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Market Models: A Guide to Financial Data Analysis
Market Models provides an authoritative and up-to-date treatment of the use of market data to develop models for financial analysis. Written by a leading figure in the field of financial data analysis, this book is the first of its kind to address the vital techniques required for model selection and development. Model 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. It is important to make the right choices and Carol Alexander's clear exposition provides valuable insights at every stage.
In each of the 13 Chapters, Market Models presents real world illustrations to motivate theoretical developments. The accompanying CD contains spreadsheets with data and programs; this enables you to implement and adapt many of the examples. The pricing of options using normal mixture density functions to model returns; the use of Monte Carlo simulation to calculate the VaR of an options portfolio; modifying the covariance VaR to allow for fat-tailed P&L distributions; the calculation of implied, EWMA and 'historic' volatilities; GARCH volatility term structure forecasting; principal components analysis; and many more are all included.
Carol Alexander brings many new insights to the pricing and hedging of options with her understanding of volatility and correlation, and the uncertainty which surrounds these key determinants of option portfolio risk. Modelling the market risk of portfolios is covered where the main focus is on a linear algebraic approach; the covariance matrix and principal component analysis are developed as key tools for the analysis of financial systems. The traditional time series econometric approach is also explained with coverage ranging from the application cointegration to long-short equity hedge funds, to high-frequency data prediction using neural networks and nearest neighbour algorithms.
Throughout this text the emphasis is on understanding concepts and implementing solutions. It has been designed to be accessible to a very wide the coverage is comprehensive and complete and the technical appendix makes the book largely self-contained.
Market A Guide to Financial Data Analysis is the ideal reference for all those involved in market risk measurement, quantitative trading and investment analysis.
In each of the 13 Chapters, Market Models presents real world illustrations to motivate theoretical developments. The accompanying CD contains spreadsheets with data and programs; this enables you to implement and adapt many of the examples. The pricing of options using normal mixture density functions to model returns; the use of Monte Carlo simulation to calculate the VaR of an options portfolio; modifying the covariance VaR to allow for fat-tailed P&L distributions; the calculation of implied, EWMA and 'historic' volatilities; GARCH volatility term structure forecasting; principal components analysis; and many more are all included.
Carol Alexander brings many new insights to the pricing and hedging of options with her understanding of volatility and correlation, and the uncertainty which surrounds these key determinants of option portfolio risk. Modelling the market risk of portfolios is covered where the main focus is on a linear algebraic approach; the covariance matrix and principal component analysis are developed as key tools for the analysis of financial systems. The traditional time series econometric approach is also explained with coverage ranging from the application cointegration to long-short equity hedge funds, to high-frequency data prediction using neural networks and nearest neighbour algorithms.
Throughout this text the emphasis is on understanding concepts and implementing solutions. It has been designed to be accessible to a very wide the coverage is comprehensive and complete and the technical appendix makes the book largely self-contained.
Market A Guide to Financial Data Analysis is the ideal reference for all those involved in market risk measurement, quantitative trading and investment analysis.
- GenresFinance
514 pages, Hardcover
First published November 15, 2001
4 people are currently reading
72 people want to read
About the author
Carol Alexander
139 books11 followersCAROL ALEXANDER is an award-winning editor, investigative journalist and reporter who has chronicled life and times in the Midwest at five newspapers. She never expected to join the ranks of pig farmers, but is glad she did. Just like the pig, Taylorville, IL is her adopted hometown.
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Displaying 1 - 2 of 2 reviews
March 25, 2021
Bit dated, but give a nice idea what financial modeling used to be / is about. Worth a quick scan if you are just starting in the domain to know where some concepts came from
May 2, 2011
Super knjiga s področja finančnih trgov. Snov je sicer pri nekaterih poglavjih precej matematična. Avtor zelo dobro opiše uporabo GARCH, ARCH in ostalih avtoregresivinih modelov za modeliranje časovnih serij (navdušil sem se predvsem nad asimetričnim GARCH-em-princip ročice, za modeliranje nestanovitnosti Forex trgov). Pri avtorju mi je bilo všeč tudi to, da je zelo kritičen do uporabe BSM opcijskih modelov. Izpostavlja namreč glavno pomanjkljivost teh modelov to je: predpostavka o konstantni nestanovitnosti. Posledično ugotavlja, da so t.i. volatility smile-i v največji meri posledica uporabe napačnega modela za vrednotenje opcij. Izpostavi tudi paradoks uporabe BSM modela za izračun implicitne nestanovitnosti. Skratka idealna knjiga za vse tiste, ki ne verjamejo slepo kar piše v standardni finančni literaturi.
Displaying 1 - 2 of 2 reviews