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
Inhoudsopgave
About the Contributors.
Preface.
1. Applications of Advanced Regression Analysis for Trading and Investment (Christian L. Dunis and Mark Williams).
2. Using Cointegration to Hedge and Trade International Equities (A. Neil Burgess).
3. Modelling the Term Structure of Interest Rates: An Application of Gaussian Affine Models to the German Yield Curve (Nuno Cassola and Jorge Barros Lu.
4. Forecasting and Trading Currency Volatility: An Application of Recurrent Neural Regression and Model Combination (Christian L. Dunis and Xuehuan Huang).
5. Implementing Neural Networks, Classification Trees, and Rule Induction Classification Techniques: An Application to Credit Risk (George T. Albanis).
6. Switching Regime Volatility: An Empirical Evaluation (Bruno B. Roche and Michael Rockinger).
7. Quantitative Equity Investment Management with Time-Varying Factor Sensitivities (Yves Bentz).
8. Stochastic Volatility Models: A Survey with Applications to Option Pricing and Value at Risk (Monica Billio and Domenico Sartore).
9. Portfolio Analysis Using Excel (Jason Laws).
10. Applied Volatility and Correlation Modelling Using Excel (Frédérick Bourgoin).
11. Optimal Allocation of Trend-Following Rules: An Application Case of Theoretical Results Pierre Lequeux).
12. Portfolio Management and Information from Over-the-Counter Currency Options (Jorge Barros Luís.
13. Filling Analysis for Missing Data: An Application to Weather Risk Management (Christian L. Dunis and Vassilios Karalis.).
Index.
Over de auteur
CHRISTIAN L. DUNIS is Girobank Professor of Banking and
Finance at Liverpool Business School, and Director of its Centre
for International Banking, Economics and Finance (CIBEF). He is
also a consultant to asset management firms, a Visiting Professor
of International Finance at Venice International University and an
Official Reviewer attached to the European Commission for the
evaluation of applications to finance of emerging software
technologies. He is an Editor of the European Journal of Finance,
and has widely published in the field of financial markets analysis
and forecasting. He has organised the Forecasting Financial Markets
Conference since 1994.
JASON LAWS is a Lecturer in International Banking and
Finance at Liverpool John Moores University. He is also the Course
Director for the M.Sc. in International Banking, Economics and
Finance at Liverpool Business School. He has taught extensively in
the area of investment theory and derivative securities at all
levels, both in the UK and in Asia. Jason is also an active member
of CIBEF, and has published in a number of academic journals. His
research interests are focussed on volatility modelling and the
implementation of trading strategies.
PATRICK NAÏM is an engineer of the École
Centrale de Paris. He is the founder and chairman of Elseware, a
company specialising in the application of nonlinear methods to
financial management problems. He is currently working for some of
the largest French institutions and co-ordinating research projects
in the field at European level.
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