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Author: Wolfgang Lemke
Publisher: Springer Science & Business Media
ISBN: 3540283447
Category : Business & Economics
Languages : en
Pages : 224
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Book Description
This book has been prepared during my work as a research assistant at the Institute for Statistics and Econometrics of the Economics Department at the University of Bielefeld, Germany. It was accepted as a Ph.D. thesis titled "Term Structure Modeling and Estimation in a State Space Framework" at the Department of Economics of the University of Bielefeld in November 2004. It is a pleasure for me to thank all those people who have been helpful in one way or another during the completion of this work. First of all, I would like to express my gratitude to my advisor Professor Joachim Frohn, not only for his guidance and advice throughout the com pletion of my thesis but also for letting me have four very enjoyable years teaching and researching at the Institute for Statistics and Econometrics. I am also grateful to my second advisor Professor Willi Semmler. The project I worked on in one of his seminars in 1999 can really be seen as a starting point for my research on state space models. I thank Professor Thomas Braun for joining the committee for my oral examination.
Author: Wolfgang Lemke
Publisher: Springer Science & Business Media
ISBN: 3540283447
Category : Business & Economics
Languages : en
Pages : 224
Get Book Here
Book Description
This book has been prepared during my work as a research assistant at the Institute for Statistics and Econometrics of the Economics Department at the University of Bielefeld, Germany. It was accepted as a Ph.D. thesis titled "Term Structure Modeling and Estimation in a State Space Framework" at the Department of Economics of the University of Bielefeld in November 2004. It is a pleasure for me to thank all those people who have been helpful in one way or another during the completion of this work. First of all, I would like to express my gratitude to my advisor Professor Joachim Frohn, not only for his guidance and advice throughout the com pletion of my thesis but also for letting me have four very enjoyable years teaching and researching at the Institute for Statistics and Econometrics. I am also grateful to my second advisor Professor Willi Semmler. The project I worked on in one of his seminars in 1999 can really be seen as a starting point for my research on state space models. I thank Professor Thomas Braun for joining the committee for my oral examination.
Author: Frank J. Fabozzi, CFA
Publisher: John Wiley & Sons
ISBN: 9781883249175
Category : Business & Economics
Languages : en
Pages : 408
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Book Description
Advances in Fixed Income Valuation Modeling and Risk Management provides in-depth examinations by thirty-one expert research and opinion leaders on topics such as: problems encountered in valuing interest rate derivatives, tax effects in U.S. government bond markets, portfolio risk management, valuation of treasury bond futures contract's embedded options, and risk analysis of international bonds.
Author: Christian L. Dunis
Publisher: John Wiley & Sons
ISBN: 0470871342
Category : Business & Economics
Languages : en
Pages : 426
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Book Description
This book provides a manual on quantitative financial analysis. Focusing on advanced methods for modelling financial markets in the context of practical financial applications, it will cover data, software and techniques that will enable the reader to implement and interpret quantitative methodologies, specifically for trading and investment. Includes contributions from an international team of academics and quantitative asset managers from Morgan Stanley, Barclays Global Investors, ABN AMRO and Credit Suisse First Boston. Fills the gap for a book on applied quantitative investment & trading models Provides details of how to combine various models to manage and trade a portfolio
Author: Rajna Gibson
Publisher: Now Publishers Inc
ISBN: 1601983727
Category : Business & Economics
Languages : en
Pages : 171
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Book Description
Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.
Author: Steven E. Shreve
Publisher: Springer Science & Business Media
ISBN: 9780387401010
Category : Business & Economics
Languages : en
Pages : 586
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Book Description
"A wonderful display of the use of mathematical probability to derive a large set of results from a small set of assumptions. In summary, this is a well-written text that treats the key classical models of finance through an applied probability approach....It should serve as an excellent introduction for anyone studying the mathematics of the classical theory of finance." --SIAM
Author: Erwin Bolthausen
Publisher: Birkhäuser
ISBN: 3034870264
Category : Mathematics
Languages : en
Pages : 392
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Book Description
Pure and applied stochastic analysis and random fields form the subject of this book. The collection of articles on these topics represent the state of the art of the research in the field, with particular attention being devoted to stochastic models in finance. Some are review articles, others are original papers; taken together, they will apprise the reader of much of the current activity in the area.
Author: Nikolai Dokuchaev
Publisher: CRC Press
ISBN: 0429948867
Category : Mathematics
Languages : en
Pages : 237
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Book Description
Pathwise estimation and inference for diffusion market models discusses contemporary techniques for inferring, from options and bond prices, the market participants' aggregate view on important financial parameters such as implied volatility, discount rate, future interest rate, and their uncertainty thereof. The focus is on the pathwise inference methods that are applicable to a sole path of the observed prices and do not require the observation of an ensemble of such paths. This book is pitched at the level of senior undergraduate students undertaking research at honors year, and postgraduate candidates undertaking Master’s or PhD degree by research. From a research perspective, this book reaches out to academic researchers from backgrounds as diverse as mathematics and probability, econometrics and statistics, and computational mathematics and optimization whose interest lie in analysis and modelling of financial market data from a multi-disciplinary approach. Additionally, this book is also aimed at financial market practitioners participating in capital market facing businesses who seek to keep abreast with and draw inspiration from novel approaches in market data analysis. The first two chapters of the book contains introductory material on stochastic analysis and the classical diffusion stock market models. The remaining chapters discuss more special stock and bond market models and special methods of pathwise inference for market parameter for different models. The final chapter describes applications of numerical methods of inference of bond market parameters to forecasting of short rate. Nikolai Dokuchaev is an associate professor in Mathematics and Statistics at Curtin University. His research interests include mathematical and statistical finance, stochastic analysis, PDEs, control, and signal processing. Lin Yee Hin is a practitioner in the capital market facing industry. His research interests include econometrics, non-parametric regression, and scientific computing.
Author: Gianluca Fusai
Publisher: Springer Science & Business Media
ISBN: 3540499598
Category : Business & Economics
Languages : en
Pages : 606
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Book Description
This book puts numerical methods in action for the purpose of solving practical problems in quantitative finance. The first part develops a toolkit in numerical methods for finance. The second part proposes twenty self-contained cases covering model simulation, asset pricing and hedging, risk management, statistical estimation and model calibration. Each case develops a detailed solution to a concrete problem arising in applied financial management and guides the user towards a computer implementation. The appendices contain "crash courses" in VBA and Matlab programming languages.
Author: Stefano M. Iacus
Publisher: John Wiley & Sons
ISBN: 1119990203
Category : Business & Economics
Languages : en
Pages : 402
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Book Description
Presents inference and simulation of stochastic process in the field of model calibration for financial times series modelled by continuous time processes and numerical option pricing. Introduces the bases of probability theory and goes on to explain how to model financial times series with continuous models, how to calibrate them from discrete data and further covers option pricing with one or more underlying assets based on these models. Analysis and implementation of models goes beyond the standard Black and Scholes framework and includes Markov switching models, Lévy models and other models with jumps (e.g. the telegraph process); Topics other than option pricing include: volatility and covariation estimation, change point analysis, asymptotic expansion and classification of financial time series from a statistical viewpoint. The book features problems with solutions and examples. All the examples and R code are available as an additional R package, therefore all the examples can be reproduced.
Author: Antoon Pelsser
Publisher: Springer Science & Business Media
ISBN: 9781852333041
Category : Mathematics
Languages : en
Pages : 206
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Book Description
This book provides an overview of the models that can be used for valuing and managing interest rate derivatives. Split into two parts, the first discusses and compares the traditional models, such as spot- and forward-rate models, while the second concentrates on the more recently developed Market models. Unlike most of his competitors, the author's focus is not only on the mathematics: Antoon Pelsser draws on his experience in industry to explore a host of practical issues.
