Market Models: A Guide to Financial Data Analysis / Edition 1

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Overview

In part 1, Carol Alexander brings many new insights to the pricing and hedging of options with her understanding of volatility and correlation, and the uncertainty which surrounds these key determinants of option portfolio risk. Modelling the market risk of portfolios is covered in part 2 where the main focus is on a linear algebraic approach; the covariance matrix and principal component analysis are developed as key tools for the analysis of financial systems. The traditional time series econometric approach is explained in part 3, with coverage ranging from the application cointegration to long-short equity hedge funds, to high-frequency data prediction using neural networks and nearest neighbour algorithms .

Throughout this text the emphasis is on understanding concepts and implementing solutions. It has been designed to be accessible to a very wide audience: the coverage is comprehensive and complete and the technical appendix makes the book largely self-contained.

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Product Details

  • ISBN-13: 9780471899754
  • Publisher: Wiley
  • Publication date: 11/28/2001
  • Edition description: BK&CD-ROM
  • Edition number: 1
  • Pages: 514
  • Product dimensions: 7.66 (w) x 9.78 (h) x 1.51 (d)

Meet the Author

CAROL ALEXANDER is Professor of Risk Management at the ISMA Centre, the Business School of Reading University. Prior to this post, she has held positions in both academia and financial institutions at: Gemente Universiteit in Amsterdam; UBS Phillips and Drew; The University of Sussex; Algorithmics Inc. and Nikko Global Holdings.

Professor Alexander has edited many books, most recently 'Risk Management and Analysis: Measuring and Modelling Financial Risk' and 'New Markets and Products' (John Wiley,1998) 'Visions of Risk (FT-Prentice Hall, 2000) and Mastering Risk Volume 2 (FT-Prentice Hall, 2001). For over a decade Professor Alexander has been consulting in risk management and investment analysis, developing solutions for private and commercial clients. She is also a principal of Pennoyer Capital Management, New York. She has published a large number of papers in international academic and professional journals and further details are available

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Table of Contents

Preface.

Acknowledgments.

PART I: VOLATILITY AND CORRELATION ANALYSIS.

Understanding Volatility and Correlation.

Implied Volatility and Correlation.

Moving Average Models.

GARCH Models.

Forecasting Volatility and Correlation.

PART II: MODELLING THE MARKET RISK OF PORTFOLIOS.

Principal Component Analysis.

Covariance Matrices.

Risk Measurement in Factor Models.

Value-At-Risk.

Modelling Non-Normal Returns.

PART III: STATISTICAL MODELS FOR FINANCIAL MARKETS.

Time Series Models.

Cointegration.

Forecasting High-Frequency Data.

Technical Appendices.

A1 Linear Regression.

A2 Statistical Inference.

A3 Residual Analysis.

A4 Data Problems.

A5 Prediction.

A6 Maximum Likelihood Methods.

References.

Tables.

Index.

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