Download Applied Quantitative Finance: Theory and Computational Tools by W. Härdle, T. Kleinow, G. Stahl PDF

By W. Härdle, T. Kleinow, G. Stahl

Applied Quantitative Finance offers options, theoretical advancements and technique proliferation for lots of useful difficulties in quantitative finance. the mix of perform and concept supported through computational instruments is mirrored within the choice of themes in addition to in a finely tuned stability of clinical contributions at the functional implementation and theoretical strategies. this idea deals theoreticians perception into the applicability of the technique and, vice versa, practitioners entry to new equipment for his or her purposes.
The publication layout of the textual content hyperlinks concept and computational instruments in an cutting edge means. All "quantlets" for the calculation of given examples within the textual content are executable on an XploRe Quantlet Server (XQS) and will be transformed by means of the reader through the net. The digital variation could be downloaded from the website www.i-xplore.de utilizing the licence and registration quantity on the again conceal.

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Additional resources for Applied Quantitative Finance: Theory and Computational Tools

Example text

The total portfolio value is 62,476 EUR. The covariance matrix for the stocks is provided as well. Using the Black-Scholes model, we also construct the aggregate delta and aggregate gamma as the input to the Quantlet. 01 confidence level, 1 days forecast horizon and 1,000 times of simulation, the result of the estimation is as follows. 24% of portfolio value with less than 1% probability in 1 day. However, the key question of the empirical example is that how much variance reduction is achieved by the different sampling methods.

Longerstaey, J . (1996). Morgan . eom. McKay, M. , Beckman , R. J . and Conover, W. J . (1979). A comparison of three methods for selecting values of input variables in th e analysis of output from a computer code, Technometrics 21(2) : 239-245 . Mina, J. and Ulmer , A. (1999). eom. Delta-gamma four ways, http://www. Pichler, S. and Selitsch, K. (1999). at/ E330/Research/paper-var . pdf . Working Paper TV Wien. Pritsker , M. (1996). upenn. edu/f ie/wf i c/ papers/96/9648. pdf . Wharton Financial Institution s Cent er Working Paper 96-48.

Latin Hypercube Sampling The Latin Hypercube Sampling method was first introduced by McKay, Beckman and Conover (1979). In the Latin Hypercube Sampling method, the range of probable values for each component is divided into N segments of equal probability. Thus, the m-dimensional space, consisting of k parameters, is partitioned into N'" cells, each having equal probability. For example, for the case of dimension m = 2 and N = 10 segments, the parameter space is divided into 10 x 10 cells. The next step is to choose 10 cells from the 10 x 10 cells.

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