Applied Quantitative Finance

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

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Keywords: MATHEMATICS / General MAT000000