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Applied Quantitative Finance

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Cover of 'Applied Quantitative Finance'

Table of Contents

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    Book Overview
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    Chapter 1 Modeling Dependencies with Copulae
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    Chapter 2 Quantification of Spread Risk by Means of Historical Simulation
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    Chapter 3 A Copula-Based Model of the Term Structure of CDO Tranches
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    Chapter 4 VaR in High Dimensional Systems – a Conditional Correlation Approach
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    Chapter 5 Rating Migrations
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    Chapter 6 Cross- and Autocorrelation in Multi-Period Credit Portfolio Models
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    Chapter 7 Risk Measurement with Spectral Capital Allocation
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    Chapter 8 Valuation and VaR Computation for CDOs Using Stein’s Method
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    Chapter 9 Least Squares Kernel Smoothing of the Implied Volatility Smile
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    Chapter 10 Numerics of Implied Binomial Trees
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    Chapter 11 Application of Extended Kalman Filter to SPD Estimation
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    Chapter 12 Stochastic Volatility Estimation Using Markov Chain Simulation
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    Chapter 13 Measuring and Modeling Risk Using High-Frequency Data
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    Chapter 14 Valuation of Multidimensional Bermudan Options
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    Chapter 15 Multivariate Volatility Models
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    Chapter 16 The Accuracy of Long-term Real Estate Valuations
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    Chapter 17 Locally Time Homogeneous Time Series Modelling
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    Chapter 18 Simulation Based Option Pricing
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    Chapter 19 High-Frequency Volatility and Liquidity
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    Chapter 20 Statistical Process Control in Asset Management
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    Chapter 21 Canonical Dynamics Mechanism of Monetary Policy and Interest Rate
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1 Facebook page
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1 Wikipedia page

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15 Mendeley
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Title
Applied Quantitative Finance
Published by
Springer Berlin Heidelberg, January 2008
DOI 10.1007/978-3-540-69179-2
ISBNs
978-3-54-069179-2, 978-3-54-069177-8
Authors

Härdle, Wolfgang K, Hautsch, Nikolaus, Overbeck, Ludger

Editors

Härdle, Wolfgang K., Hautsch, Nikolaus, Overbeck, Ludger

Mendeley readers

Mendeley readers

The data shown below were compiled from readership statistics for 15 Mendeley readers of this research output. Click here to see the associated Mendeley record.

Geographical breakdown

Country Count As %
Unknown 15 100%

Demographic breakdown

Readers by professional status Count As %
Researcher 4 27%
Student > Postgraduate 3 20%
Lecturer 1 7%
Student > Doctoral Student 1 7%
Professor 1 7%
Other 3 20%
Unknown 2 13%
Readers by discipline Count As %
Economics, Econometrics and Finance 5 33%
Business, Management and Accounting 2 13%
Computer Science 2 13%
Mathematics 1 7%
Physics and Astronomy 1 7%
Other 2 13%
Unknown 2 13%