Carol Alexander – Market Risk Analysis Vol. IV .Value-At-Risk Models

Carol Alexander – Market Risk Analysis Vol. IV .Value-At-Risk Models

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Description

Written by leading market risk academic, Professor Carol Alexander, Pricing, Hedging and Trading Financial Instruments forms part three of the Market Risk Analysis four volume set. This book is an in-depth, practical and accessible guide to the models that are used for pricing and the strategies that are used for hedging financial instruments, and to the markets in which they trade. It provides a comprehensive, rigorous and accessible introduction to bonds, swaps, futures and forwards and options, including variance swaps, volatility indices and their futures and options, to stochastic volatility models and to modelling the implied and local volatility surfaces.
All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include:

• Duration-Convexity approximation to bond portfolios, and portfolio immunization;
• Pricing floaters and vanilla, basis and variance swaps;
• Coupon stripping and yield curve fitting;
• Proxy hedging, and hedging international securities and energy futures portfolios;
• Pricing models for European exotics, including barriers, Asians, look-backs, choosers, capped, contingent, power, quanto, compo, exchange, ‘best-of’ and spread options;
• Libor model calibration;
• Dynamic models for implied volatility based on principal component analysis;
• Calibration of stochastic volatility models (Matlab code);
• Simulations from stochastic volatility and jump models;
• Duration, PV01 and volatility invariant cash flow mappings;
• Delta-gamma-theta-vega mappings for options portfolios;
• Volatility beta mapping to volatility indices.

Technical Analysis Course

How to understand about technical analysis: Learn about technical analysis

In finance, technical analysis is an analysis methodology for forecasting the direction of prices through the study of past market data, primarily price and volume.
Behavioral economics and quantitative analysis use many of the same tools of technical analysis, which,
being an aspect of active management, stands in contradiction to much of modern portfolio theory.
The efficacy of both technical and fundamental analysis is disputed by the efficient-market hypothesis, which states that stock market prices are essentially unpredictable.