Dunis / Laws / Naïm Applied Quantitative Methods for Trading and Investment

1. Auflage 2003
ISBN: 978-0-470-87134-8
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 426 Seiten, E-Book

Reihe: Wiley Finance

This book provides a manual on quantitative financial analysis.Focusing on advanced methods for modelling financial markets in thecontext of practical financial applications, it will cover data,software and techniques that will enable the reader to implementand interpret quantitative methodologies, specifically for tradingand investment.
* Includes contributions from an international team ofacademics and quantitative asset managers from Morgan Stanley,Barclays Global Investors, ABN AMRO and Credit Suisse FirstBoston.
* Fills the gap for a book on applied quantitative investment& trading models
* Provides details of how to combine various models to manage andtrade a portfolio

Autoren/Hrsg.

Dunis, Christian L.

Laws, Jason

Naïm, Patrick

Inhaltsverzeichnis

About the Contributors.
Preface.
1. Applications of Advanced Regression Analysis for Trading and Investment (Christian L. Dunis and Mark Williams).
2. Using Cointegration to Hedge and Trade International Equities (A. Neil Burgess).
3. Modelling the Term Structure of Interest Rates: An Application of Gaussian Affine Models to the German Yield Curve (Nuno Cassola and Jorge Barros Lu.
4. Forecasting and Trading Currency Volatility: An Application of Recurrent Neural Regression and Model Combination (Christian L. Dunis and Xuehuan Huang).
5. Implementing Neural Networks, Classification Trees, and Rule Induction Classification Techniques: An Application to Credit Risk (George T. Albanis).
6. Switching Regime Volatility: An Empirical Evaluation (Bruno B. Roche and Michael Rockinger).
7. Quantitative Equity Investment Management with Time-Varying Factor Sensitivities (Yves Bentz).
8. Stochastic Volatility Models: A Survey with Applications to Option Pricing and Value at Risk (Monica Billio and Domenico Sartore).
9. Portfolio Analysis Using Excel (Jason Laws).
10. Applied Volatility and Correlation Modelling Using Excel (Frédérick Bourgoin).
11. Optimal Allocation of Trend-Following Rules: An Application Case of Theoretical Results Pierre Lequeux).
12. Portfolio Management and Information from Over-the-Counter Currency Options (Jorge Barros Luís.
13. Filling Analysis for Missing Data: An Application to Weather Risk Management (Christian L. Dunis and Vassilios Karalis.).
Index.

Über Autor(innen)

CHRISTIAN L. DUNIS is Girobank Professor of Banking andFinance at Liverpool Business School, and Director of its Centrefor International Banking, Economics and Finance (CIBEF). He isalso a consultant to asset management firms, a Visiting Professorof International Finance at Venice International University and anOfficial Reviewer attached to the European Commission for theevaluation of applications to finance of emerging softwaretechnologies. He is an Editor of the European Journal of Finance,and has widely published in the field of financial markets analysisand forecasting. He has organised the Forecasting Financial MarketsConference since 1994.
JASON LAWS is a Lecturer in International Banking andFinance at Liverpool John Moores University. He is also the CourseDirector for the M.Sc. in International Banking, Economics andFinance at Liverpool Business School. He has taught extensively inthe area of investment theory and derivative securities at alllevels, both in the UK and in Asia. Jason is also an active memberof CIBEF, and has published in a number of academic journals. Hisresearch interests are focussed on volatility modelling and theimplementation of trading strategies.
PATRICK NAÏM is an engineer of the ÉcoleCentrale de Paris. He is the founder and chairman of Elseware, acompany specialising in the application of nonlinear methods tofinancial management problems. He is currently working for some ofthe largest French institutions and co-ordinating research projectsin the field at European level.