This new book provides numerous real world examples to illustrate concepts in an accessible manner, the accompanying cd will allow the reader to implement the examples themselves and adapt them for their own purposes. Carol alexander brings many new insights to the practicalities of volatility and correlation analysis, modelling the market risk of portfolios and statistical models. New models that are based on cointegration, principal component analysis, normal mixture densities, garch and many other areas are elegantly and rigorously explained, with an emphasis on concepts that makes this text accessible to a very wide audience. The book is also designed to be self contained, with many technical appendices. · volatility and correlation analysis. · modelling the market risk of portfolios. · statistical models for financial markets.
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