Applied Quantitative Finance

Edited by Wolfgang K. Härdle (), Nikolaus Hautsch () and Ludger Overbeck ()

in Springer Books from Springer

Date: 2008
Edition: 2
ISBN: 978-3-540-69179-2
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Chapters in this book:

Ch 1 Modeling Dependencies with Copulae

Wolfgang Härdle, Ostap Okhrin and Yarema Okhrin

Ch 2 Quantification of Spread Risk by Means of Historical Simulation

Christoph Frisch and Germar Knöchlein

Ch 3 A Copula-Based Model of the Term Structure of CDO Tranches

Umberto Cherubini, Sabrina Mulinacci and Silvia Romagnoli

Ch 4 VaR in High Dimensional Systems – a Conditional Correlation Approach

Helmut Herwartz and Bruno Pedrinha

Ch 5 Rating Migrations

Steffi Höse, Stefan Huschens and Robert Wania

Ch 6 Cross- and Autocorrelation in Multi-Period Credit Portfolio Models

Christoph K. J. Wagner

Ch 7 Risk Measurement with Spectral Capital Allocation

Ludger Overbeck and Maria Sokolova

Ch 8 Valuation and VaR Computation for CDOs Using Stein’s Method

Nicole El Karoui, Ying Jiao and David Kurtz

Ch 9 Least Squares Kernel Smoothing of the Implied Volatility Smile

Matthias Fengler and Qihua Wang

Ch 10 Numerics of Implied Binomial Trees

Wolfgang Härdle and Alena Myšičková

Ch 11 Application of Extended Kalman Filter to SPD Estimation

Zdeněk Hlávka and Marek Svojik

Ch 12 Stochastic Volatility Estimation Using Markov Chain Simulation

Nikolaus Hautsch and Yangguoyi Ou

Ch 13 Measuring and Modeling Risk Using High-Frequency Data

Wolfgang Härdle, Nikolaus Hautsch and Uta Pigorsch

Ch 14 Valuation of Multidimensional Bermudan Options

Shih-Feng Huang and Meihui Guo

Ch 15 Multivariate Volatility Models

Matthias Fengler and Helmut Herwartz

Ch 16 The Accuracy of Long-term Real Estate Valuations

Rainer Schulz, Markus Staiber, Martin Wersing and Axel Werwatz

Ch 17 Locally Time Homogeneous Time Series Modelling

Mstislav Elagin and Vladimir Spokoiny

Ch 18 Simulation Based Option Pricing

Denis Belomestny and Grigori N. Milstein

Ch 19 High-Frequency Volatility and Liquidity

Nikolaus Hautsch and Vahidin Jeleskovic

Ch 20 Statistical Process Control in Asset Management

Vasyl Golosnoy and Wolfgang Schmid

Ch 21 Canonical Dynamics Mechanism of Monetary Policy and Interest Rate

Jenher Jeng, Wei-Fang Niu, Nan-Jye Wang and Shih-Shan Lin

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DOI: 10.1007/978-3-540-69179-2

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