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Applied Quantitative Finance
Overview of attention for book
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
Overall attention for this book and its chapters
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Mentioned by
syllabi
1
institution with syllabi
facebook
1
Facebook page
wikipedia
1
Wikipedia page
Citations
dimensions_citation
15
Dimensions
Readers on
mendeley
15
Mendeley
Book overview
1. Modeling Dependencies with Copulae
2. Quantification of Spread Risk by Means of Historical Simulation
3. A Copula-Based Model of the Term Structure of CDO Tranches
4. VaR in High Dimensional Systems – a Conditional Correlation Approach
5. Rating Migrations
6. Cross- and Autocorrelation in Multi-Period Credit Portfolio Models
7. Risk Measurement with Spectral Capital Allocation
8. Valuation and VaR Computation for CDOs Using Stein’s Method
9. Least Squares Kernel Smoothing of the Implied Volatility Smile
10. Numerics of Implied Binomial Trees
11. Application of Extended Kalman Filter to SPD Estimation
12. Stochastic Volatility Estimation Using Markov Chain Simulation
13. Measuring and Modeling Risk Using High-Frequency Data
14. Valuation of Multidimensional Bermudan Options
15. Multivariate Volatility Models
16. The Accuracy of Long-term Real Estate Valuations
17. Locally Time Homogeneous Time Series Modelling
18. Simulation Based Option Pricing
19. High-Frequency Volatility and Liquidity
20. Statistical Process Control in Asset Management
21. Canonical Dynamics Mechanism of Monetary Policy and Interest Rate
Summary
Syllabi
Facebook
Wikipedia
Dimensions citations
This data is correct as of December 2015 - for more up to date information, please visit
https://opensyllabus.org/
So far, Altmetric has seen this research output assigned in
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syllabus from an institution on Open Syllabus Project.
Institution
Syllabi count
Course subject areas covered
Universität Köln
1
Area and Ethnic Studies