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Part II: Risk Management
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Part II: Risk Management
by Jussi Klemelä
Nonparametric Finance
Cover
Title Page
Copyright
Preface
Chapter 1: Introduction
1.1 Statistical Finance
1.2 Risk Management
1.3 Portfolio Management
1.4 Pricing of Securities
Part I: Statistical Finance
Chapter 2: Financial Instruments
2.1 Stocks
2.2 Fixed Income Instruments
2.3 Derivatives
2.4 Data Sets
Chapter 3: Univariate Data Analysis
3.1 Univariate Statistics
3.2 Univariate Graphical Tools
3.3 Univariate Parametric Models
3.4 Tail Modeling
3.5 Asymptotic Distributions
3.6 Univariate Stylized Facts
Chapter 4: Multivariate Data Analysis
4.1 Measures of Dependence
4.2 Multivariate Graphical Tools
4.3 Multivariate Parametric Models
4.4 Copulas
Chapter 5: Time Series Analysis
5.1 Stationarity and Autocorrelation
5.2 Model Free Estimation
5.3 Univariate Time Series Models
5.4 Multivariate Time Series Models
5.5 Time Series Stylized Facts
Chapter 6: Prediction
6.1 Methods of Prediction
6.2 Forecast Evaluation
6.3 Predictive Variables
6.4 Asset Return Prediction
Part II: Risk Management
Chapter 7: Volatility Prediction
7.1 Applications of Volatility Prediction
7.2 Performance Measures for Volatility Predictors
7.3 Conditional Heteroskedasticity Models
7.4 Moving Average Methods
7.5 State Space Predictors
Chapter 8: Quantiles and Value-at-Risk
8.1 Definitions of Quantiles
8.2 Applications of Quantiles
8.3 Performance Measures for Quantile Estimators
8.4 Nonparametric Estimators of Quantiles
8.5 Volatility Based Quantile Estimation
8.6 Excess Distributions in Quantile Estimation
8.7 Extreme Value Theory in Quantile Estimation
8.8 Expected Shortfall
Part III: Portfolio Management
Chapter 9: Some Basic Concepts of Portfolio Theory
9.1 Portfolios and Their Returns
9.2 Comparison of Return and Wealth Distributions
9.3 Multiperiod Portfolio Selection
Chapter 10: Performance Measurement
10.1 The Sharpe Ratio
10.2 Certainty Equivalent
10.3 Drawdown
10.4 Alpha and Conditional Alpha
10.5 Graphical Tools of Performance Measurement
Chapter 11: Markowitz Portfolios
11.1 Variance Penalized Expected Return
11.2 Minimizing Variance under a Sufficient Expected Return
11.3 Markowitz Bullets
11.4 Further Topics in Markowitz Portfolio Selection
11.5 Examples of Markowitz Portfolio Selection
Chapter 12: Dynamic Portfolio Selection
12.1 Prediction in Dynamic Portfolio Selection
12.2 Backtesting Trading Strategies
12.3 One Risky Asset
12.4 Two Risky Assets
Part IV: Pricing of Securities
Chapter 13: Principles of Asset Pricing
13.1 Introduction to Asset Pricing
13.2 Fundamental Theorems of Asset Pricing
13.3 Evaluation of Pricing and Hedging Methods
Chapter 14: Pricing by Arbitrage
14.1 Futures and the Put–Call Parity
14.2 Pricing in Binary Models
14.3 Black–Scholes Pricing
14.4 Black–Scholes Hedging
14.5 Black–Scholes Hedging and Volatility Estimation
Chapter 15: Pricing in Incomplete Models
15.1 Quadratic Hedging and Pricing
15.2 Utility Maximization
15.3 Absolutely Continuous Changes of Measures
15.4 GARCH Market Models
15.5 Nonparametric Pricing Using Historical Simulation
15.6 Estimation of the Risk-Neutral Density
15.7 Quantile Hedging
Chapter 16: Quadratic and Local Quadratic Hedging
16.1 Quadratic Hedging
16.2 Local Quadratic Hedging
16.3 Implementations of Local Quadratic Hedging
Chapter 17: Option Strategies
17.1 Option Strategies
17.2 Profitability of Option Strategies
Chapter 18: Interest Rate Derivatives
18.1 Basic Concepts of Interest Rate Derivatives
18.2 Interest Rate Forwards
18.3 Interest Rate Options
18.4 Modeling Interest Rate Markets
References
Index
End User License Agreement
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Chapter 6: Prediction
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Chapter 7: Volatility Prediction
Part II
Risk Management
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