Alexander Market Risk Analysis, Volume I, Quantitative Methods in Finance

1. Auflage 2008
ISBN: 978-0-470-77102-0
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 318 Seiten, E-Book

Reihe: Wiley Finance Series

Written by leading market risk academic, Professor Carol Alexander,Quantitative Methods in Finance forms part one of theMarket Risk Analysis four volume set. Starting from thebasics, this book helps readers to take the first step towardsbecoming a properly qualified financial risk manager and assetmanager, roles that are currently in huge demand. Accessible tointelligent readers with a moderate understanding of mathematics athigh school level or to anyone with a university degree inmathematics, physics or engineering, no prior knowledge of financeis necessary. Instead the emphasis is on understanding ideas ratherthan on mathematical rigour, meaning that this book offers afast-track introduction to financial analysis for readers with somequantitative background, highlighting those areas of mathematicsthat are particularly relevant to solving problems in financialrisk management and asset management. Unique to this book is afocus on both continuous and discrete time finance so thatQuantitative Methods in Finance is not only about the applicationof mathematics to finance; it also explains, in very pedagogicalterms, how the continuous time and discrete time financedisciplines meet, providing a comprehensive, highly accessibleguide which will provide readers with the tools to start applyingtheir knowledge immediately.
All together, the Market Risk Analysis four volume setillustrates virtually every concept or formula with a practical,numerical example or a longer, empirical case study. Across allfour volumes there are approximately 300 numerical and empiricalexamples, 400 graphs and figures and 30 case studies many of whichare contained in interactive Excel spreadsheets available from theaccompanying CD-ROM . Empirical examples and case studies specificto this volume include:
Principal component analysis of European equity indices;
* Calibration of Student t distribution by maximumlikelihood;
* Orthogonal regression and estimation of equity factormodels;
* Simulations of geometric Brownian motion, and of correlatedStudent t variables;
* Pricing European and American options with binomial trees, andEuropean options with the Black-Scholes-Merton formula;
* Cubic spline fitting of yields curves and impliedvolatilities;
* Solution of Markowitz problem with no short sales and otherconstraints;
* Calculation of risk adjusted performance metrics includinggeneralised Sharpe ratio, omega and kappa indices.

Autoren/Hrsg.

Alexander, Carol

Inhaltsverzeichnis

List of Figures.
List of Tables.
List of Examples.
Foreword.
Preface to Volume 1.
I.1 Basic Calculus for Finance.
I.1.1 Introduction.
I.1.2 Functions and Graphs, Equations and Roots.
I.1.3 Differentiation and Integration.
I.1.4 Analysis of Financial Returns.
I.1.5 Functions of Several Variables.
I.1.6 Taylor Expansion.
I.1.7 Summary and Conclusions.
I.2 Essential Linear Algebra for Finance.
I.2.1 Introduction.
I.2.2 Matrix Algebra and its Mathematical Applications.
I.2.3 Eigenvectors and Eigenvalues.
I.2.4 Applications to Linear Portfolios.
I.2.5 Matrix Decomposition.
I.2.6 Principal Component Analysis.
I.2.7 Summary and Conclusions.
I.3 Probability and Statistics.
I.3.1 Introduction.
I.3.2 Basic Concepts.
I.3.3 Univariate Distributions.
I.3.4 Multivariate Distributions.
I.3.5 Introduction to Statistical Inference.
I.3.6 Maximum Likelihood Estimation.
I.3.7 Stochastic Processes in Discrete and Continuous Time.
I.3.8 Summary and Conclusions.
I.4 Introduction to Linear Regression.
I.4.1 Introduction.
I.4.2 Simple Linear Regression.
I.4.3 Properties of OLS Estimators.
I.4.4 Multivariate Linear Regression.
I.4.5 Autocorrelation and Heteroscedasticity.
I.4.6 Applications of Linear Regression in Finance.
I.4.7 Summary and Conclusions.
I.5 Numerical Methods in Finance.
I.5.1 Introduction.
I.5.2 Iteration.
I.5.3 Interpolation and Extrapolation.
I.5.4 Optimization.
I.5.5 Finite Difference Approximations.
I.5.6 Binomial Lattices.
I.5.7 Monte Carlo Simulation.
I.5.8 Summary and Conclusions.
I.6 Introduction to Portfolio Theory.
I.6.1 Introduction.
I.6.2 Utility Theory.
I.6.3 Portfolio Allocation.
I.6.4 Theory of Asset Pricing.
I.6.5 Risk Adjusted Performance Measures.
I.6.6 Summary and Conclusions.
References.
Statistical Tables.
Index.

Über Autor(innen)

Carol Alexander is a Professor of Risk Management at theICMA Centre, University of Reading, and Chair of the AcademicAdvisory Council of the Professional Risk Manager'sInternational Association (PRMIA). She is the author of MarketModels: A Guide to Financial Data Analysis(John Wiley &Sons Ltd, 2001) and has been editor and contributor of a very largenumber of books in finance and mathematics, including themulti-volume Professional Risk Manager'sHandbook(McGraw-Hill, 2008 and PRMIA Publications). Carol haspublished nearly 100 academic journal articles, book chapters andbooks, the majority of which focus on financial risk management andmathematical finance.
Professor Alexander is one of the world's leadingauthorities on market risk analysis. For further details, see www.icmacentre.rdg.ac.uk/alexander