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RSSApplied Quantitative Finance | ||||||||||||||||||
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| Table of contents I. Value at Risk 1. Modeling Dependencies with Copulae Wolfgang Härdle, Ostap Okhrin, Yarema Okhrin 2. Quantification of Spread Risk by Means of Historical Simulation Christoph Frisch, Germar Knöchlein 3. A Copula-Based Model of the Term Structure of CDO Tranches Umberto Cherubini, Sabrina Mulinacci, Silvia Romagnoli 4. VaR in High Dimensional Systems – a Conditional Correlation Approach Helmut Herwartz, Bruno Pedrinha II. Credit Risk 5. Rating Migrations Steffi Höse, Stefan Huschens, Robert Wania 6. Cross- and Autocorrelation in Multi-Period Credit Portfolio Models Christoph K. J. Wagner 7. Risk Measurement with Spectral Capital Allocation Ludger Overbeck, Maria Sokolova 8. Valuation and VaR Computation for CDOs Using Stein’s Method Nicole El Karoui, Ying Jiao, David Kurtz III. Implied Volatility 9. Least Squares Kernel Smoothing of the Implied Volatility Smile Matthias R. Fengler, Qihua Wang 10. Numerics of Implied Binomial Trees Wolfgang Härdle, Alena Myšicková 11. Application of Extended Kalman Filter to SPD Estimation Zdenek Hlávka, Marek Svojik 12. Stochastic Volatility Estimation Using Markov Chain Simulation Nikolaus Hautsch, Yangguoyi Ou 13. Measuring and Modeling Risk Using High-Frequency Data Wolfgang Härdle, Nikolaus Hautsch, Uta Pigorsch 14. Valuation of Multidimensional Bermudan Options Shih-Feng Huang, Meihui Guo IV. Econometrics 15. Multivariate Volatility Models Matthias R. Fengler, Helmut Herwartz 16. The Accuracy of Long-term Real Estate Valuations Rainer Schulz, Markus Staiber, Martin Wersing, Axel Werwatz 17. Locally Time Homogeneous Time Series Modelling Mstislav Elagin, Vladimir Spokoiny 18. Simulation Based Option Pricing Denis Belomestny, Grigori N. Milstein 19. High-Frequency Volatility and Liquidity Nikolaus Hautsch, Vahidin Jeleskovic 20. Statistical Process Control in Asset Management Vasyl Golosnoy, Wolfgang Schmid 21. Canonical Dynamics Mechanism of Monetary Policy and Interest Rate Jenher Jeng, Wei-Fang Niu, Nan-Jye Wang, Shih-Shan Lin DRM-restrictions Printing: not available Clipboard copying: not available | ||||||||||||||||||
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