Applied Quantitative Methods for Trading and Investment
Wiley Finance Series
1. Edition September 2003
426 Pages, Hardcover
Wiley & Sons Ltd
Short Description
This book sets out to provide a manual on applied quantitative financial analysis. Aiming to focus on advanced methods for modelling financial markets in the context of practical financial applications, the book includes data, software and techniques that will enable the reader to implement and interpret quantitative methodologies, specifically for trading and investment.
This book provides a manual on quantitative financial analysis. Focusing on advanced methods for modelling financial markets in the context of practical financial applications, it will cover data, software and techniques that will enable the reader to implement and interpret quantitative methodologies, specifically for trading and investment. Includes CD-ROM with samples of different software used in the various models.
* Includes contributions from an international team of academics and quantitative asset managers from Morgan Stanley, Barclays Global Investors, ABN AMRO and Credit Suisse First Boston.
* Fills the gap for a book on applied quantitative investment & trading models
* Provides details of how to combine various models to manage and trade a portfolio
Preface.
1. Applications of Advanced Regression Analysis for Trading and Investment (Christian L. Dunis and Mark Williams).
2. Using Cointegration to Hedge and Trade International Equities (A. Neil Burgess).
3. Modelling the Term Structure of Interest Rates: An Application of Gaussian Affine Models to the German Yield Curve (Nuno Cassola and Jorge Barros Lu).
4. Forecasting and Trading Currency Volatility: An Application of Recurrent Neural Regression and Model Combination (Christian L. Dunis and Xuehuan Huang).
5. Implementing Neural Networks, Classification Trees, and Rule Induction Classification Techniques: An Application to Credit Risk (George T. Albanis).
6. Switching Regime Volatility: An Empirical Evaluation (Bruno B. Roche and Michael Rockinger).
7. Quantitative Equity Investment Management with Time-Varying Factor Sensitivities (Yves Bentz).
8. Stochastic Volatility Models: A Survey with Applications to Option Pricing and Value at Risk (Monica Billio and Domenico Sartore).
9. Portfolio Analysis Using Excel (Jason Laws).
10. Applied Volatility and Correlation Modelling Using Excel (Frédérick Bourgoin).
11. Optimal Allocation of Trend-Following Rules: An Application Case of Theoretical Results Pierre Lequeux).
12. Portfolio Management and Information from Over-the-Counter Currency Options (Jorge Barros Luís.
13. Filling Analysis for Missing Data: An Application to Weather Risk Management (Christian L. Dunis and Vassilios Karalis.).
Index.
JASON LAWS is a Lecturer in International Banking and Finance at Liverpool John Moores University. He is also the Course Director for the M.Sc. in International Banking, Economics and Finance at Liverpool Business School. He has taught extensively in the area of investment theory and derivative securities at all levels, both in the UK and in Asia. Jason is also an active member of CIBEF, and has published in a number of academic journals. His research interests are focussed on volatility modelling and the implementation of trading strategies.
PATRICK NAÏM is an engineer of the École Centrale de Paris. He is the founder and chairman of Elseware, a company specialising in the application of nonlinear methods to financial management problems. He is currently working for some of the largest French institutions and co-ordinating research projects in the field at European level.
