Advanced analytical models [[electronic resource] ] : over 800 models and 300 applications from the Basel II Accord to Wall Street and beyond / / Johnathan Mun
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| Autore: |
Mun Johnathan
|
| Titolo: |
Advanced analytical models [[electronic resource] ] : over 800 models and 300 applications from the Basel II Accord to Wall Street and beyond / / Johnathan Mun
|
| Pubblicazione: | Hoboken, N.J., : Wiley, c2008 |
| Descrizione fisica: | 1 online resource (1034 p.) |
| Disciplina: | 003/.3 |
| 332.015118 | |
| Soggetto topico: | Finance - Mathematical models |
| Risk assessment - Mathematical models | |
| Mathematical models | |
| Computer simulation | |
| Note generali: | Includes index. |
| Nota di contenuto: | Advanced Analytical Models: Over 800 Models and 300 Applications from the Basel II Accord to Wall Street and Beyond; Contents; Preface; Software Applications; Part I: Modeling Toolkit and Risk Simulator Applications; INTRODUCTION TO THE MODELING TOOLKIT SOFTWARE; INTRODUCTION TO RISK SIMULATOR; RUNNING A MONTE CARLO SIMULATION; USING FORECAST CHARTS AND CONFIDENCE INTERVALS; CORRELATIONS AND PRECISION CONTROL; TORNADO AND SENSITIVITY TOOLS IN SIMULATION; SENSITIVITY ANALYSIS; DISTRIBUTIONAL FITTING: SINGLE VARIABLE AND MULTIPLE VARIABLES; BOOTSTRAP SIMULATION; HYPOTHESIS TESTING |
| DATA EXTRACTION, SAVING SIMULATION RESULTS, AND GENERATING REPORTSREGRESSION AND FORECASTING DIAGNOSTIC TOOL; STATISTICAL ANALYSIS TOOL; DISTRIBUTIONAL ANALYSIS TOOL; PORTFOLIO OPTIMIZATION; OPTIMIZATION WITH DISCRETE INTEGER VARIABLES; FORECASTING; 1. Analytics- Central Limit Theorem; 2. Analytics- Central Limit Theorem-Winning Lottery Numbers; 3. Analytics- Flaw of Averages; 4. Analytics- Mathematical Integration Approximation Model; 5. Analytics- Projectile Motion; 6. Analytics- Regression Diagnostics; 7. Analytics- Ships in the Night; 8. Analytics- Statistical Analysis | |
| 9. Analytics- Weighting of Ratios10. Credit Analysis- Credit Premium; 11. Credit Analysis- Credit Default Swaps and Credit Spread Options; 12. Credit Analysis- Credit Risk Analysis and Effects on Prices; 13. Credit Analysis- External Debt Ratings and Spread; 14. Credit Analysis- Internal Credit Risk Rating Model; 15. Credit Analysis- Profit Cost Analysis of New Credit; 16. Debt Analysis- Asset-Equity Parity Model; 17. Debt Analysis- Cox Model on Price and Yield of Risky Debt with Mean-Reverting Rates; 18. Debt Analysis- Debt Repayment and Amortization | |
| 19. Debt Analysis- Debt Sensitivity Models20. Debt Analysis- Merton Price of Risky Debt with Stochastic Asset and Interest; 21. Debt Analysis- Vasicek Debt Option Valuation; 22. Debt Analysis- Vasicek Price and Yield of Risky Debt; 23. Decision Analysis- Decision Tree Basics; 24. Decision Analysis- Decision Tree with EVPI, Minimax, and Bayes' Theorem; 25. Decision Analysis- Economic Order Quantity and Inventory Reorder Point; 26. Decision Analysis- Economic Order Quantity and Optimal Manufacturing; 27. Decision Analysis- Expected Utility Analysis; 28. Decision Analysis- Inventory Control | |
| 29. Decision Analysis- Queuing Models30. Exotic Options- Accruals on Basket of Assets; 31. Exotic Options- American, Bermudan, and European Options with Sensitivities; 32. Exotic Options- American Call Option on Foreign Exchange; 33. Exotic Options- American Call Options on Index Futures; 34. Exotic Options- American Call Option with Dividends; 35. Exotic Options- Asian Lookback Options Using Arithmetic Averages; 36. Exotic Options- Asian Lookback Options Using Geometric Averages; 37. Exotic Options- Asset or Nothing Options; 38. Exotic Options- Barrier Options | |
| 39. Exotic Options- Binary Digital Options | |
| Sommario/riassunto: | If you're seeking solutions to advanced and even esoteric problems, Advanced Analytical Models goes beyond theoretical discussions of modeling by facilitating a thorough understanding of concepts and their real-world applications-including the use of embedded functions and algorithms. This reliable resource will equip you with all the tools you need to quantitatively assess risk in a range of areas, whether you are a risk manager, business decision-maker, or investor. |
| Titolo autorizzato: | Advanced analytical models |
| ISBN: | 1-119-19709-0 |
| 1-281-73261-3 | |
| 9786611732615 | |
| 0-470-25811-X | |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910782132403321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
Wiley finance series.