Coverart for item
The Resource Handbook of volatility models and their applications, Luc Bauwens, Christian Hafner, Sebastien Laurent, (electronic resource)

Handbook of volatility models and their applications, Luc Bauwens, Christian Hafner, Sebastien Laurent, (electronic resource)

Label
Handbook of volatility models and their applications
Title
Handbook of volatility models and their applications
Statement of responsibility
Luc Bauwens, Christian Hafner, Sebastien Laurent
Creator
Contributor
Subject
Language
eng
Summary
  • "The main purpose of this handbook is to illustrate the mathematically fundamental implementation of various volatility models in the banking and financial industries, both at home and abroad, through use of real-world, time-sensitive applications. Conceived and written by over two-dozen experts in the field, the focus is to cohesively demonstrate how "volatile" certain statistical decision-making techniques can be when solving a range of financial problems. By using examples derived from consulting projects, current research and course instruction, each chapter in the book offers a systematic understanding of the recent advances in volatility modeling related to real-world situations. Every effort is made to present a balanced treatment between theory and practice, as well as to showcase how accuracy and efficiency in implementing various methods can be used as indispensable tools in assessing volatility rates. Unique to the book is in-depth coverage of GARCH-family models, contagion, and model comparisons between different volatility models. To by-pass tedious computation, software illustrations are presented in an assortment of packages, ranging from R, C++, EXCEL-VBA, Minitab, to JMP/SAS"--
  • "The main purpose of this handbook is to illustrate the mathematically fundamental implementation of various volatility models in the banking and financial industries, both at home and abroad, through use of real-world, time-sensitive applications. Conceived and written by over two-dozen experts in the field, the focus is to cohesively demonstrate how "volatile" certain statistical decision-making techniques can be when solving a range of financial problems. By using examples derived from consulting projects, current research and course instruction, each chapter in the book offers a systematic understanding of the recent advances in volatility modeling related to real-world situations. Every effort is made to present a balanced treatment between theory and practice, as well as to showcase how accuracy and efficiency in implementing various methods can be used as indispensable tools in assessing volatility rates. Unique to the book is in-depth coverage of GARCH-family models, contagion, and model comparisons between different volatility models. To by-pass tedious computation, software illustrations are presented in an assortment of packages, ranging from R, C++, EXCEL-VBA, Minitab, to JMP/SAS"--
  • "The main purpose of this handbook is to illustrate the mathematically fundamental implementation of various volatility models in the banking and financial industries, both at home and abroad, through use of real-world, time-sensitive applications. Conceived and written by over two-dozen experts in the field, the focus is to cohesively demonstrate how "volatile" certain statistical decision-making techniques can be when solving a range of financial problems. By using examples derived from consulting projects, current research and course instruction, each chapter in the book offers a systematic understanding of the recent advances in volatility modeling related to real-world situations. Every effort is made to present a balanced treatment between theory and practice, as well as to showcase how accuracy and efficiency in implementing various methods can be used as indispensable tools in assessing volatility rates. Unique to the book is in-depth coverage of GARCH-family models, contagion, and model comparisons between different volatility models. To by-pass tedious computation, software illustrations are presented in an assortment of packages, ranging from R, C++, EXCEL-VBA, Minitab, to JMP/SAS"--
Assigning source
  • Provided by publisher
  • Provided by publisher
  • Provided by publisher
Cataloging source
DLC
http://library.link/vocab/creatorDate
1952-
http://library.link/vocab/creatorName
Bauwens, Luc
Dewey number
332.01/5195
LC call number
HG1601
LC item number
.B38 2012
http://library.link/vocab/relatedWorkOrContributorDate
1974-
http://library.link/vocab/relatedWorkOrContributorName
  • Hafner, Christian
  • Laurent, Sébastien
Series statement
Wiley handbooks in financial engineering and econometrics
Series volume
3
http://library.link/vocab/subjectName
  • Banks and banking
  • Finance
  • GARCH model
  • BUSINESS & ECONOMICS / Finance
Label
Handbook of volatility models and their applications, Luc Bauwens, Christian Hafner, Sebastien Laurent, (electronic resource)
Instantiates
Publication
Bibliography note
Includes bibliographical references (p. 487-535) and index
Control code
OCM1bookssj0000636247
Dimensions
24 cm.
Dimensions
unknown
Extent
xx, 543 p.
Governing access note
License restrictions may limit access
Isbn
9780470872512
Isbn Type
(hardback)
Lccn
2011044256
Other physical details
ill.
Specific material designation
remote
System control number
(WaSeSS)ssj0000636247
Label
Handbook of volatility models and their applications, Luc Bauwens, Christian Hafner, Sebastien Laurent, (electronic resource)
Publication
Bibliography note
Includes bibliographical references (p. 487-535) and index
Control code
OCM1bookssj0000636247
Dimensions
24 cm.
Dimensions
unknown
Extent
xx, 543 p.
Governing access note
License restrictions may limit access
Isbn
9780470872512
Isbn Type
(hardback)
Lccn
2011044256
Other physical details
ill.
Specific material designation
remote
System control number
(WaSeSS)ssj0000636247

Library Locations

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      1 University Blvd, St. Louis, MO, 63121, US
      38.710138 -90.311107
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