Professor Carol Alexander - Market Risk Analysis: Volume I

Professor Carol Alexander

Market Risk Analysis: Volume I

Volume I: Quantitative Methods in Finance covers the essential mathematical and financial background for subsequent volumes. Although many readers will already be familiar with this material, few competing texts contain such a complete and pedagogical exposition of all the basic quantitative concepts required for market risk analysis. There are six comprehensive chapters covering all the calculus, linear algebra, probability and statistics, numerical methods and portfolio mathematics that are necessary for market risk analysis. This is an ideal background text for a Masters course in finance. Empirical examples and case studies on the CD-ROM include:

Principal component analysis of European equity indices
Calibration of Student t distribution by maximum likelihood
Orthogonal regression and estimation of equity factor models
Simulations of geometric Brownian motion, and of correlated Student t variables
Pricing European and American options with binomial trees, and European options with the Black-Scholes-Merton formula
Cubic spline fitting of yields curves and implied volatilities
Solution of Markowitz problem with no short sales and other constraints
Calculation of risk adjusted performance metrics including generalised Sharpe ratio, omega and kappa indices.