Author: Carol Alexander
Edition: 1St Edition
Publisher: Wiley
Binding: Hardcover
ISBN: 0471899755
Price:
You Save: 59%
Market Models: A Guide to Financial Data Analysis
Market Models provides an authoritative and up-to-date treatment of the use of market data to develop models for financial analysis.Market Models review. Written by a leading figure in the field of financial data analysis, this book is the first of its kind to address the vital techniques required for model selection and development. Model developers are faced with many decisions, about the pricing, the data, the statistical methodology and the calibration and testing of the model prior to implementation. It is important to make the right choices and Carol Alexander's clear exposition provides valuable insights at every stage.
In each of the 13 Chapters, Market Models presents real world illustrations to motivate theoretical developmentsRead full reviews of Walras's Market Models.
Read Pre-test-market Models: Validation And Managerial Implications reviews by
Nabu Press 9781245073011 Pre-Test-Market Models: Validation and Managerial Implications Description This is a reproduction of a book published before 1923. This book may have occasional imperfections such as missing or blurred pages, poor pictures, errant marks, etc. that were either part of the original artifact, or were introduced by the scanning process. We believe this work is culturally important, and despite the imperfections, have elected to bring it back into print as part of our contin
Categories: Walras, Léon (1834-1910), Commercial products->Mathematical models, Equilibrium (Economics)->Mathematical models. Contributors: Donald A. Walker - Author. Format: Paperback
This book describes and evaluates Leon Walras''s models of competitive markets through identification of his career phases and the associated general equilibrium models.
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Walras's Market Models by Donald A. Walker Format Paperback Condition Brand New This book describes and evaluates Leon Walras's models of competitive markets through identification of his career phases and the associated general equilibrium models. Publisher Description Walras's Market Models describes and evaluates Leon Walras's models of competitive markets. Through identification of his career phases and the associated general equilibrium models, which are shown to be very different in character, this book differs from previous examinations of his work. During his mature phase of theoretica
Market Models Reviews
Written by a leading figure in the field of financial data analysis, this book is the first of its kind to address the vital techniques required for model selection and development. Model developers are faced with many decisions, about the pricing, the data, the statistical methodology and the calibration and testing of the model prior to implementation. It is important to make the right choices and Carol Alexander's clear exposition provides valuable insights at every stage.
In each of the 13 Chapters, Market Models presents real world illustrations to motivate theoretical developments. The accompanying CD contains spreadsheets with data and programs; this enables you to implement and adapt many of the examples. The pricing of options using normal mixture density functions to model returns; the use of Monte Carlo simulation to calculate the VaR of an options portfolio; modifying the covariance VaR to allow for fat-tailed P&L distributions; the calculation of implied, EWMA and 'historic' volatilities; GARCH volatility term structure forecasting; principal components analysis; and many more are all included.
Carol Alexander brings many new insights to the pricing and hedging of options with her understanding of volatility and correlation, and the uncertainty which surrounds these key determinants of option portfolio risk. Modelling the market risk of portfolios is covered where the main focus is on a linear algebraic approach; the covariance matrix and principal component analysis are developed as key tools for the analysis of financial systems. The traditional time series econometric approach is also explained with coverage ranging from the application cointegration to long-short equity hedge funds, to high-frequency data prediction using neural networks and nearest neighbour algorithms.
Throughout this text the emphasis is on understanding concepts and implementing solutions. It has been designed to be accessible to a very wide audience: the coverage is comprehensive and complete and the technical appendix makes the book largely self-contained.
Market Models: A Guide to Financial Data Analysis is the ideal reference for all those involved in market risk measurement, quantitative trading and investment analysis.
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