Market Models: A Guide to Financial Data Analysis

3.67 avg rating
( 18 ratings by Goodreads )
 
9780471899754: Market Models: A Guide to Financial Data Analysis
View all copies of this ISBN edition:
 
 

Title: Market Models <>Binding: Hardcover <>Author: Alexander, Carol <>Publisher: Wiley

"synopsis" may belong to another edition of this title.

Synopsis:

"Market Models" provides an authoritative and up-to-date treatment of the use of market data to develop models for financial analysis. Written by a leading figure in the field of financial data analysis, this book is the first of its kind to address the vital techniques required for model selection and development. Model developers are faced with many decisions, about the pricing, the data, the statistical methodology and the calibration and testing of the model prior to implementation. It is important to make the right choices and Carol Alexander's clear exposition provides valuable insights at every stage. In each of the 13 Chapters, "Market Models" presents real world illustrations to motivate theoretical developments. The accompanying CD contains spreadsheets with data and programs; this enables you to implement and adapt many of the examples.

The pricing of options using normal mixture density functions to model returns; the use of Monte Carlo simulation to calculate the VaR of an options portfolio; modifying the covariance VaR to allow for fat-tailed P & L distributions; the calculation of implied, EWMA and 'historic' volatilities; GARCH volatility term structure forecasting; principal components analysis; and many more are all included. 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 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 also explained with coverage ranging from the application co-integration 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. "Market Models: A Guide to Financial Data Analysis" is the ideal reference for all those involved in market risk measurement, quantitative trading and investment analysis.

About 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

"About this title" may belong to another edition of this title.

Other Popular Editions of the Same Title

9788126523702: Market Models: A Guide to Financial Data Analysis

Featured Edition

ISBN 10:  8126523700 ISBN 13:  9788126523702
Publisher: WILEY INDIA, 2009
Softcover

Top Search Results from the AbeBooks Marketplace

1.

Alexander, Carol
Published by Wiley (2001)
ISBN 10: 0471899755 ISBN 13: 9780471899754
New Hardcover Quantity Available: 1
Seller:
Book Deals
(Lewiston, NY, U.S.A.)

Book Description Wiley, 2001. Hardcover. Condition: BRAND NEW. Seller Inventory # 0471899755_abe_bn

More information about this seller | Contact this seller

Buy New
54.60
Convert currency

Add to Basket

Shipping: FREE
Within U.S.A.
Destination, rates & speeds

2.

Carol Alexander
Published by Wiley (2001)
ISBN 10: 0471899755 ISBN 13: 9780471899754
New Hardcover Quantity Available: 1
Seller:
Ergodebooks
(RICHMOND, TX, U.S.A.)

Book Description Wiley, 2001. Hardcover. Condition: New. Seller Inventory # DADAX0471899755

More information about this seller | Contact this seller

Buy New
54.63
Convert currency

Add to Basket

Shipping: FREE
Within U.S.A.
Destination, rates & speeds

3.

Alexander, Carol
Published by Wiley (2001)
ISBN 10: 0471899755 ISBN 13: 9780471899754
New Hardcover Quantity Available: 3
Seller:
Murray Media
(NORTH MIAMI BEACH, FL, U.S.A.)

Book Description Wiley, 2001. Hardcover. Condition: New. Never used!. Seller Inventory # P110471899755

More information about this seller | Contact this seller

Buy New
55.32
Convert currency

Add to Basket

Shipping: FREE
Within U.S.A.
Destination, rates & speeds

4.

Alexander, Carol
ISBN 10: 0471899755 ISBN 13: 9780471899754
New Quantity Available: 1
Seller:
BennettBooksLtd
(San Diego, CA, U.S.A.)

Book Description Condition: New. New. Seller Inventory # S-0471899755

More information about this seller | Contact this seller

Buy New
74.91
Convert currency

Add to Basket

Shipping: 3.80
Within U.S.A.
Destination, rates & speeds

5.

Alexander
ISBN 10: 0471899755 ISBN 13: 9780471899754
New Hardcover Quantity Available: 1
Seller:
Gyan Books Pvt. Ltd.
(Delhi, India)

Book Description 2001. Hardcover. Condition: New. 494 CODE: NEWSELF3831 ISBN: 9780471899754 TITLE: Market Models A Guide TI Financial Data Analysis (HB) AUTHOR: Alexanderold cover maybe old book Language: English. Seller Inventory # SF9780471899754

More information about this seller | Contact this seller

Buy New
97.37
Convert currency

Add to Basket

Shipping: FREE
From India to U.S.A.
Destination, rates & speeds

6.

Alexander, Carol
ISBN 10: 0471899755 ISBN 13: 9780471899754
New Quantity Available: 1
Seller:
BennettBooksLtd
(San Diego, CA, U.S.A.)

Book Description Condition: New. New. Seller Inventory # E-0471899755

More information about this seller | Contact this seller

Buy New
114.72
Convert currency

Add to Basket

Shipping: 3.80
Within U.S.A.
Destination, rates & speeds

7.

Alexander, Carol
Published by John Wiley & Sons Limited, Chichester (2002)
ISBN 10: 0471899755 ISBN 13: 9780471899754
New Hardcover Quantity Available: 1
Seller:
MARCIAL PONS LIBRERO
(MADRID, Spain)

Book Description John Wiley & Sons Limited, Chichester, 2002. Tapa Dura. Condition: New. Seller Inventory # 100667771

More information about this seller | Contact this seller

Buy New
122.51
Convert currency

Add to Basket

Shipping: 11.94
From Spain to U.S.A.
Destination, rates & speeds

8.

Carol Alexander
Published by John Wiley & Sons Inc (2001)
ISBN 10: 0471899755 ISBN 13: 9780471899754
New Hardcover Quantity Available: 1
Seller:
Revaluation Books
(Exeter, United Kingdom)

Book Description John Wiley & Sons Inc, 2001. Hardcover. Condition: Brand New. hardback/cd-rom edition. 494 pages. 10.00x7.75x1.50 inches. In Stock. Seller Inventory # __0471899755

More information about this seller | Contact this seller

Buy New
156.30
Convert currency

Add to Basket

Shipping: 7.50
From United Kingdom to U.S.A.
Destination, rates & speeds