دانلود کتاب Applied quantitative finance

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Front Matter ....Pages i-x
Front Matter ....Pages 1-1
VaR in High Dimensional Systems-A Conditional Correlation Approach (H. Herwartz, B. Pedrinha, F. H. C. Raters)....Pages 3-23
Multivariate Volatility Models (M. R. Fengler, H. Herwartz, F. H. C. Raters)....Pages 25-37
Portfolio Selection with Spectral Risk Measures (S. F. Huang, H. C. Lin, T. Y. Lin)....Pages 39-56
Implementation of Local Stochastic Volatility Model in FX Derivatives (J. Zheng, X. Yuan)....Pages 57-69
Front Matter ....Pages 71-71
Estimating Distance-to-Default with a Sector-Specific Liability Adjustment via Sequential Monte Carlo (J.-C. Duan, W.-T. Wang)....Pages 73-91
Risk Measurement with Spectral Capital Allocation (L. Overbeck, M. Sokolova)....Pages 93-111
Market Based Credit Rating and Its Applications (R. S. Tsay, H. Zhu)....Pages 113-128
Using Public Information to Predict Corporate Default Risk (C. N. Peng, J. L. Lin)....Pages 129-151
Stress Testing in Credit Portfolio Models (M. Kalkbrener, L. Overbeck)....Pages 153-176
Penalized Independent Factor (Y. Chen, R. B. Chen, Q. He)....Pages 177-206
Term Structure of Loss Cascades in Portfolio Securitisation (L. Overbeck, C. Wagner)....Pages 207-221
Credit Rating Score Analysis (Wolfgang Karl Härdle, K. F. Phoon, D. K. C. Lee)....Pages 223-244
Front Matter ....Pages 245-245
Copulae in High Dimensions: An Introduction (Ostap Okhrin, Alexander Ristig, Ya-Fei Xu)....Pages 247-277
Measuring and Modeling Risk Using High-Frequency Data (Wolfgang Karl Härdle, N. Hautsch, U. Pigorsch)....Pages 279-294
Measuring Financial Risk in Energy Markets (S. Žiković)....Pages 295-308
Risk Analysis of Cryptocurrency as an Alternative Asset Class (L. Guo, X. J. Li)....Pages 309-329
Time Varying Quantile Lasso (Wolfgang Karl Härdle, W. Wang, L. Zboňáková)....Pages 331-353
Dynamic Topic Modelling for Cryptocurrency Community Forums (M. Linton, E. G. S. Teo, E. Bommes, C. Y. Chen, Wolfgang Karl Härdle)....Pages 355-372
Erratum to: Copulae in High Dimensions: An Introduction (Ostap Okhrin, Alexander Ristig, Ya-Fei Xu)....Pages E1-E1