H?rdle W.K., Hautsch N., Overbeck L. Applied Quantitative Finance

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размер 6.77 МБ
добавлен 21 сентября 2011 г.

Berlin, Springer, 2009 . - 448p.

Книга посвящена современным математическим методам финансовой науки. Рассматриваются вопросы расчёта показателя риска VaR, включая использование негауссовских распределений в методе Монте-Карло при помощи "связок" (copula), исторического моделирования и условных корреляций, методы анализа кредитного риска, включая использование кросс- и автокорреляций, метода Стейна и спектрального подхода, проблема подразумеваемой волатильности, включая методы её оценивания, прогноза и использования в опционном ценообразовании и другие.
Для научных работников, аспирантов и студентов по специальности "Финансовая математика" и математиков финансовых компаний.

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