SOA QFI Track 参考书超全大合集

https://bbs.pinggu.org/thread-6906828-1-1.html

书籍名称：Market Models - A Guide to Preface Financial Data Analysis

作者：Carol Alexander

出版年份：2001

共500p，图片版（不能复制）PDF

ISBN 0471-89975-5

压缩包为djvu格式文档，下载djvu阅读器即可阅读，可以进行简单复制，免费分享给大家。

目录：

Preface

Acknowledgements

Part I Volatility and Correlation Analysis

Chapter1 Understanding Volatility and Correlation

Chapter2 Implied Volatility and Correlation

Chapter3 Moving Average Models

Chapter4 GARCH Models

Chapter5 Forecasting Volatility and Correlations

Part II Modelling the Market Risk of Portfolios

Chapter6 Principal Components Analysis

Chapter7 Covariance Matrices

Chapter8 Risk Measurement in Factor Models

Chapter9 Value-at-Risk

Chapter10 Modelling Non-normal Returns

Chapter11 Time Series Models

Chapter12 Cointegration

Chapter13 Forecasting High-Frequency Data

Technical Appendices

References

Tables

Index