Hedge Fund Modelling and Analysis : An Object Oriented Approach Using C++ /: An Object Oriented Approach Using C++. (2016)

• Record Type: Book
• Further Information: Note: Paul Darbyshire, David Hampton.
• Authors: Darbyshire, Paul; Hampton, David
• Contents: Preface Chapter 1: Essential C++ 1.1 A Brief History of C and C++ 1.2 A Basic C++ Program 1.3 Variables 1.3.1 Characters and Strings 1.3.2 Variable Declarations 1.3.3 Type Casting 1.3.4 Variable Scope 1.3.5 Constants 1.4 Operators 1.4.1 The Assignment Operator 1.4.2 Arithmetic Operators 1.4.3 Relational Operators 1.4.4 Logical Operators 1.4.5 Conditional Operator 1.5 Input and Output 1.6 Control Structures 1.6.1 Branching 1.6.2 Looping 1.6.3 The for Loop 1.6.4 The while Loop 1.6.5 The do … while Loop 1.7 Arrays 1.8 Vectors 1.9 Functions 1.9.1 Call-by-Value vs. Call-by-Reference 1.9.2 Overloading Functions 1.10 Object Oriented Programming 1.10.1 Classes and Abstract Data Types 1.10.2 Encapsulation and Interfaces 1.10.3 Inheritance and Overriding Functions 1.10.4 Polymorphism 1.10.5 An Example of a Class 1.10.6 Getter and Setter Methods 1.10.7 Constructors and Destructors 1.10.8 A More Detailed Class Example 1.10.9 Implementing Inheritance 1.10.10 Operator Overloading Chapter 2: The Hedge Fund Industry 2.1 What are Hedge Funds? 2.2 The Structure of a Hedge Fund 2.2.1 Fund Administrators 2.2.2 Prime Brokers 2.2.3 Custodian, Auditors and Legal 2.3 The Global Hedge Fund Industry 2.3.1 North America 2.3.2 Europe 2.3.3 Asia 2.4 Specialist Investment Techniques 2.4.1 Short Selling 2.4.2 Leverage 2.4.3 Liquidity 2.5 Recent Developments for Hedge Funds 2.5.1 UCITS Hedge Funds 2.5.2 The European Passport 2.5.3 Restrictions on Short Selling Chapter 3: Hedge Fund Data Sources 3.1 Hedge Fund Databases 3.2 Major Hedge Fund Indices 3.2.1 Non-Investable and Investable Indices 3.2.2 Dow Jones Credit Suisse Hedge Fund Indices (www.hedgeindex.com) 3.2.3 Hedge Fund Research (www.hedgefundresearch.com) 3.2.4 FTSE Hedge (www.ftse.com) 3.2.5 Greenwich Alternative Investments (www.greenwichai.com) 3.2.6 Morningstar Alternative Investment Center (http://www.morningstar.com/advisor/alternative-investments.htm) 3.2.7 EDHEC Risk and Asset Management Research Centre (www.edhec-risk.com) 3.3 Database and Index Biases 3.3.1 Survivorship Bias 3.3.2 Instant History Bias 3.4 Benchmarking 3.4.1 Tracking Error Chapter 4: Statistical Analysis 4.1 The Stats Class 4.2 The Utils Class 4.3 The Import Class 4.4 Basic Performance Plots 4.4.1 Value Added Index 4.4.2 Histograms 4.5 Probability Distributions 4.5.1 Populations and Samples 4.6 Probability Density Function 4.7 Cumulative Distribution Function 4.8 The Normal Distribution 4.8.1 Standard Normal Distribution 4.9 Visual Tests for Normality 4.9.1 Inspection 4.9.2 Normal Probability Plot 4.10 Moments of a Distribution 4.10.1 Mean and Standard Deviation 4.10.2 Skew 4.10.3 Kurtosis 4.11 Covariance and Correlation 4.12 Linear Regression 4.12.1 Coefficient of Determination 4.12.2 Residual Plots Chapter 5: Performance Measurement 5.1 The PMetrics Class 5.2 The Intuition Behind Risk-Adjusted Returns 5.2.1 Risk-Adjusted Returns 5.3 Absolute Risk-Adjusted Return Metrics 5.4 The Sharpe Ratio 5.5 Market Models 5.5.1 The Information Ratio 5.5.2 The Treynor Ratio 5.5.3 Jensen’s Alpha 5.5.4 M-Squared 5.6 The Minimum Acceptable Return 5.6.1 The Sortino Ratio 5.6.2 The Omega Ratio Chapter 6: Mean-Variance Optimisation 6.1 The Optimise Class 6.2 Mean-Variance Analysis 6.2.1 Portfolio Return and Variance 6.2.2 The Mean-Variance Optimisation Problem 6.2.3 The Global Minimum Variance Portfolio 6.2.4 Short Sale Constraints Chapter 7: Market Risk Management 7.1 The RMetrics Class 7.2 Value-at-Risk 7.3 Traditional VaR Methods 7.3.1 Historical Simulation 7.3.2 Parametric Method 7.3.3 Monte-Carlo Simulation 7.4 Modified VaR 7.5 Expected Shortfall 7.6 Extreme Value Theory 7.6.1 Block Maxima 7.6.2 Peaks Over Threshold References Index
• Edition: 1st
• Publisher Details: Wiley
• Publication Date: 2016
• Extent: 1 online resource (304 pages)
• Languages: English
• ISBNs: 9781118879566
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.