TAILIEUCHUNG - Ebook Applied Quantitaive Finance

Ebook Applied Quantitaive Finance provides a comprehensive and state-of-the-art treatment of cutting-edge topics and methods. It provides solutions to and presents theoretical developments in many practical problems such as risk management, pricing of credit derivatives, quantification of volatility and copula modelling. | Applied Quantitative Finance Wolfgang Hardie Torsten Kleinow Gerhard Stahl In cooperation with Gokhan Aydinli Oliver Jim Blaskowitz Song Xi Chen Matthias Fengler Jurgen Franke Christoph Frisch Helmut Herwartz Harriet Holzberger Steffi Hose Stefan Huschens Kim Huynh Stefan R. Jaschke Yuze Jiang Pierre Kervella Rudiger Kiesel Germar Knochlein Sven Knoth Jens Lussem Danilo Mercurio Marlene Muller Jorn Rank Peter Schmidt Rainer Schulz Jourgen Schumacher Thomas Siegl Robert Wania Axel Werwatz Jun Zheng June 20 2002 Contents Preface xv Contributors xix Frequently Used Notation xxi I Value at Risk 1 1 Approximating Value at Risk in Conditional Gaussian Models 3 Stefan R. Jaschke and Yuze Jiang Introduction. 3 The Practical Need. 3 Statistical Modeling for VaR . 4 VaR Approximations. 6 Pros and Cons of Delta-Gamma Approximations . 7 General Properties of Delta-Gamma-Normal Models. 8 Cornish-Fisher Approximations . 12 Derivation . 12 Properties. 15 Fourier Inversion . .

• Tài chính doanh nghiệp
• Applied Quantitaive Finance
• Value at risk
• VaR Approximations
• Conish Finisher Approximations
• Quantification of spread risk
• Credit risk
• Rating Migrations