Applied Quantitative Finance
Editor
- Wolfgang K. Härdle(Humboldt-Universität zu Berlin, CASE-Center for Applied Statistics and Economics)Nikolaus Hautsch(Humboldt-Universität zu Berlin, CASE-Center for Applied Statistics and Economics)Ludger Overbeck(Universität Gießen, Mathematical Finance and Quantitative Risk Management)
Abstract
No abstract is available for this item.Individual chapters are listed in the "Chapters" tab
Suggested Citation
- Wolfgang K. Härdle & Nikolaus Hautsch & Ludger Overbeck (ed.), 2008. "Applied Quantitative Finance," Springer Books, Springer, edition 2, number 978-3-540-69179-2, January.
Handle: RePEc:spr:sprbok:978-3-540-69179-2
DOI: 10.1007/978-3-540-69179-2
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Book Chapters
The following chapters of this book are listed in IDEAS- Wolfgang Härdle & Ostap Okhrin & Yarema Okhrin, 2009. "Modeling Dependencies with Copulae," Springer Books, in: Wolfgang K. Härdle & Nikolaus Hautsch & Ludger Overbeck (ed.), Applied Quantitative Finance, edition 2, chapter 1, pages 3-36, Springer.
- Christoph Frisch & Germar Knöchlein, 2009. "Quantification of Spread Risk by Means of Historical Simulation," Springer Books, in: Wolfgang K. Härdle & Nikolaus Hautsch & Ludger Overbeck (ed.), Applied Quantitative Finance, edition 2, chapter 2, pages 37-67, Springer.
- Umberto Cherubini & Sabrina Mulinacci & Silvia Romagnoli, 2009. "A Copula-Based Model of the Term Structure of CDO Tranches," Springer Books, in: Wolfgang K. Härdle & Nikolaus Hautsch & Ludger Overbeck (ed.), Applied Quantitative Finance, edition 2, chapter 3, pages 69-81, Springer.
- Helmut Herwartz & Bruno Pedrinha, 2009. "VaR in High Dimensional Systems – a Conditional Correlation Approach," Springer Books, in: Wolfgang K. Härdle & Nikolaus Hautsch & Ludger Overbeck (ed.), Applied Quantitative Finance, edition 2, chapter 4, pages 83-102, Springer.
- Steffi Höse & Stefan Huschens & Robert Wania, 2009. "Rating Migrations," Springer Books, in: Wolfgang K. Härdle & Nikolaus Hautsch & Ludger Overbeck (ed.), Applied Quantitative Finance, edition 2, chapter 5, pages 105-123, Springer.
- Christoph K. J. Wagner, 2009. "Cross- and Autocorrelation in Multi-Period Credit Portfolio Models," Springer Books, in: Wolfgang K. Härdle & Nikolaus Hautsch & Ludger Overbeck (ed.), Applied Quantitative Finance, edition 2, chapter 6, pages 125-138, Springer.
- Ludger Overbeck & Maria Sokolova, 2009. "Risk Measurement with Spectral Capital Allocation," Springer Books, in: Wolfgang K. Härdle & Nikolaus Hautsch & Ludger Overbeck (ed.), Applied Quantitative Finance, edition 2, chapter 7, pages 139-159, Springer.
- Nicole El Karoui & Ying Jiao & David Kurtz, 2009. "Valuation and VaR Computation for CDOs Using Stein’s Method," Springer Books, in: Wolfgang K. Härdle & Nikolaus Hautsch & Ludger Overbeck (ed.), Applied Quantitative Finance, edition 2, chapter 8, pages 161-189, Springer.
- Matthias R. Fengler & Qihua Wang, 2009. "Least Squares Kernel Smoothing of the Implied Volatility Smile," Springer Books, in: Wolfgang K. Härdle & Nikolaus Hautsch & Ludger Overbeck (ed.), Applied Quantitative Finance, edition 2, chapter 9, pages 193-207, Springer.
- Wolfgang Härdle & Alena Myšičková, 2009. "Numerics of Implied Binomial Trees," Springer Books, in: Wolfgang K. Härdle & Nikolaus Hautsch & Ludger Overbeck (ed.), Applied Quantitative Finance, edition 2, chapter 10, pages 209-231, Springer.
- Zdeněk Hlávka & Marek Svojik, 2009. "Application of Extended Kalman Filter to SPD Estimation," Springer Books, in: Wolfgang K. Härdle & Nikolaus Hautsch & Ludger Overbeck (ed.), Applied Quantitative Finance, edition 2, chapter 11, pages 233-247, Springer.
- Nikolaus Hautsch & Yangguoyi Ou, 2009. "Stochastic Volatility Estimation Using Markov Chain Simulation," Springer Books, in: Wolfgang K. Härdle & Nikolaus Hautsch & Ludger Overbeck (ed.), Applied Quantitative Finance, edition 2, chapter 12, pages 249-274, Springer.
- Wolfgang Härdle & Nikolaus Hautsch & Uta Pigorsch, 2009. "Measuring and Modeling Risk Using High-Frequency Data," Springer Books, in: Wolfgang K. Härdle & Nikolaus Hautsch & Ludger Overbeck (ed.), Applied Quantitative Finance, edition 2, chapter 13, pages 275-293, Springer.
- Shih-Feng Huang & Meihui Guo, 2009. "Valuation of Multidimensional Bermudan Options," Springer Books, in: Wolfgang K. Härdle & Nikolaus Hautsch & Ludger Overbeck (ed.), Applied Quantitative Finance, edition 2, chapter 14, pages 295-309, Springer.
- Matthias R. Fengler & Helmut Herwartz, 2009. "Multivariate Volatility Models," Springer Books, in: Wolfgang K. Härdle & Nikolaus Hautsch & Ludger Overbeck (ed.), Applied Quantitative Finance, edition 2, chapter 15, pages 313-326, Springer.
- Rainer Schulz & Markus Staiber & Martin Wersing & Axel Werwatz, 2009. "The Accuracy of Long-term Real Estate Valuations," Springer Books, in: Wolfgang K. Härdle & Nikolaus Hautsch & Ludger Overbeck (ed.), Applied Quantitative Finance, edition 2, chapter 16, pages 327-344, Springer.
- Mstislav Elagin & Vladimir Spokoiny, 2009. "Locally Time Homogeneous Time Series Modelling," Springer Books, in: Wolfgang K. Härdle & Nikolaus Hautsch & Ludger Overbeck (ed.), Applied Quantitative Finance, edition 2, chapter 17, pages 345-361, Springer.
- Denis Belomestny & Grigori N. Milstein, 2009. "Simulation Based Option Pricing," Springer Books, in: Wolfgang K. Härdle & Nikolaus Hautsch & Ludger Overbeck (ed.), Applied Quantitative Finance, edition 2, chapter 18, pages 363-378, Springer.
- Nikolaus Hautsch & Vahidin Jeleskovic, 2009. "High-Frequency Volatility and Liquidity," Springer Books, in: Wolfgang K. Härdle & Nikolaus Hautsch & Ludger Overbeck (ed.), Applied Quantitative Finance, edition 2, chapter 19, pages 379-397, Springer.
- Vasyl Golosnoy & Wolfgang Schmid, 2009. "Statistical Process Control in Asset Management," Springer Books, in: Wolfgang K. Härdle & Nikolaus Hautsch & Ludger Overbeck (ed.), Applied Quantitative Finance, edition 2, chapter 20, pages 399-416, Springer.
- Jenher Jeng & Wei-Fang Niu & Nan-Jye Wang & Shih-Shan Lin, 2009. "Canonical Dynamics Mechanism of Monetary Policy and Interest Rate," Springer Books, in: Wolfgang K. Härdle & Nikolaus Hautsch & Ludger Overbeck (ed.), Applied Quantitative Finance, edition 2, chapter 21, pages 417-441, Springer.
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