Applied Quantitative Methods for Trading and Investment ( The Wiley Finance Series )

Publication series ：The Wiley Finance Series

Author： Christian L. Dunis  

Publisher： John Wiley & Sons Inc‎

Publication year： 2004

E-ISBN: 9780470871348

P-ISBN(Hardback):  9780470848852

Subject： F8 Finances

Language： ENG

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Description

This book provides a manual on quantitative financial analysis. Focusing on advanced methods for modelling financial markets in the context of practical financial applications, it will cover data, software and techniques that will enable the reader to implement and interpret quantitative methodologies, specifically for trading and investment.

  •  Includes contributions from an international team of academics and quantitative asset managers from Morgan Stanley, Barclays Global Investors, ABN AMRO and Credit Suisse First Boston.
  • Fills the gap for a book on applied quantitative investment & trading models
  • Provides details of how to combine various models to manage and trade a portfolio

Chapter

Contents

pp.：  1 – 7

About the Contributors

pp.：  7 – 13

Preface

pp.：  13 – 17

1 Applications of Advanced Regression Analysis for Trading and Investment

pp.：  17 – 23

2 Using Cointegration to Hedge and Trade International Equities

pp.：  23 – 63

3 Modelling the Term Structure of Interest Rates: An Application of Gaussian Affine Models to the German Yield Curve

pp.：  63 – 93

4 Forecasting and Trading Currency Volatility: An Application of Recurrent Neural Regression and Model Combination

pp.：  93 – 151

5 Implementing Neural Networks, Classification Trees, and Rule Induction Classification Techniques: An Application to Credit Risk

pp.：  151 – 185

6 Switching Regime Volatility: An Empirical Evaluation

pp.：  185 – 215

7 Quantitative Equity Investment Management with Time-Varying Factor Sensitivities

pp.：  215 – 235

8 Stochastic Volatility Models: A Survey with Applications to Option Pricing and Value at Risk

pp.：  235 – 261

9 Portfolio Analysis Using Excel

pp.：  261 – 315

10 Applied Volatility and Correlation Modelling Using Excel

pp.：  315 – 335

11 Optimal Allocation of Trend-Following Rules: An Application Case of Theoretical Results

pp.：  335 – 355

12 Portfolio Management and Information from Over-the-Counter Currency Options

pp.：  355 – 371

13 Filling Analysis for Missing Data: An Application to Weather Risk Management

pp.：  371 – 403

Index

pp.：  403 – 423

LastPages

pp.：  423 – 427

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