发帖
雷达卡
Carol Alexander
[size=0.9em]
| Wiley List Price: | US $155.00 |
Acknowledgments.
PART I: VOLATILITY AND CORRELATION ANALYSIS.
Understanding Volatility and Correlation.
Implied Volatility and Correlation.
Moving Average Models.
GARCH Models.
Forecasting Volatility and Correlation.
PART II: MODELLING THE MARKET RISK OF PORTFOLIOS.
Principal Component Analysis.
Covariance Matrices.
Risk Measurement in Factor Models.
Value-At-Risk.
Modelling Non-Normal Returns.
PART III: STATISTICAL MODELS FOR FINANCIAL MARKETS.
Time Series Models.
Cointegration.
Forecasting High-Frequency Data.
Technical Appendices.
A1 Linear Regression.
A2 Statistical Inference.
A3 Residual Analysis.
A4 Data Problems.
A5 Prediction.
A6 Maximum Likelihood Methods.
References.
Tables.
Index.
CAROL ALEXANDER is Professor of Risk Management at the ISMA Centre, the Business School of Reading University. Prior to this post, she has held positions in both academia and financial institutions at: Gemente Universiteit in Amsterdam; UBS Phillips and Drew; The University of Sussex; Algorithmics Inc. and Nikko Global Holdings.
Professor Alexander has edited many books, most recently 'Risk Management and Analysis: Measuring and Modelling Financial Risk' and 'New Markets and Products' (John Wiley,1998) 'Visions of Risk (FT-Prentice Hall, 2000) and Mastering Risk Volume 2 (FT-Prentice Hall, 2001). For over a decade Professor Alexander has been consulting in risk management and investment analysis, developing solutions for private and commercial clients. She is also a principal of Pennoyer Capital Management, New York. She has published a large number of papers in international academic and professional journals and further details are available
More By This Author
Carol Alexander
Market Risk Analysis, 4 Volume Boxset
Market Risk Analysis: Volume IV: Value at Risk Models
Market Risk Analysis: Pricing, Hedging and Trading Financial Instruments, Volume III
Market Risk Analysis: Practical Financial Econometrics, Volume II
Market Risk Analysis: Quantitative Methods in Finance, Volume I
Carol Alexander (Editor)
Risk Management and Analysis, Volume 2, New Markets and Products
Risk Management and Analysis, Volume 1, Measuring and Modelling Financial Risk
京公网安备 11010802022788号
