Nonparametric finance. (2018)

• Record Type: Book
• Further Information: Note: Jussi Sakari Klemelä.
• Authors: Klemelä, Jussi, 1965-
• Contents: Preface xxiii 1 Introduction 1 1.1 Statistical Finance 2 1.2 Risk Management 3 1.3 Portfolio Management 5 1.4 Pricing of Securities 6 Part I Statistical Finance 11 2 Financial Instruments 13 2.1 Stocks 13 2.2 Fixed Income Instruments 19 2.3 Derivatives 23 2.4 Data Sets 27 3 Univariate Data Analysis 33 3.1 Univariate Statistics 34 3.2 Univariate Graphical Tools 42 3.3 Univariate ParametricModels 55 3.4 Tail Modeling 61 3.5 Asymptotic Distributions 83 3.6 Univariate Stylized Facts 91 4 Multivariate Data Analysis 95 4.1 Measures of Dependence 95 4.2 Multivariate Graphical Tools 103 4.3 Multivariate ParametricModels 107 4.4 Copulas 111 5 Time Series Analysis 121 5.1 Stationarity and Autocorrelation 122 5.2 Model Free Estimation 128 5.3 Univariate Time Series Models 135 5.4 Multivariate Time Series Models 157 5.5 Time Series Stylized Facts 160 6 Prediction 163 6.1 Methods of Prediction 164 6.2 Forecast Evaluation 170 6.3 Predictive Variables 175 6.4 Asset Return Prediction 182 Part II Risk Management 193 7 Volatility Prediction 195 7.1 Applications of Volatility Prediction 197 7.2 Performance Measures for Volatility Predictors 199 7.3 Conditional Heteroskedasticity Models 200 7.4 Moving Average Methods 205 7.5 State Space Predictors 211 8 Quantiles and Value-at-Risk 219 8.1 Definitions of Quantiles 220 8.2 Applications of Quantiles 223 8.3 Performance Measures for Quantile Estimators 227 8.4 Nonparametric Estimators of Quantiles 233 8.5 Volatility Based Quantile Estimation 240 8.6 Excess Distributions in Quantile Estimation 258 8.7 Extreme ValueTheory in Quantile Estimation 288 8.8 Expected Shortfall 292 Part III Portfolio Management 297 9 Some Basic Concepts of Portfolio Theory 299 9.1 Portfolios and Their Returns 300 9.2 Comparison of Return andWealth Distributions 312 9.3 Multiperiod Portfolio Selection 326 10 Performance Measurement 337 10.1 The Sharpe Ratio 338 10.2 Certainty Equivalent 346 10.3 Drawdown 347 10.4 Alpha and Conditional Alpha 348 10.5 Graphical Tools of Performance Measurement 356 11 Markowitz Portfolios 367 11.1 Variance Penalized Expected Return 369 11.2 Minimizing Variance under a Sufficient Expected Return 372 11.3 Markowitz Bullets 375 11.4 Further Topics in Markowitz Portfolio Selection 381 11.5 Examples of Markowitz Portfolio Selection 383 12 Dynamic Portfolio Selection 385 12.1 Prediction in Dynamic Portfolio Selection 387 12.2 Backtesting Trading Strategies 393 12.3 One Risky Asset 394 12.4 Two Risky Assets 405 Part IV Pricing of Securities 419 13 Principles of Asset Pricing 421 13.1 Introduction to Asset Pricing 422 13.2 Fundamental Theorems of Asset Pricing 430 13.3 Evaluation of Pricing and Hedging Methods 456 14 Pricing by Arbitrage 459 14.1 Futures and the Put–Call Parity 460 14.2 Pricing in Binary Models 466 14.3 Black–Scholes Pricing 485 14.4 Black–Scholes Hedging 505 14.5 Black–Scholes Hedging and Volatility Estimation 515 15 Pricing in IncompleteModels 521 15.1 Quadratic Hedging and Pricing 522 15.2 Utility Maximization 523 15.3 Absolutely Continuous Changes of Measures 530 15.4 GARCH Market Models 534 15.5 Nonparametric Pricing Using Historical Simulation 545 15.6 Estimation of the Risk-Neutral Density 551 15.7 Quantile Hedging 555 16 Quadratic and Local Quadratic Hedging 557 16.1 Quadratic Hedging 558 16.2 Local Quadratic Hedging 583 16.3 Implementations of Local Quadratic Hedging 595 17 Option Strategies 615 17.1 Option Strategies 616 17.2 Profitability of Option Strategies 625 18 Interest Rate Derivatives 649 18.1 Basic Concepts of Interest Rate Derivatives 650 18.2 Interest Rate Forwards 659 18.3 Interest Rate Options 666 18.4 Modeling Interest Rate Markets 669 References 673 Index 681
• Edition: 1st
• Publisher Details: Hoboken, New Jersey : John Wiley & Sons, Inc
• Publication Date: 2018
• Extent: 1 online resource
• Subjects: 332.0151954; Finance -- Statistical methods; Finance -- Mathematical models
• Languages: English
• ISBNs: 9781119409120; 9781119409113
• Related ISBNs: 9781119409106
• Notes: Note: Includes bibliographical references and index.; Note: Description based on CIP data; resource not viewed.
• 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).
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