Volume II: Practical Financial Econometrics As a set these books are a radical update and revision of Market Models: a Guide to Financial Data Analysis. They provide a rigorous explanation of the key theoretical ideas that market model developers are faced with, in practical, clear terms. 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 therefore these books help risk managers, quantitative traders and investment analysts make the right decisions. The emphasis throughout is in understanding concepts and implementing solutions, assisted by the use of real-world examples both in the text and, interactively, on the accompanying CDs. All of the CDs contain VBA code Classical Models of Volatility and Correlation; Copulas and their Financial Applications; and Cointegration and Portfolio Management. The author covers GARCH, Copulas and Cointegration (for which there are no other standard texts) in Excel. Real-world case studies cover all the main financial applications with Excel spreadsheets in GARCH, Copulas, and Cointegration, which will also be included on the accompanying CD so that the reader is provided with complete solutions.
Book Details:
- Author: Carol Alexander
- ISBN: 9780470771037
- Year Published: 2008
- Pages: 426
- BISAC: BUS027000, BUSINESS & ECONOMICS/Finance
About the Book and Topic:
Volume II: Practical Financial Econometrics As a set these books are a radical update and revision of Market Models: a Guide to Financial Data Analysis. They provide a rigorous explanation of the key theoretical ideas that market model developers are faced with, in practical, clear terms. 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 therefore these books help risk managers, quantitative traders and investment analysts make the right decisions. The emphasis throughout is in understanding concepts and implementing solutions, assisted by the use of real-world examples both in the text and, interactively, on the accompanying CDs. All of the CDs contain VBA code Classical Models of Volatility and Correlation; Copulas and their Financial Applications; and Cointegration and Portfolio Management. The author covers GARCH, Copulas and Cointegration (for which there are no other standard texts) in Excel. Real-world case studies cover all the main financial applications with Excel spreadsheets in GARCH, Copulas, and Cointegration, which will also be included on the accompanying CD so that the reader is provided with complete solutions.
Statistical modeling, or Financial Econometrics, is the application of statistical theories to economic ones for the purpose of forecasting future trends. Econometrics takes economic models and tests them through statistical trials. The results are then compared and contrasted against real life examples. The two main purposes of econometrics are to give empirical content to economic theory and to subject economic theory to potentially falsifying tests.
AUTHOR TRACK RECORD: Authors previous work Market Models has sold 10,000 copies to date AUTHOR REPUTATION: Author is very well-respected and is recognized in both academic and practitioner communities PRACTICAL BOOK: Numerous real world applications throughout
About the Author
Carol Alexander, Reading UK is Professor of Risk Management and Director of Research at the ICMA Centre, Reading University, UK. Prior to this post, she 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. Carol was a lecturer in Mathematics and Economics for 13 years at Sussex University. From 1996 to 1998 she also worked part-time in the industry, as Academic Director of Algorithmics, a large international enterprise-wide risk management software company. Following this, she worked briefly as full-time Director of Nikko Global Holdings, before returning to Academia. Carol has a PhD in Algebraic Number Theory and a first class BSc in Mathematics with Experimental Psychology from Sussex University and an MSc in Econometrics and Mathematical Economics from the London School of Economics. She holds an honorary professorship at the Academy of Economic Studies in Bucharest. She is Chair of the Academic Advisory Council of the Professional Risk Management InternationalAssociation (PRMIA) risk research advisor for the software company SAS, and director of 2021 solutions Carol has published numerous papers in international academic and professional journals. Her current research interests are in continuous and discrete time volatility and correlation analysis, hedge funds, multifactor pricing models and operational risk. She has edited several books, and is author of Market Models: A Guide to Financial Data Analysis (John Wiley 2001). Since 1990 the professional side of Carol’s career has focussed on developing mathematical models for risk management and investment analysis. Most of her consultancy work involves the design of software for risk management, portfolio optimization and trading.