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