Applied Quantitative Methods for Trading and Investment

Copyright © 2003 John Wiley & Sons, Ltd

Applied Quantitative Methods for Trading and Investment

Editor(s): Christian L. Dunis, Jason Laws, Patrick Naïm

Published Online: 28 JAN 2005

Print ISBN: 9780470848852

Online ISBN: 9780470013267

DOI: 10.1002/0470013265

About this Book

Product Information

About The Product

This book provides a manual on quantitative financial analysis. Focusing on advanced methods for modelling financial markets in the context of practical financial applications, it will cover data, software and techniques that will enable the reader to implement and interpret quantitative methodologies, specifically for trading and investment.

  •  Includes contributions from an international team of academics and quantitative asset managers from Morgan Stanley, Barclays Global Investors, ABN AMRO and Credit Suisse First Boston.
  • Fills the gap for a book on applied quantitative investment & trading models
  • Provides details of how to combine various models to manage and trade a portfolio

Table of contents

    1. You have free access to this content
      Front Matter (pages i–xx)

    2. Chapter 1

      Applications of Advanced Regression Analysis for Trading and Investment (pages 1–40)

      Christian L. Dunis and Mark Williams

    3. Chapter 2

      Using Cointegration to Hedge and Trade International Equities (pages 41–69)

      A. Neil Burgess

    4. Chapter 3

      Modelling the Term Structure of Interest Rates: An Application of Gaussian Affine Models to the German Yield Curve (pages 71–128)

      Nuno Cassola and Jorge Barros Luís

    5. Chapter 4

      Forecasting and Trading Currency Volatility: An Application of Recurrent Neural Regression and Model Combination (pages 129–162)

      Christian L. Dunis and Xuehuan Huang

    6. Chapter 5

      Implementing Neural Networks, Classification Trees, and Rule Induction Classification Techniques: An Application to Credit Risk (pages 163–192)

      George T. Albanis

    7. Chapter 6

      Switching Regime Volatility: An Empirical Evaluation (pages 193–211)

      Bruno B. Roche and Michael Rockinger

    8. Chapter 7

      Quantitative Equity Investment Management with Time-Varying Factor Sensitivities (pages 213–237)

      Yves Bentz

    9. Chapter 8

      Stochastic Volatility Models: A Survey with Applications to Option Pricing and Value at Risk (pages 239–291)

      Monica Billio and Domenico Sartore

    10. Chapter 9

      Portfolio Analysis Using Excel (pages 293–311)

      Jason Laws

    11. Chapter 10

      Applied Volatility and Correlation Modelling Using Excel (pages 313–332)

      Frédérick Bourgoin

    12. Chapter 11

      Optimal Allocation of Trend-Following Rules: An Application Case of Theoretical Results (pages 333–347)

      Pierre Lequeux

    13. Chapter 12

      Portfolio Management and Information from Over-the-Counter Currency Options (pages 349–380)

      Jorge Barros Luís

    14. Chapter 13

      Filling Analysis for Missing Data: An Application to Weather Risk Management (pages 381–399)

      Christian L. Dunis and Vassilios Karalis

    15. You have free access to this content
      Index (pages 401–405)

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