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Market Models provides an authoritative and up-to-date treatment of the use of market data to develop models for financial analysis. Written by a leading figure in the field of financial data analysis, this book is the first of its kind to address the vital techniques required for model selection and development. Model developers are faced with many decisions, about the pricing, the data, the statistical methodology and the calibration and testing of the model prior to implementation. It is important to make the right choices and Carol Alexander's clear exposition provides valuable insights at every stage. In each of the 13 Chapters, Market Models presents real world illustrations to motivate theoretical developments. The accompanying CD contains spreadsheets with data and programs; this enables the reader to implement and adapt many of the examples. The pricing of options using normal mixture density functions to model returns; the use of Monte Carlo simulation to calculate the VaR of an options portfolio; modifying the covariance VaR to allow for fat-tailed P&L distributions; the calculation of implied, EWMA and 'historic' volatilities; GARCH volatility term structure forecasting; principal components analysis; and many more are all included. Market Models: A Guide to Financial Data Analysis is the ideal reference for all those involved in market risk measurement, quantitative trading and investment analysis.

Stock price forecasting --- Portfolio management --- Mathematical models --- Mathematical models. --- AA / International- internationaal --- 305.91 --- 339.42 --- -Portfolio management --- -332.63222 --- Investment management --- Investment analysis --- Investments --- Securities --- Forecasting, Stock price --- Security price forecasting --- Stocks --- Business forecasting --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- Financiële analyse. --- Prices --- Forecasting --- 332.63222 --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Financiële analyse --- Stock price forecasting - Mathematical models --- Portfolio management - Mathematical models --- STOCK PRICE FORECASTING --- PORTFOLIO MANAGEMENT --- MATHEMATICAL MODELS --- MATHEMATHICAL MODELS