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Applied Quantitative Finance: Theory and Computational Tools
Author(s) -
Sreenivasan Ravi
Publication year - 2004
Publication title -
journal of the royal statistical society: series a (statistics in society)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.103
H-Index - 84
eISSN - 1467-985X
pISSN - 0964-1998
DOI - 10.1111/j.1467-985x.2004.298_10.x
Subject(s) - citation , library science , computer science , mathematical economics , mathematics
The book under review is based on the Center for Applied Statistics and Economics course at Humboldt University in Berlin and is designed for researchers who wish to develop professional skill in modern quantitative applications in finance. This is an electronic book and is designed as an interactive document with a stream of text and information with various hints and links to additional tools and features. The reader can access practical examples without purchasing additional software or material to be downloaded.\ud\udPrerequisite for reading the book is a sound knowledge of probability, statistics and some software applications. The book contains four main parts, each consisting of articles by 30 contributors including the three authors. The contributors are either from universities or from financial institutions. Part I is about value at risk. The three chapters in this part deal with statistical approximations of value at risk in conditional Gaussian models, the calculation of value at risk by using copulas and the quantification of spread risk by means of simulation