library Servicesb| YANKn| 2890148;

938 a| Blackwell Book Serviceb| BBUSn| R4745424c| $139.00;

980 a| 2009-03-18b| 139d| 0e| 116.76f| 657610g| 30372013104630h| 99932896951i| HG 106 .A668 2008;

596 a| 1;

998 a| 1458220;

999 a| HG 106 .A668 2008w| LCc| 1i| 30372013104630d| 5/12/2010e| 3/31/2009l| JGESm| JOYNERn| 2q| 2r| Ys| Yt| JGESBKu| 3/26/2009x| BOOKz| JSTACKSo| .STAFF. 0;

Applied quantitative finance.

Other author	Härdle, Wolfgang.
Other author	Hautsch, Nikolaus.
Other author	Overbeck, Ludger.
Format	Book
Edition	2nd ed. / Wolfgang K. Hardle, Nikolaus Hautsch, Ludger Overbeck, editors.
Publication Info	Berlin ; London : Springer, 2008.
Description	xxvi, 447 pages : illustrations ; 24 cm
Subjects	Finance--Mathematical models. Risk--Mathematical models. Econometrics.

Contents	Modeling dependencies with copulae / Wolfgang Härdle, Ostap Okhrin and Yarema Okhrin -- Quantification of spread risk by means of historical simulation / Christoph Frisch and Germar Knöchlein -- A copula-based model of the term structure of CDO tranches / Umberto Cherubini, Sabrina Mulinacci and Silvia Romagnoli -- VaR in high dimensional systems : a conditional correlation approach / Helmut Herwartz and Bruno Pedrinha -- Rating migrations / Steffi Höse, Stefan Huschens and Robert Wania -- Cross- and autocorrelation in multi-period credit portfolio models / Christoph K.J. Wagner -- Risk measurement and spectral capital allocation / Ludger Overbeck and Maria Sokolova -- Valuation and VaR computation for CDOs using Stein's method / Nicole El Karoui, Ying Jiao, David Kurtz -- Least squares kernel smoothing of the implied volatility smile / Matthias R. Fengler and Qihua Wang -- Numerics of implied binomial trees / Wolfgang Härdle and Alena Myšičková -- Application of extended Kalman filter to SPD estimation / Zdeněk Hlávka and Marek Svojik -- Stochastic volatility estimation using Markov chain simulation / Nikolaus Hautsch and Yangguoyi Ou -- Measuring and modeling risk using high-frequency data / Wolfgang Härdle, Nikolaus Hautsch and Uta Pigorsch -- Valuation of multidimensional Bermudan options / Shih-Feng Huang and Meihui Guo -- Multivariate volatility models / Matthias R. Fengler and Helmut Herwartz -- The accuracy of long-term real estate valuations / Rainer Schulz ... [et al.] -- Locally time homogeneous time series modelling / Mstislav Elagin and Vladimir Spokoiny -- Simulation based option pricing / Denis Belomestny and Grigori N. Milstein -- High-frequency volatility and liquidity/ Nikolaus Hautsch and Vahidin Jeleskovic -- Statistical process control in asset management / Vasyl Golosnoy and Wolfgang Schmid -- Canonical dynamics mechanism of monetary policy and interest rate / Jenher Jeng ... [et al.].
General note	"All Quantlets for the calculation of the given examples are downloadable from the Springer web pages"--P. [4] of cover.
General note	Previous ed. published as: Applied quantitative finance : theory and computational tools / W. Härdle, T. Kleinow, G. Stahl. c2002.
Bibliography note	Includes bibliographical references and index.
LCCN	2008933220
ISBN	9783540691778
ISBN	3540691774

Applied quantitative finance.

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