High-Frequency Trading Models
|
|
|
- Harold Caldwell
- 6 years ago
- Views:
Transcription
1 High-Frequency Trading Models GEWEI YE, Ph.D. WILEY John Wiley & Sons, Inc.
2 Contents Preface Acknowledgments vi xiv PART I Revenue Models of High-Frequency Trading. 1 CHAPTER 1 High-Frequency Trading and Existing Revenue Models 3 What Is High-Frequency Trading? 3 Why High-Frequency Trading Is Important 5 Major High-Frequency Trading Firms in the United States 6 Existing Revenue Models of High-Frequency Trading Operations 8 Categorizing High-Frequency Trading Operations 9 Conclusion 10 CHAPTER 2 Roots of High-Frequency Trading in Revenue Models of Investment Management 13 Revenue Model 1: Investing 14 Revenue Model 2: Investment Banking 1 7 Revenue Model 3: Market Making 18 Revenue Model 4: Trading 18 Revenue Model 5: Cash Management 19 Revenue Model 6: Mergers and Acquisitions 20 Revenue Model 7: Back-Office Activities 20
3 Vi CONTENTS Revenue Model 8: Venture Capital 20 Creating Your Own Revenue Model 21 How to Achieve Success: Four Personal Drivers 22 Conclusion 27 CHAPTER 3 History and Future of High-Frequency Trading with Investment Management 29 Revenue Models in the Future. 30 Investment Management and Financial Institutions 31 High-Frequency Trading and Investment Management 32 Technology Inventions to Drive Financial Inventions 34 The Ultimate Goal for Models and Financial Inventions 34 Conclusion 37 PART II Theoretical Models as Foundation of Computer Algos for High-Frequency Trading 39 CHAPTER 4 Behavioral Economics Models on Loss Aversion 41 What Is Loss Aversion? 41 The Locus Effect 41 Theory and Hypotheses 45 Study 1: The Locus Effect on Inertia Equity 49 Study 2: Assumption 4, and A 2 51 General Discussion 53 Conclusion 55 CHAPTER 5 Loss Aversion in Option Pricing: Integrating Two Nobel Models 57 Demonstrating Loss Aversion with Computer Algos 57 Visualizing the Findings 59 Computer Algos for the Finding 61 Explaining the Finding with the Black-Scholes Formula 63 Conclusion 64
4 Contents vii CHAPTER 6 Expanding the Size of Options in Option Pricing 65 The NBA Event 66 Web Data 67 Theoretical Analysis 69 The NBA Event and the Uncertainty Account 72 Controlled Offline Data 77 General Discussion 80 Conclusion 82 CHAPTER 7 Multinomial Models for Equity Returns 85 Literature Review 87 A Computational Framework: The MDP Model 89 Implicit Consumer Decision Theory 94 Empirical Approaches 102 Analysis 1: Examination of Correlations and a Regression Model 102 Analysis 2: Structural Equation Model 106 Contributions of the ICD Theory 111 Conclusion 115 CHAPTER 8 More Multinomial Models and Signal Detection Models for Risk Propensity 117 Multinomial Models for Retail Investor Growth 117 Deriving Implicit Utility Functions 131 Transforming Likeability Rating Data into Observed Frequencies 140 Signal Detection Theory 143 Assessing a Fund's Performance with SDT 146 Assessing Value at Risk with Risk Propensity of SDT for Portfolio Managers 147 Denning Risk Propensity Surface 148 Conclusion 149
5 ViH CONTENTS CHAPTER 9 Behavioral Economics Models on Fund Switching and Reference Prices 151 What Is VisualFunds for Fund Switching? 151 Behavioral Factors That Affect Fund Switching 152 Theory and Predictions 157 Study 1: Arbitrary Anchoring on Inertia Equity 164 Study 2: Anchor Competition 166 Study 3: Double Log Law 169 Conclusion 179 PART III A Unique Model of Sentiment Asset Pricing Engine for Portfolio Management 181 CHAPTER 10 A Sentiment Asset Pricing Model 185 What Is the Sentiment Asset Pricing Engine? 185 Contributions of SAPE 187 Testing the Effectiveness of SAPE Algos 190 Primary Users of SAPE 191 Three Implementations of SAPE 191 SAPE Extensions: TopTickEngine, FundEngine, PortfolioEngine, and TestEngine 193 Summary on SAPE 194 Alternative Assessment Tools of Macro Investor Sentiment 194 Conclusion 200 CHAPTER 11 SAPE for Portfolio Management- Effectiveness and Strategies 201 Contributions of SAPE to Portfolio Management 202 Intraday Evidence of SAPE Effectiveness 203 Trading Strategies Based on the SAPE Funds 206 Case Study 1: Execution of SAPE Investment Strategies 206 Case Study 2: The Trading Process with SAPE 214 Case Study 3: Advanced Trading Strategies with SAPE 217
6 Contents. ix Creating a Successful Fund with SAPE and High- Frequency Trading 221 Conclusion 223 PART IV New Models of High-Frequency Trading 225 CHAPTER 12 Derivatives 227 What Is a Derivative? 228 Mortgage-Backed Securities: Linking Major Financial Institutions 229 Credit Default Swaps 230 Options and Option Values 231 The Benefits of Using Options 234 Profiting with Options 234 New Profitable Financial Instruments by Writing Options 236 The Black-Scholes Model as a Special Case of the Binomial Model 237 Implied Volatility 238 Volatility Smile 238 Comparing Volatilities over Time 239 Forwards and Futures 240 Pricing an Interest Rate Swap with Prospect Theory 241 Behavioral Investing Based on Behavioral Economics 243 Conclusion 244 CHAPTER 13 Technology Infrastructure for Creating Computer Algos 245 Web Hosting versus Dedicated Web Servers 245 Setting Up a Dedicated Web Server 246 Developing Computer Algos 248 jump-starting Algo Development with PHP Programming 256 Jump-Starting Algo Development with Java Programming 266 Jump-Starting Algo Development with C++ Programming 273 Jump-Starting Algo Development with Flex Programming 274 Jump-Starting Algo Development with SQL 274
7 X CONTENTS Common UNIX/LINUX Commands for Algo Development 276 Conclusion 277 CHAPTER 14 Creating Computer Algos for High-Frequency Trading 279 Getting Probability from Z Score 279 Getting Z Scores from Probability 281 Algos for the Sharpe Ratio 282 Computing Net Present Value 284 Developing a Flex User Interface for Computer Algos 286 Algos for the Black-Scholes Model 290 Computing Volatility with the ARCH Formula 292 Algos for Monte Carlo Simulations 293 Algos for an Efficient Portfolio Frontier 294 Algos for Signal Detection Theory 296 Conclusion 298 Notes 299 References 303 About the Author 313 Index 315
Index. High-Frequency Trading Models By Gewei Ye Copyright 2011 by Gewei Ye.
High-Frequency Trading Models By Gewei Ye Copyright 2011 by Gewei Ye. Index Abstraction, 14 Advanced trading strategies with SAPE Black-Scholes model, 290 292 large cap hedge strategy, 219 large cap long
High-Frequency Trading Models
High-Frequency Trading Models GEWEI YE, Ph.D. John Wiley & Sons, Inc. Copyright C 2011 by Gewei Ye. All rights reserved. Published by John Wiley & Sons, Inc., Hoboken, New Jersey. Published simultaneously
From Financial Engineering to Risk Management. Radu Tunaru University of Kent, UK
Model Risk in Financial Markets From Financial Engineering to Risk Management Radu Tunaru University of Kent, UK \Yp World Scientific NEW JERSEY LONDON SINGAPORE BEIJING SHANGHAI HONG KONG TAIPEI CHENNAI
Handbook of Financial Risk Management
Handbook of Financial Risk Management Simulations and Case Studies N.H. Chan H.Y. Wong The Chinese University of Hong Kong WILEY Contents Preface xi 1 An Introduction to Excel VBA 1 1.1 How to Start Excel
Market Risk Analysis Volume I
Market Risk Analysis Volume I Quantitative Methods in Finance Carol Alexander John Wiley & Sons, Ltd List of Figures List of Tables List of Examples Foreword Preface to Volume I xiii xvi xvii xix xxiii
Risk Finance and Asset Pricing
Risk Finance and Asset Pricing Value, Measurements, and Markets CHARLES S. TAPIERO WILEY John Wiley & Sons, Inc. Contents Introduction xv Who This Book Is For xvi How This Book Is Structured xvii What's
PROBABILITY. Wiley. With Applications and R ROBERT P. DOBROW. Department of Mathematics. Carleton College Northfield, MN
PROBABILITY With Applications and R ROBERT P. DOBROW Department of Mathematics Carleton College Northfield, MN Wiley CONTENTS Preface Acknowledgments Introduction xi xiv xv 1 First Principles 1 1.1 Random
FUNDAMENTALS OF FUTURES AND OPTIONS MARKETS
SEVENTH EDITION FUNDAMENTALS OF FUTURES AND OPTIONS MARKETS GLOBAL EDITION John C. Hull / Maple Financial Group Professor of Derivatives and Risk Management Joseph L. Rotman School of Management University
INTRODUCTION TO THE ECONOMICS AND MATHEMATICS OF FINANCIAL MARKETS. Jakša Cvitanić and Fernando Zapatero
INTRODUCTION TO THE ECONOMICS AND MATHEMATICS OF FINANCIAL MARKETS Jakša Cvitanić and Fernando Zapatero INTRODUCTION TO THE ECONOMICS AND MATHEMATICS OF FINANCIAL MARKETS Table of Contents PREFACE...1
POSSIBILITY CGIA CURRICULUM
LIMITLESSPOSSIBILITY CGIA CURRICULUM CANDIDATES BODY OF KNOWLEDGE FOR 2017 ABOUT CGIA The Chartered Global Investment Analyst (CGIA) is the world s largest and recognized professional body providing approved
for Finance Python Yves Hilpisch Koln Sebastopol Tokyo O'REILLY Farnham Cambridge Beijing
Python for Finance Yves Hilpisch Beijing Cambridge Farnham Koln Sebastopol Tokyo O'REILLY Table of Contents Preface xi Part I. Python and Finance 1. Why Python for Finance? 3 What Is Python? 3 Brief History
Credit Risk Modeling Using Excel and VBA with DVD O. Gunter Loffler Peter N. Posch. WILEY A John Wiley and Sons, Ltd., Publication
Credit Risk Modeling Using Excel and VBA with DVD O Gunter Loffler Peter N. Posch WILEY A John Wiley and Sons, Ltd., Publication Preface to the 2nd edition Preface to the 1st edition Some Hints for Troubleshooting
NINTH EDITION FUNDAMENTALS OF. John C. Hüll
NINTH EDITION FUNDAMENTALS OF FUTURES AND OPTIONS MARKETS John C. Hüll Maple Financial Group Professor of Derivatives and Risk Management Joseph L. Rotman School of Management University of Toronto PEARSON
Bond Evaluation, Selection, and Management
Bond Evaluation, Selection, and Management Second Edition R. STAFFORD JOHNSON WILEY John Wiley &c Sons, Inc. Contents Preface Acknowledgments xvii xxi PART OWE Bond Evaluation 1 CHAPTER 1 Overview of the
DIVIDENDS DIVIDEND POLICY
DIVIDENDS ANE) - DIVIDEND POLICY H. Kent Baker The Robert W. Kolb Series in Finance WILEY John Wiley & Sons, Inc. Contents Acknowledgments XV1 PART I Dividends and Dividend Policy: History, Trends, and
HANDBOOK OF. Market Risk CHRISTIAN SZYLAR WILEY
HANDBOOK OF Market Risk CHRISTIAN SZYLAR WILEY Contents FOREWORD ACKNOWLEDGMENTS ABOUT THE AUTHOR INTRODUCTION XV XVII XIX XXI 1 INTRODUCTION TO FINANCIAL MARKETS t 1.1 The Money Market 4 1.2 The Capital
Financial Models with Levy Processes and Volatility Clustering
Financial Models with Levy Processes and Volatility Clustering SVETLOZAR T. RACHEV # YOUNG SHIN ICIM MICHELE LEONARDO BIANCHI* FRANK J. FABOZZI WILEY John Wiley & Sons, Inc. Contents Preface About the
FIXED INCOME SECURITIES
FIXED INCOME SECURITIES Valuation, Risk, and Risk Management Pietro Veronesi University of Chicago WILEY JOHN WILEY & SONS, INC. CONTENTS Preface Acknowledgments PART I BASICS xix xxxiii AN INTRODUCTION
Finance (FIN) Courses. Finance (FIN) 1
Finance (FIN) 1 Finance (FIN) Courses FIN 5001. Financial Analysis and Strategy. 3 Credit Hours. This course develops the conceptual framework that is used in analyzing the financial management problems
Statistical Models and Methods for Financial Markets
Tze Leung Lai/ Haipeng Xing Statistical Models and Methods for Financial Markets B 374756 4Q Springer Preface \ vii Part I Basic Statistical Methods and Financial Applications 1 Linear Regression Models
The Capital Asset Pricing Model in the 21st Century. Analytical, Empirical, and Behavioral Perspectives
The Capital Asset Pricing Model in the 21st Century Analytical, Empirical, and Behavioral Perspectives HAIM LEVY Hebrew University, Jerusalem CAMBRIDGE UNIVERSITY PRESS Contents Preface page xi 1 Introduction
Introductory Econometrics for Finance
Introductory Econometrics for Finance SECOND EDITION Chris Brooks The ICMA Centre, University of Reading CAMBRIDGE UNIVERSITY PRESS List of figures List of tables List of boxes List of screenshots Preface
Finance MSc Programmes MSF. The following information is applicable for academic year
MSc Finance The following information is applicable for academic year 2018-19 Programme Structure Week Zero Induction Week TERM 1 Weeks 1-10 IB9X60 IB9Y80 IB9Y70 IB9490 Quantitative Asset Pricing Corporate
Master of Science in Finance (MSF) Curriculum
Master of Science in Finance (MSF) Curriculum Courses By Semester Foundations Course Work During August (assigned as needed; these are in addition to required credits) FIN 510 Introduction to Finance (2)
Interest Rate Modeling
Chapman & Hall/CRC FINANCIAL MATHEMATICS SERIES Interest Rate Modeling Theory and Practice Lixin Wu CRC Press Taylor & Francis Group Boca Raton London New York CRC Press is an imprint of the Taylor & Francis
Contents. An Overview of Statistical Applications CHAPTER 1. Contents (ix) Preface... (vii)
Contents (ix) Contents Preface... (vii) CHAPTER 1 An Overview of Statistical Applications 1.1 Introduction... 1 1. Probability Functions and Statistics... 1..1 Discrete versus Continuous Functions... 1..
Tuomo Lampinen Silicon Cloud Technologies LLC
Tuomo Lampinen Silicon Cloud Technologies LLC www.portfoliovisualizer.com Background and Motivation Portfolio Visualizer Tools for Investors Overview of tools and related theoretical background Investment
List of tables List of boxes List of screenshots Preface to the third edition Acknowledgements
Table of List of figures List of tables List of boxes List of screenshots Preface to the third edition Acknowledgements page xii xv xvii xix xxi xxv 1 Introduction 1 1.1 What is econometrics? 2 1.2 Is
MANAGING INVESTMENT PORTFOLIOS
MANAGING INVESTMENT PORTFOLIOS A DYNAMIC PROCESS Third Edition John L. Maginn, CFA Donald L. Tuttle, CFA Dennis W. McLeavey, CFA Jerald E. Pinto, CFA John Wiley & Sons, Inc. CONTENTS Foreword Preface Acknowledgments
Finance MSc Programmes MSF. The following information is applicable for academic year
MSc Finance The following information is applicable for academic year 2017-18 Programme Structure Week Zero Induction Week TERM 1 Weeks 1-10 IB9X60 IB9Y80 IB9Y70 IB9490 Quantitative Asset Pricing Corporate
MSc Finance & Economics
MSc Finance & Economics Programme Structure Week Zero Induction Week TERM 1 Weeks 1-10 EC9760 EC9570 IB9EN0 IB9EM0 Econometrics Microeconomics Asset Pricing Corporate & Investments Financial Mgmt. Week
An Introduction to Derivatives and Risk Management, 7 th edition Don M. Chance and Robert Brooks. Table of Contents
An Introduction to Derivatives and Risk Management, 7 th edition Don M. Chance and Robert Brooks Table of Contents Preface Chapter 1 Introduction Derivative Markets and Instruments Options Forward Contracts
Financial Risk Management
r r Financial Risk Management A Practitioner's Guide to Managing Market and Credit Risk Second Edition STEVEN ALLEN WILEY John Wiley & Sons, Inc. Contents Foreword Preface Acknowledgments About the Author
source experience distilled PUBLISHING BIRMINGHAM - MUMBAI
Python for Finance Build real-life Python applications for quantitative finance and financial engineering Yuxing Yan source experience distilled PUBLISHING BIRMINGHAM - MUMBAI Table of Contents Preface
Risk Management anil Financial Institullons^
Risk Management anil Financial Institullons^ Third Edition JOHN C. HULL WILEY John Wiley & Sons, Inc. Contents Preface ' xix CHAPTBM Introduction! 1 1.1 Risk vs. Return for Investors, 2 1.2 The Efficient
Understanding Investments
Understanding Investments Theories and Strategies Nikiforos T. Laopodis j Routledge Taylor & Francis Croup NEW YORK AND LONDON CONTENTS List of Illustrations Preface xxni xxix Parti Chapter 1 INVESTMENT
Institute of Actuaries of India. Subject. ST6 Finance and Investment B. For 2018 Examinationspecialist Technical B. Syllabus
Institute of Actuaries of India Subject ST6 Finance and Investment B For 2018 Examinationspecialist Technical B Syllabus Aim The aim of the second finance and investment technical subject is to instil
Markov Processes and Applications
Markov Processes and Applications Algorithms, Networks, Genome and Finance Etienne Pardoux Laboratoire d'analyse, Topologie, Probabilites Centre de Mathematiques et d'injormatique Universite de Provence,
Paul Wilmott On Quantitative Finance
Paul Wilmott On Quantitative Finance Paul Wilmott On Quantitative Finance Second Edition www.wilmott.com Copyright 2006 Paul Wilmott Published by John Wiley & Sons Ltd, The Atrium, Southern Gate, Chichester,
ACST829 CAPITAL BUDGETING AND FINANCIAL MODELLING. Semester 1, Department of Actuarial Studies
ACST829 CAPITAL BUDGETING AND FINANCIAL MODELLING Semester 1, 2010 Department of Actuarial Studies MACQUARIE UNIVERSITY FACULTY OF BUSINESS AND ECONOMICS UNIT OUTLINE Year and Semester: Semester 1, 2010
Market Risk Analysis Volume IV. Value-at-Risk Models
Market Risk Analysis Volume IV Value-at-Risk Models Carol Alexander John Wiley & Sons, Ltd List of Figures List of Tables List of Examples Foreword Preface to Volume IV xiii xvi xxi xxv xxix IV.l Value
Managing the Newest Derivatives Risks
Managing the Newest Derivatives Risks Michel Crouhy IXIS Corporate and Investment Bank / A subsidiary of NATIXIS Derivatives 2007: New Ideas, New Instruments, New markets NYU Stern School of Business,
Valuation for M&A. Building Value in Private Companies Second Edition CHRIS M. MELLEN FRANK C. EVANS. John Wiley & Sons, Inc.
Valuation for M&A Building Value in Private Companies Second Edition CHRIS M. MELLEN FRANK C. EVANS WILEY John Wiley & Sons, Inc. Contents Preface Dedication and Acknowledgments XI XV CHAPTER 1 Winning
MSc Financial Mathematics
MSc Financial Mathematics Programme Structure Week Zero Induction Week MA9010 Fundamental Tools TERM 1 Weeks 1-1 0 ST9080 MA9070 IB9110 ST9570 Probability & Numerical Asset Pricing Financial Stoch. Processes
UPDATED IAA EDUCATION SYLLABUS
II. UPDATED IAA EDUCATION SYLLABUS A. Supporting Learning Areas 1. STATISTICS Aim: To enable students to apply core statistical techniques to actuarial applications in insurance, pensions and emerging
MSc Financial Mathematics
MSc Financial Mathematics The following information is applicable for academic year 2018-19 Programme Structure Week Zero Induction Week MA9010 Fundamental Tools TERM 1 Weeks 1-1 0 ST9080 MA9070 IB9110
Volatility Models and Their Applications
HANDBOOK OF Volatility Models and Their Applications Edited by Luc BAUWENS CHRISTIAN HAFNER SEBASTIEN LAURENT WILEY A John Wiley & Sons, Inc., Publication PREFACE CONTRIBUTORS XVII XIX [JQ VOLATILITY MODELS
Semester / Term: -- Workload: 300 h Credit Points: 10
Module Title: Corporate Finance and Investment Module No.: DLMBCFIE Semester / Term: -- Duration: Minimum of 1 Semester Module Type(s): Elective Regularly offered in: WS, SS Workload: 300 h Credit Points:
Contents Part I Descriptive Statistics 1 Introduction and Framework Population, Sample, and Observations Variables Quali
Part I Descriptive Statistics 1 Introduction and Framework... 3 1.1 Population, Sample, and Observations... 3 1.2 Variables.... 4 1.2.1 Qualitative and Quantitative Variables.... 5 1.2.2 Discrete and Continuous
Co p y r i g h t e d Ma t e r i a l
i JWBK850-fm JWBK850-Hilpisch October 13, 2016 14:56 Printer Name: Trim: 244mm 170mm Listed Volatility and Variance Derivatives ii JWBK850-fm JWBK850-Hilpisch October 13, 2016 14:56 Printer Name: Trim:
Financial Theory and Corporate Policy/ THIRD
Financial Theory and Corporate Policy/ THIRD EDITION THOMAS E COPELAND Professor of Finance University of California at Los Angeles Firm Consultant, Finance McKinsey & Company, Inc. J. FRED WESTON Cordner
KAMAKURA RISK MANAGER VERSION 7.0
KAMAKURA RISK MANAGER VERSION 7.0 Limits Manager Limits Management featuring Complete Integration with Risk Management for ALM, Credit Risk, Market Risk, Basel II, FAS 157 and FAS JUNE 2013 www.kamakuraco.com
MFE Course Details. Financial Mathematics & Statistics
MFE Course Details Financial Mathematics & Statistics FE8506 Calculus & Linear Algebra This course covers mathematical tools and concepts for solving problems in financial engineering. It will also help
A Behavioral Approach to Asset Pricing
A Behavioral Approach to Asset Pricing Second Edition Hersh Shefrin Mario L. Belotti Professor of Finance Leavey School of Business Santa Clara University AMSTERDAM BOSTON HEIDELBERG LONDON NEW YORK OXFORD
Fundamentals of Futures and Options Markets
GLOBAL EDITION Fundamentals of Futures and Markets EIGHTH EDITION John C. Hull Editor in Chief: Donna Battista Acquisitions Editor: Katie Rowland Editorial Project Manager: Emily Biberger Editorial Assistant:
SECOND EDITION. MARY R. HARDY University of Waterloo, Ontario. HOWARD R. WATERS Heriot-Watt University, Edinburgh
ACTUARIAL MATHEMATICS FOR LIFE CONTINGENT RISKS SECOND EDITION DAVID C. M. DICKSON University of Melbourne MARY R. HARDY University of Waterloo, Ontario HOWARD R. WATERS Heriot-Watt University, Edinburgh
Chapter -7 CONCLUSION
Chapter -7 CONCLUSION Chapter 7 CONCLUSION Options are one of the key financial derivatives. Subsequent to the Black-Scholes option pricing model, some other popular approaches were also developed to value
FX Barrien Options. A Comprehensive Guide for Industry Quants. Zareer Dadachanji Director, Model Quant Solutions, Bremen, Germany
FX Barrien Options A Comprehensive Guide for Industry Quants Zareer Dadachanji Director, Model Quant Solutions, Bremen, Germany Contents List of Figures List of Tables Preface Acknowledgements Foreword
Table of Contents. Part I. Deterministic Models... 1
Preface...xvii Part I. Deterministic Models... 1 Chapter 1. Introductory Elements to Financial Mathematics.... 3 1.1. The object of traditional financial mathematics... 3 1.2. Financial supplies. Preference
BRIEF CONTENTS. Preface...xv. Part I The Healthcare Environment. Chapter 1. Healthcare Finance Basics...3
BRIEF CONTENTS Preface...xv Part I The Healthcare Environment Chapter 1. Healthcare Finance Basics...3 Chapter 2. Healthcare Insurance and Reimbursement Methodologies...39 Part II Financial Accounting
Finance and Financial Markets
Finance and Financial Markets Second Edition Keith Pilbeam palgrave macmillan Brief contents 1 The world of finance 1 2 Financial intermediation and financial markets 22 3 Financial institutions 39 4 Monetary
A First Course in Probability
A First Course in Probability Seventh Edition Sheldon Ross University of Southern California PEARSON Prentice Hall Upper Saddle River, New Jersey 07458 Preface 1 Combinatorial Analysis 1 1.1 Introduction
DEPARTMENT OF FINANCE. Undergraduate Courses Postgraduate Courses
DEPARTMENT OF FINANCE Undergraduate Courses Postgraduate Courses Undergraduate Courses: FINA 110 Fundamentals of Business Finance [3-0-0:3] For non-sb&m students. Introductory business finance. Topics
MFIN 7003 Module 2. Mathematical Techniques in Finance. Sessions B&C: Oct 12, 2015 Nov 28, 2015
MFIN 7003 Module 2 Mathematical Techniques in Finance Sessions B&C: Oct 12, 2015 Nov 28, 2015 Instructor: Dr. Rujing Meng Room 922, K. K. Leung Building School of Economics and Finance The University of
Graphic-1: Market-Regimes with 4 states
The Identification of Market-Regimes with a Hidden-Markov Model by Dr. Chrilly Donninger Chief Scientist, Sibyl-Project Sibyl-Working-Paper, June 2012 http://www.godotfinance.com/ Financial assets follow
Foundations of Asset Pricing
Foundations of Asset Pricing C Preliminaries C Mean-Variance Portfolio Choice C Basic of the Capital Asset Pricing Model C Static Asset Pricing Models C Information and Asset Pricing C Valuation in Complete
The histogram should resemble the uniform density, the mean should be close to 0.5, and the standard deviation should be close to 1/ 12 =
Chapter 19 Monte Carlo Valuation Question 19.1 The histogram should resemble the uniform density, the mean should be close to.5, and the standard deviation should be close to 1/ 1 =.887. Question 19. The
Implementing Models in Quantitative Finance: Methods and Cases
Gianluca Fusai Andrea Roncoroni Implementing Models in Quantitative Finance: Methods and Cases vl Springer Contents Introduction xv Parti Methods 1 Static Monte Carlo 3 1.1 Motivation and Issues 3 1.1.1
Applied Stochastic Processes and Control for Jump-Diffusions
Applied Stochastic Processes and Control for Jump-Diffusions Modeling, Analysis, and Computation Floyd B. Hanson University of Illinois at Chicago Chicago, Illinois siam.. Society for Industrial and Applied
Week 1 Quantitative Analysis of Financial Markets Distributions B
Week 1 Quantitative Analysis of Financial Markets Distributions B Christopher Ting http://www.mysmu.edu/faculty/christophert/ Christopher Ting : christopherting@smu.edu.sg : 6828 0364 : LKCSB 5036 October
Master s in Financial Engineering Foundations of Buy-Side Finance: Quantitative Risk and Portfolio Management. > Teaching > Courses
Master s in Financial Engineering Foundations of Buy-Side Finance: Quantitative Risk and Portfolio Management www.symmys.com > Teaching > Courses Spring 2008, Monday 7:10 pm 9:30 pm, Room 303 Attilio Meucci
palgrave Shipping Derivatives and Risk Management macmiuan Amir H. Alizadeh & Nikos K. Nomikos
Shipping Derivatives and Risk Management Amir H. Alizadeh & Nikos K. Nomikos Faculty of Finance, Cass Business School, City University, London palgrave macmiuan Contents About the Authors. xv Preface and
Market Volatility and Risk Proxies
Market Volatility and Risk Proxies... an introduction to the concepts 019 Gary R. Evans. This slide set by Gary R. Evans is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International
A Non-Random Walk Down Wall Street
A Non-Random Walk Down Wall Street Andrew W. Lo A. Craig MacKinlay Princeton University Press Princeton, New Jersey list of Figures List of Tables Preface xiii xv xxi 1 Introduction 3 1.1 The Random Walk
A Multi-topic Approach to Building Quant Models. Bringing Semantic Intelligence to Financial Markets
A Multi-topic Approach to Building Quant Models Bringing Semantic Intelligence to Financial Markets Data is growing at an incredible speed Source: IDC - 2014, Structured Data vs. Unstructured Data: The
MODELS FOR QUANTIFYING RISK
MODELS FOR QUANTIFYING RISK THIRD EDITION ROBIN J. CUNNINGHAM, FSA, PH.D. THOMAS N. HERZOG, ASA, PH.D. RICHARD L. LONDON, FSA B 360811 ACTEX PUBLICATIONS, INC. WINSTED, CONNECTICUT PREFACE iii THIRD EDITION
Regulatory Capital Disclosures Report. For the Quarterly Period Ended March 31, 2014
REGULATORY CAPITAL DISCLOSURES REPORT For the quarterly period ended March 31, 2014 Table of Contents Page Part I Overview 1 Morgan Stanley... 1 Part II Market Risk Capital Disclosures 1 Risk-based Capital
Pricing Variance Swaps under Stochastic Volatility Model with Regime Switching - Discrete Observations Case
Pricing Variance Swaps under Stochastic Volatility Model with Regime Switching - Discrete Observations Case Guang-Hua Lian Collaboration with Robert Elliott University of Adelaide Feb. 2, 2011 Robert Elliott,
Frank J. Fabozzi, CFA
SEVENTH EDITION Frank J. Fabozzi, CFA Professor in the Practice of Finance Yale School of Management Boston San Francisco New York London Toronto Sydney Tokyo Singapore Madrid Mexico City Munich Paris
FINANCIAL INSTITUTIONS, MARKETS, AND MONEY
E L E V E N T H E D I T I O N FINANCIAL INSTITUTIONS, MARKETS, AND MONEY International Student Version David S. Kidwell University of Minnesota David W. Blackwell Texas A&M University David A. Whidbee
XLSTAT TIP SHEET FOR BUSINESS STATISTICS CENGAGE LEARNING
XLSTAT TIP SHEET FOR BUSINESS STATISTICS CENGAGE LEARNING INTRODUCTION XLSTAT makes accessible to anyone a powerful, complete and user-friendly data analysis and statistical solution. Accessibility to
Strategic Asset Allocation
Strategic Asset Allocation Caribbean Center for Monetary Studies 11th Annual Senior Level Policy Seminar May 25, 2007 Port of Spain, Trinidad and Tobago Sudhir Rajkumar ead, Pension Investment Partnerships
Provisional Application for United States Patent
Provisional Application for United States Patent TITLE: Unified Differential Economics INVENTORS: Xiaoling Zhao, Amy Abbasi, Meng Wang, John Wang USPTO Application Number: 6235 2718 8395 BACKGROUND Capital
Financial Econometrics Notes. Kevin Sheppard University of Oxford
Financial Econometrics Notes Kevin Sheppard University of Oxford Monday 15 th January, 2018 2 This version: 22:52, Monday 15 th January, 2018 2018 Kevin Sheppard ii Contents 1 Probability, Random Variables
THE INDONESIAN ISLAMIC BANKING Theory and Practices
Rifki Ismal, PhD THE INDONESIAN ISLAMIC BANKING Theory and Practices ^ d publishing TABLE OF CONTENT FOREWORDS..., vii TABLE OF CONTENT xi LIST OF FIGURES,.. '. xvii LIST OF TABLES... '. xxi Chapter 1
ARCH Models and Financial Applications
Christian Gourieroux ARCH Models and Financial Applications With 26 Figures Springer Contents 1 Introduction 1 1.1 The Development of ARCH Models 1 1.2 Book Content 4 2 Linear and Nonlinear Processes 5
PART II INTERNAL TRANSFER PRICING, ACCOUNTING AND AUDITING
Contents Preface Acknowledgments About the author PART I INTRODUCTION 1 1 The History of ALM 3 1.1 The history of the banking industry from antiquity to the Middle Ages 3 1.2 The modern banking industry
NtInsight for ALM. Feature List
NtInsight for ALM Feature List Purpose of NtInsight for ALM The software of choice for advanced asset-liability management. Risk reports for ALM Financial report for each business unit Balance sheet Income
Asset Price Dynamics, Volatility, and Prediction
Asset Price Dynamics, Volatility, and Prediction Stephen J. Taylor Princeton University Press Princeton and Oxford Copyright 2005 by Princeton University Press Published by Princeton University Press,
MFE Course Details. Financial Mathematics & Statistics
MFE Course Details Financial Mathematics & Statistics Calculus & Linear Algebra This course covers mathematical tools and concepts for solving problems in financial engineering. It will also help to satisfy
FOR TRANSFER PRICING
KAMAKURA RISK MANAGER FOR TRANSFER PRICING KRM VERSION 7.0 SEPTEMBER 2008 www.kamakuraco.com Telephone: 1-808-791-9888 Facsimile: 1-808-791-9898 2222 Kalakaua Avenue, 14th Floor, Honolulu, Hawaii 96815,
Market Risk Analysis Volume II. Practical Financial Econometrics
Market Risk Analysis Volume II Practical Financial Econometrics Carol Alexander John Wiley & Sons, Ltd List of Figures List of Tables List of Examples Foreword Preface to Volume II xiii xvii xx xxii xxvi
THE WHARTON SCHOOL Prof. Winston Dou FNCE206 2&3 Spring 2017 Course Syllabus Financial Derivatives
THE WHARTON SCHOOL Prof. Winston Dou FNCE206 2&3 Spring 2017 Course Syllabus Financial Derivatives Course Description This course covers one of the most exciting yet fundamental areas in finance: derivative
Preprint: Will be published in Perm Winter School Financial Econometrics and Empirical Market Microstructure, Springer
STRESS-TESTING MODEL FOR CORPORATE BORROWER PORTFOLIOS. Preprint: Will be published in Perm Winter School Financial Econometrics and Empirical Market Microstructure, Springer Seleznev Vladimir Denis Surzhko,
Content Added to the Updated IAA Education Syllabus
IAA EDUCATION COMMITTEE Content Added to the Updated IAA Education Syllabus Prepared by the Syllabus Review Taskforce Paul King 8 July 2015 This proposed updated Education Syllabus has been drafted by
AMSTERDAM BOSTON HEIDELBERG LONDON NEW YORK OXFORD PARIS SAN DIEGO SAN FRANCISCO SINGAPORE SYDNEY TOKYO Academic Press is an Imprint of Elsevier
Computational Finance Using C and C# Derivatives and Valuation SECOND EDITION George Levy ELSEVIER AMSTERDAM BOSTON HEIDELBERG LONDON NEW YORK OXFORD PARIS SAN DIEGO SAN FRANCISCO SINGAPORE SYDNEY TOKYO
Institute of Actuaries of India Subject CT6 Statistical Methods
Institute of Actuaries of India Subject CT6 Statistical Methods For 2014 Examinations Aim The aim of the Statistical Methods subject is to provide a further grounding in mathematical and statistical techniques
University of Washington at Seattle School of Business and Administration. Asset Pricing - FIN 592
1 University of Washington at Seattle School of Business and Administration Asset Pricing - FIN 592 Office: MKZ 267 Phone: (206) 543 1843 Fax: (206) 221 6856 E-mail: jduarte@u.washington.edu http://faculty.washington.edu/jduarte/
ALTERNATIVE TEXTBOOK:
FINC-UB.0043 Futures and Options Professor Stephen Figlewski Spring 2017 Phone: 212-998-0712 E-mail: sfiglews@stern.nyu.edu Video: Professor Figlewski on Office: MEC 9-64 Why You Should Want to Take this
Can a mimicking synthetic equity structure dominate the risk return profile of corporate bonds?
Can a mimicking synthetic equity structure dominate the risk return profile of corporate bonds? PRELIMINARY DRAFT PLEASE NO NOT QUOTE WITHOUT PERMISSION E. Nouvellon a & H. Pirotte b This version: December