Applied Quantitativ Finance Home Page  
 
Preface
Contributors
Frequently Used Notation
Part I Value at Risk
1 Approximating Value at Risk in Conditional Gaussian Models
2 Applications of Copulas for the Calculation of Value-at-Risk
3 Quantification of Spread Risk by Means of Historical Simulation
Part II Credit Risk
4 Rating Migrations
5 Sensitivity analysis of credit portfolio models
Part III Implied Volatility
6 The Analysis of Implied Volatilities
7 How Precise Are Price Distributions Predicted by IBT?
8 Estimating State-Price Densities with Nonparametric Regression
9 Trading on Deviations of Implied and Historical Densities
Part IV Econometrics
10 Multivariate Volatility Models
11 Statistical Process Control
12 An Empirical Likelihood Goodness-of-Fit Test for Diffusions
13 A simple state space model of house prices
14 Long Memory Effects Trading Strategy
15 Locally time homogeneous time series modeling
16 Simulation based Option Pricing
17 Nonparametric Estimators of GARCH Processes
18 Net Based Spreadsheets in Quantitative Finance
Index

 
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