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Market Models: A Guide to Financial Data Analysis ISBN: 0471899755 ISBN13: 9780471899754 Market Models: A Guide to Financial Data Analysis By: Carol Alexander Publisher: John Wiley & Sons Ltd Format: Mixed media product Our Price: 73.60 Discount: 8% RRP: 80.00

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.


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.


Brief Description:

Including a CD containing spreadsheets with data and programs, this book provides a treatment of the use of market data to develop models for financial analysis. Featuring real world illustrations and a technical index, it is useful to all those involved in market risk measurement, quantitative trading and investment analysis.

For Pricing and Availability Click Here