book

Market Risk Analysis Volume I: Quantitative Methods in Finance

June 2008

Beginner

318 pages

9h 53m

English

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I.1.1 INTRODUCTIONI.1.2 FUNCTIONS AND GRAPHS, EQUATIONS AND ROOTSI.1.3 DIFFERENTIATION AND INTEGRATIONI.1.4 ANALYSIS OF FINANCIAL RETURNSI.1.5 FUNCTIONS OF SEVERAL VARIABLESI.1.6 TAYLOR EXPANSIONI.1.7 SUMMARY AND CONCLUSIONS
I.2.1 INTRODUCTIONI.2.2 MATRIX ALGEBRA AND ITS MATHEMATICAL APPLICATIONSI.2.3 EIGENVECTORS AND EIGENVALUESI.2.4 APPLICATIONS TO LINEAR PORTFOLIOSI.2.5 MATRIX DECOMPOSITIONI.2.6 PRINCIPAL COMPONENT ANALYSISI.2.7 SUMMARY AND CONCLUSIONS
I.3.1 INTRODUCTIONI.3.2 BASIC CONCEPTSI.3.3 UNIVARIATE DISTRIBUTIONSI.3.4 MULTIVARIATE DISTRIBUTIONSI.3.5 INTRODUCTION TO STATISTICAL INFERENCEI.3.6 MAXIMUM LIKELIHOOD ESTIMATIONI.3.7 STOCHASTIC PROCESSES IN DISCRETE AND CONTINUOUS TIMEI.3.8 SUMMARY AND CONCLUSIONS
I.4.1 INTRODUCTIONI.4.2 SIMPLE LINEAR REGRESSIONI.4.3 PROPERTIES OF OLS ESTIMATORSI.4.4 MULTIVARIATE LINEAR REGRESSIONI.4.5 AUTOCORRELATION AND HETEROSCEDASTICITYI.4.6 APPLICATIONS OF LINEAR REGRESSION IN FINANCEI.4.7 SUMMARY AND CONCLUSIONS
I.5.1 INTRODUCTIONI.5.2 ITERATIONI.5.3 INTERPOLATION AND EXTRAPOLATIONI.5.4 OPTIMIZATIONI.5.5 FINITE DIFFERENCE APPROXIMATIONSI.5.6 BINOMIAL LATTICESI.5.7 MONTE CARLO SIMULATIONI.5.8 SUMMARY AND CONCLUSIONS
I.6.1 INTRODUCTIONI.6.2 UTILITY THEORYI.6.3 PORTFOLIO ALLOCATIONI.6.4 THEORY OF ASSET PRICINGI.6.5 RISK ADJUSTED PERFORMANCE MEASURESI.6.6 SUMMARY AND CONCLUSIONS

Statistical Tables

1 Standard Normal, Cumulative Probability in Right-Hand Tail (For Negative Values of z, Areas are Found by Symmetry)

2 t Critical Points

3 χ² Critical Points

4 F Critical Points

Carol Alexander

Anatoly B. Schmidt

Michael Lovelady

Constantin Zopounidis, Emilios Galariotis

ISBN: 9780470998007