Multi-factor Models and Signal
Language: English
Published by John Wiley & Sons, 2013
- Hardcover
- New
Condition: New
£ 143.70
Quantity: Over 20 available
Add to basketItem description from seller
Multi-factor Models and Signal Processing Techniques surveys the most widely used factor models employed in the realm of the financial asset pricing field.Über den AutorSerge Darolles is Professor of Finance at Paris-Dauphine U.
Seller Inventory # 448372855
- Title
- Multi-factor Models and Signal
- Author
- Darolles
- Publisher
- John Wiley & Sons
- Publication year
- 2013
- Condition
- New
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 1848214197
- ISBN 13
- 9781848214194
- Seller catalogs
- Importe
With recent outbreaks of multiple large-scale financial crises, amplified by interconnected risk sources, a new paradigm of fund management has emerged. This new paradigm leverages "embedded" quantitative processes and methods to provide more transparent, adaptive, reliable and easily implemented "risk assessment-based" practices.
This book surveys the most widely used factor models employed within the field of financial asset pricing. Through the concrete application of evaluating risks in the hedge fund industry, the authors demonstrate that signal processing techniques are an interesting alternative to the selection of factors (both fundamentals and statistical factors) and can provide more efficient estimation procedures, based on lq regularized Kalman filtering for instance.
With numerous illustrative examples from stock markets, this book meets the needs of both finance practitioners and graduate students in science, econometrics and finance.
"Synopsis" may belong to another edition of this title.
About the Author
Serge Darolles is Professor of Finance at Paris-Dauphine University, Vice-President of QuantValley, co-founder of QAMLab SAS, and member of the Quantitative Management Initiative (QMI) scientific committee. His research interests include financial econometrics, liquidity and hedge fund analysis. He has written numerous articles, which have been published in academic journals.
Patrick Duvaut is currently the Research Director of Telecom ParisTech, France. He is co-founder of QAMLab SAS, and a member of the Quantitative Management Initiative (QMI) scientific committee. His fields of expertise encompass statistical signal processing, digital communications, embedded systems and QUANT finance.
Emmanuelle Jay is co-founder and President of QAMLab SAS. She has worked at Aequam Capital as co-head of R&D since April 2011 and is member of the Quantitative Management Initiative (QMI) scientific committee. Her research interests include SP for finance, quantitative and statistical finance, and hedge fund analysis.
"About the title" may belong to another edition of this title.
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