Applied Quantitative Finance

By T. Kleinow, Gerhard Stahl. 2002

88 citations recorded by the source corpus.

Value at Risk.- Modeling Dependencies with Copulae.- Quantification of Spread Risk by Means of Historical Simulation.- A Copula-Based Model of the Term Structure of CDO Tranches.- VaR in High Dimensional Systems - a Conditional Correlation Approach.- Credit Risk.- Rating Migrations.- Cross- and Autocorrelation in Multi-Period Credit Portfolio Models.- Risk Measurement with Spectral Capital Allocation.- Valuation and VaR Computation for CDOs Using Stein's Method.- Implied Volatility.- Least Squares Kernel Smoothing of the Implied Volatility Smile.- Numerics of Implied Binomial Trees.- Application of Extended Kalman Filter to SPD Estimation.- Stochastic Volatility Estimation Using Markov Chain Simulation.- Measuring and Modeling Risk Using High-Frequency Data.- Valuation of Multidimensional Bermudan Options.- Econometrics.- Multivariate Volatility Models.- The Accuracy of Long-term Real Estate Valuations.- Locally Time Homogeneous Time Series Modelling.- Simulation Based Option Pricing.- High-Frequency Volatility and Liquidity.- Statistical Process Control in Asset Management.- Canonical Dynamics Mechanism of Monetary Policy and Interest Rate.

Subfields: Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/df1c1c547bcb3114355c0e04f333bdb58e1371b5

Citations in the corpus

• Inhomogeneous Dependence Modeling with Time-Varying Copulae (2009, unknown): “The choice of a small window results in a high pass filtering and hence, in a very unstable estimate with huge variability. The choice of a large window leads to a poor sensitivity of the estimation procedure and in a high delay in reaction on the change of the dependence measured by the parameter θ”