Market Risk Analysis Volume I: Quantitative Methods in Finance

List of Examples

I.1.1 Roots of a quadratic equation

I.1.2 Calculating derivatives

I.1.3 Identifying stationary points

I.1.4 A definite integral

I.1.5 Portfolio weights

I.1.6 Returns on a long-short portfolio

I.1.7 Portfolio returns

I.1.8 Stationary points of a function of two variables

I.1.9 Constrained optimization

I.1.10 Total derivative of a function of three variables

I.1.11 Taylor approximation

I.2.1 Finding a matrix product using Excel

I.2.2 Calculating a 4 × 4 determinant

I.2.3 Finding the determinant and the inverse matrix using Excel

I.2.4 Solving a system of simultaneous linear equations in Excel

I.2.5 A quadratic form in Excel

I.2.6 Positive definiteness

I.2.7 Determinant test for positive definiteness

I.2.8 Finding eigenvalues and eigenvectors

I.2.9 Finding eigenvectors

I.2.10 Using an Excel add-in to find eigenvectors and eigenvalues

I.2.11 Covariance and correlation matrices

I.2.12 Volatility of returns and volatility of P&L

I.2.13 A non-positive definite 3 × 3 matrix

I.2.14 Eigenvectors and eigenvalues of a 2 × 2 covariance matrix

I.2.15 Spectral decomposition of a correlation matrix

I.2.16 The Cholesky matrix of a 2 × 2 matrix

I.2.17 The Cholesky matrix of a 3 × 3 matrix

I.2.18 Finding the Cholesky matrix in Excel

I.2.19 Finding the LU decomposition in Excel

I.3.1 Building a histogram

I.3.2 Calculating moments of a distribution

I.3.3 Calculating moments of a sample

I.3.4 Evolution of an asset price

I.3.5 Normal probabilities

I.3.6 Normal probabilities for portfolio ...