Capital Structure Trading
Advanced C++ for Computational Finance
Value-at-Risk
Credit Default Swaps and the Credit Crisis
Pricing Counterparty Credit Risk in Credit Crisis
Options and Structured Products
Pricing Credit Derivatives and the Credit Crisis
Statistical Programming in Finance with R
The Heston Stochastic Volatility Model - Pricing, Calibration and Monte Carlo Simulation
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Market-Risk Analysis: Value-at-Risk Models, Volume 4
Carol Alexander
Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. It rests on the basic knowledge of financial mathematics and statistics gained from Volume I, of factor models, principal component analysis, statistical models of volatility and correlation and copulas from Volume II and, from Volume III, knowledge of pricing and hedging financial instruments and of mapping portfolios of similar instruments to risk factors.
ISBN:9780470997888 - 09-Jan-09 - £60.00
