Advanced equity derivatives-Volatility and Correlation / Bossu ، Sébastien.، نویسنده

نوع مدرک: متون چاپی سرشناسه Bossu ، Sébastien.، نویسنده شماره بازیابی : HG6024 ‭.A3 B67 2014 عنوان : Advanced equity derivatives-Volatility and Correlation تکرار نام مولف : Sebastien Bossu. صفحه شمار: xx, 152 pages ابعاد : 24 cm. شابک/شاپا 9781118750964 (hardback) یادداشت Includes bibliographical references and index. موضوع‌ها : اصفا Derivative securities. ؛ BUSINESS & ECONOMICS / Finance. چکیده : "In Advanced Equity Derivatives: Volatility and Correlation, Sebastien Bossu reviews and explains the advanced concepts used for pricing and hedging equity exotic derivatives. Designed for financial modelers, option traders and sophisticated investors, the content covers the most important theoretical and practical extensions of the Black-Scholes model. Each chapter includes numerous illustrations and a short selection of problems, covering key topics such as implied volatility surface models, pricing with implied distributions, local volatility models, volatility derivatives, correlation measures, correlation trading, local correlation models and stochastic correlation. Volatility and correlation are remarkably connected through the author's proxy formula which he discovered in 2004, and shares in the book. He also reveals a new derivation using linear algebra (included in Chapter 6), and the proxy formula is then exploited in the following chapters for correlation trading and correlation modeling. The author has a dual professional and academic background, making Advanced Equity Derivatives: Volatility and Correlation the perfect reference for quantitative researchers and mathematically savvy finance professionals looking to acquire an in-depth understanding of equity exotic derivatives pricing and hedging"-- لینک ثابت رکورد: ../opac/index.php?lvl=record_display&id=5941 زبان مدرک : English

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7261	HG6024.A3 ‭B67 2014	کتاب الکترونیکی لاتین	موسسه آموزش عالی بینالود	مدیریت صنعتی	اسناد معمولی	موجود
7467	HG6024.A3 ‭B67 2014	کتاب الکترونیکی لاتین	موسسه آموزش عالی بینالود	مدیریت صنعتی	اسناد معمولی	موجود

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Building winning algorithmic trading systems / Davey ، Kevin J. (1966-)، نویسنده

نوع مدرک: متون چاپی سرشناسه Davey ، Kevin J. (1966-)، نویسنده شماره بازیابی : HG6024 ‭.A3 D38 2014 عنوان : Building winning algorithmic trading systems تکرار نام مولف : Kevin J. Davey. صفحه شمار: xi, 269 pages ابعاد : 24 cm. شابک/شاپا 9781118778982 (pbk.) یادداشت Includes index. موضوع‌ها : اصفا Futures. ؛ Portfolio management. ؛ Investment analysis. ؛ Monte Carlo method. ؛ Electronic trading of securities. ؛ BUSINESS & ECONOMICS / Finance. چکیده : "Award-winning trader Kevin Davey explains how he evolved from a discretionary to a systems trader and began generating triple-digit annual returns. An inveterate systems developer, Davey explains the process of generating a trading idea, validating the idea through statistical analysis, setting entry and exit points, testing, and implementation in the market. Along the way, Davey provides insightful tips culled from his many years of successful trading. He emphasizes the importance of identifying the maximum loss a system is likely to produce and to understand that the higher the returns on a system, the higher the maximum loss. To smooth returns and minimize risk, Davey recommends that a trader utilize more than one system. He provides rules for increasing or decreasing allocation to a system and rules for when to abandon a system. As market patterns change and system performance changes and systems that performed spectacularly in the past may perform poorly going forward. The key for traders is to continue to develop systems in response to markets evolving statistical tendencies and to spread risk among different systems. An associated website will provide spreadsheets and other tools that will enable a reader to automate and test their own trading ideas.Readers will learn:- The systems Davey used to generate triple-digit returns in the World Cup Trading Championships- How to develop an algorithmic approach for around any trading idea, from very simple to the most complex using off-the-shelf software or popular trading platforms.- How to test a system using historical and current market data- How to mine market data for statistical tendencies that may form the basis of a new systemDavey struggled as a trader until he developed an algorithmic approach. In this book, he shows traders how to do the same"-- مندرجات Machine generated contents note: Acknowledgments About the Author Introduction Part 1: A Trader's Journey Chapter 1 The Birth of a Trader Chapter 2 Enough Is Enough Chapter 3 World Cup Championship of Futures Trading(r) Triumph Chapter 4 Making the Leap?Transitioning to Full Time Part 2: Your Trading System Chapter 5 Testing and Evaluating A Trading System Chapter 6 Preliminary Analysis Chapter 7 Detailed Analysis Chapter 8 Designing and Developing Systems Part 3: Developing a Strategy Chapter 9 Strategy Development?Goals and Objectives Chapter 10 Trading Idea Chapter 11 Let's Talk about Data Chapter 12 Limited Testing Chapter 13 In-Depth Testing/Walkforward Analysis Chapter 14 Monte Carlo Analysis and Incubation Chapter 15 Diversification Chapter 16 Position Sizing and Money Management Chapter 17 Documenting the Process Part 4: Creating a System Chapter 18 Goals, Initial and Walkforward Testing Chapter 19 Monte Carlo Testing and Incubation Part 5: Considerations before Going Live Chapter 20 Account and Position Sizing Chapter 21 Trading Psychology Chapter 22 Other Considerations before Going Live Part 6: Monitoring a Live Strategy Chapter 23 The Ins and Outs of Monitoring a Live Strategy Chapter 24 Real Time Part 7: Putting It All Together Chapter 25 Delusions of Grandeur Chapter 26 Conclusion Appendix A Monkey Trading Example, Tradestation Easy Language Code Appendix B Euro Night Strategy, Tradestation Easy Language Format Appendix C Euro Day Strategy, Tradestation Easy Language Format About the Companion Website Index لینک ثابت رکورد: ../opac/index.php?lvl=record_display&id=6210 زبان مدرک : English

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7603	HG6024 ‭.A3 D38 2014	کتاب الکترونیکی لاتین	موسسه آموزش عالی بینالود	مدیریت صنعتی	اسناد معمولی	موجود

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Computational actuarial science with R / / Charpentier ، Arthur

نوع مدرک: متون چاپی سرشناسه Charpentier ، Arthur شماره بازیابی : HG8781 ‭.C637 2014 عنوان : Computational actuarial science with R / تکرار نام مولف : ؛edited by Arthur Charpentier. صفحه شمار: xxxi, 618 pages ویژگی : illustrations ابعاد : 26 cm. شابک/شاپا 9781466592599 (hardback) یادداشت Includes bibliographical references (pages 583-604) and index. شناسه افزوده : Charpentier ، Arthur موضوع‌ها : اصفا Actuarial science. ؛ BUSINESS & ECONOMICS / Finance. ؛ MATHEMATICS / General. ؛ MATHEMATICS / Probability & Statistics / General. چکیده : "This book aims to provide a broad introduction to computational aspects of actuarial science, in the R environment. We assume that the reader is either learning, or is familiar with actuarial science. It can be seen as a companion to standard textbooks on actuarial science. This book is intended for various audiences: students, researchers, and actuaries. As explained in cite Kendrick et al. (2006) (discussing the importance of computational economics) \our thesis is that computational economics o ers a way to improve this situation and to bring new life into the teaching of economics in colleges and universities [...] computational economics provides an opportunity for some students to move away from too much use of the lecture-exam paradigm and more use of a laboratorypaper paradigm in teaching under graduate economics. This opens the door for more creative activity on the part of the students by giving them models developed by previous generations and challenging them to modify those models." Based on the assumption that the same holds for computational actuarial science, we decided to publish this book. As claimed by computational scientists, computational actuarial science might simply refer to modern actuarial science methods. Computational methods started probably in the 1950s with Dwyer (1951) and von Neumann (1951). The rst one emphasized the importance of linear computations, and the second one the importance of massive computations, using random number generations (and Monte Carlo methods), while (at that time) access to digital computers was not widespread"-- لینک ثابت رکورد: ../opac/index.php?lvl=record_display&id=5427 زبان مدرک : English

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6702	HG8781 ‭.C637 2014	کتاب الکترونیکی لاتین	موسسه آموزش عالی بینالود	مدیریت بازرگانی	اسناد معمولی	موجود

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Finance policy for renewable energy and a sustainable environment / / Curley ، Michael، نویسنده

نوع مدرک: متون چاپی سرشناسه Curley ، Michael، نویسنده شماره بازیابی : HC85 ‭.C87 2014 عنوان : Finance policy for renewable energy and a sustainable environment / تکرار نام مولف : ؛Michael Curley. صفحه شمار: xxvi, 232 pages ابعاد : 24 cm. شابک/شاپا 9781439894194 (hardback) یادداشت Includes bibliographical references and index. موضوع‌ها : اصفا Renewable natural resources. ؛ Sustainable development. ؛ Sustainable developmentFinance. ؛ BUSINESS & ECONOMICS / Finance. ؛ NATURE / Environmental Conservation & Protection. ؛ TECHNOLOGY & ENGINEERING / Power Resources / Alternative & Renewable. چکیده : "This book explains how environmental projects and improvements are achieved through the imposition of regulations, on the one hand, and financial incentives on the other. It discusses how those incentives can be organized to achieve the greatest environmental benefits at the lowest possible cost to the public. The book presents the best environmental finance policies to bear on the financing of alternative energy projects so that the ultimate cost of delivered power will decline. It also examines the challenges of the next generation of environmental programs"-- "Preface This is not your average textbook. It is not a compilation of dry facts and drier theories. I started looking into environmental finance issues about 25 years ago. In many cases, I was appalled at what I saw. This book is a reflection of those experiences. I come from Wall Street. I have seen how business deals with financial issues. Financial markets are highly efficient. Government has much to learn. Before Wall Street, I was in politics in New York State. Winston Churchill said, "Democracy is the worst form of government, except for all others that have been tried." He also said, "The best argument against democracy is a five-minute conversation with the average voter." I am not so cynical, but I do see clearly that the exigencies of politics temper all good-hearted attempts to bring business-like efficiencies to environmental finance. I understand why a state legislator would vote for a grant program, even when it is wasteful and foolhardy to do so. I sympathize with them; but that is not going to stop my pointing out the folly of their actions. When colleagues asked me the working title of the book I was writing, I, of course, told them, "Finance Policy for Renewable Energy and a Sustainable Environment." Their next question invariably was, "When did you start writing fiction?" Their point is well taken. There is no finance policy for renewable energy. And, there is no finance policy for a sustainable environment. When I teach Environmental Finance, I often facetiously tell my class that they are listening to the world's greatest expert in environmental finance . . . under one theory that, in the land of the blind, the one-eyed man is king! This point is also well taken. I have been practicing what I call "environmental finance" for the past 25 years"-- لینک ثابت رکورد: ../opac/index.php?lvl=record_display&id=5779 زبان مدرک : English

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7088	HC85 ‭.C87 2014	کتاب الکترونیکی لاتین	موسسه آموزش عالی بینالود	مدیریت صنعتی	اسناد معمولی	موجود

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Handbook of anti-money laundering / / Cox ، Dennis، نویسنده

نوع مدرک: متون چاپی سرشناسه Cox ، Dennis، نویسنده شماره بازیابی : K1089 ‭.C69 2014 عنوان : Handbook of anti-money laundering / تکرار نام مولف : ؛Dennis Cox. ویرایش : 1 صفحه شمار: pages cm شابک/شاپا 9780470065747 (hardback) یادداشت Includes bibliographical references and index. موضوع‌ها : اصفا Money launderingPrevention. ؛ MoneyLaw and legislation ؛ Money laundering investigation. ؛ BUSINESS & ECONOMICS / Finance. چکیده : "Effectively implement comprehensive anti-money laundering regulationsHandbook of Anti-Money Laundering details the most up-to-date regulations and provides practical guidance toward implementation. While most books focus on the regulations themselves, this useful guide goes further by explaining their meaning to bank operations, and how the rules apply to real-life scenarios. The international perspective provides a broader understanding of the anti-money laundering controls that are in place worldwide, with certain country-specific details discussed in-depth. Coverage includes the Wolfsberg Principles, Financial Action Task Force guidance, the U.S. Patriot Act, and the latest from both the EU and Bank for International Settlements.The IMF estimates that two to five per cent of the global GDP - $590 billion to $1.5 trillion - is laundered every year. Globally, banks and other financial institutions have been required to put in place specific arrangements to prevent and detect money laundering and the criminal activity that underlies it. This book provides the latest regulations and guidance toward application. Understand what money laundering regulations mean in practice Reference international and country-specific rules and regulations Get up to speed on the most current regulations and practices Implement the most effective anti-money laundering measures In response to the increased monitoring and regulation, money launderers have become more sophisticated at disguising the source of their funds. Financial institutions' employees must be ever more aware of what they're facing, and how to deal with it, making actionable guidance a critical companion to any regulatory information. For financial institutions seeking more thorough understanding and practical advice, the Handbook of Anti-Money Laundering is a comprehensive guide"-- "Details the most up-to-date anti-money laundering regulations and provides practical guidance toward implementation"-- لینک ثابت رکورد: ../opac/index.php?lvl=record_display&id=6060 زبان مدرک : English

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7405	K1089 ‭.C69 2014	کتاب الکترونیکی لاتین	موسسه آموزش عالی بینالود	مدیریت صنعتی	اسناد معمولی	موجود

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Hedge fund modelling and analysis using MATLAB® / / Darbyshire ، Paul.، نویسنده

نوع مدرک: متون چاپی سرشناسه Darbyshire ، Paul.، نویسنده شماره بازیابی : HG4530 ‭.D373 2014 عنوان : Hedge fund modelling and analysis using MATLAB® / تکرار نام مولف : ؛Paul Darbyshire, David Hampton. صفحه شمار: xv, 188 pages ویژگی : illustrations ابعاد : 23 cm شابک/شاپا 9781119967378 (hbk) یادداشت Includes bibliographical references (pages 179-181) and index. شناسه افزوده : Hampton ، David (1967-) موضوع‌ها : اصفا Hedge fundsMathematical models. ؛ BUSINESS & ECONOMICS / Finance. چکیده : "The second book in Darbyshire and Hampton's Hedge Fund Modelling and Analysis series, Hedge Fund Modelling and Analysis Using MATLAB(r) takes advantage of the huge library of built-in functions and suite of financial and analytic packages available to MATLAB(r). This allows for a more detailed analysis of some of the more computationally intensive and advanced topics, such as hedge fund classification, performance measurement and mean-variance optimisation. Darbyshire and Hampton's first book in the series, Hedge Fund Modelling and Analysis Using Excel & and VBA, is seen as a valuable supplementary text to this book.Starting with an overview of the hedge fund industry the book then looks at a variety of commercially available hedge fund data sources. After covering key statistical techniques and methods, the book discusses mean-variance optimisation, hedge fund classification and performance with an emphasis on risk-adjusted return metrics. Finally, common hedge fund market risk management techniques, such as traditional Value-at-Risk methods, modified extensions and expected shortfall are covered.The book's dedicated website, www.darbyshirehampton.com provides free downloads of all the data and MATLAB(r) source code, as well as other useful resources.Hedge Fund Modelling and Analysis Using MATLAB(r) serves as a definitive introductory guide to hedge fund modelling and analysis and will provide investors, industry practitioners and students alike with a useful range of tools and techniques for analysing and estimating alpha and beta sources of return, performing manager ranking and market risk management"-- مندرجات Machine generated contents note: Preface xi 1 The Hedge Fund Industry 1 1.1 What are Hedge Funds? 1 1.2 The Structure of a Hedge Fund 4 1.3 The Global Hedge Fund Industry 6 1.4 Specialist Investment Techniques 10 1.5 New Developments for Hedge Funds 14 2 Hedge Fund Data Sources 19 2.1 Hedge Fund Databases 19 2.2 Major Hedge Fund Indices 20 2.3 Database and Index Biases 39 2.4 Benchmarking 42 3 Statistical Analysis 45 3.1 Basic Performance Plots 45 3.2 Probability Distributions 49 3.3 Probability Density Function 52 3.4 Cumulative Distribution Function 53 3.5 The Normal Distribution 54 3.5.1 Standard Normal Distribution 55 3.6 Visual Tests for Normality 56 3.7 Moments of a Distribution 58 3.8 Covariance and Correlation 63 3.9 Linear Regression 67 4 Mean-Variance Optimisation 77 4.1 Portfolio Theory 77 4.2 Efficient Portfolios 87 5 Performance Measurement 97 5.1 The Intuition Behind Risk-Adjusted Returns 97 5.2 Absolute Risk-Adjusted Return Metrics 103 5.3 Market Model Risk-Adjusted Return Metrics 110 5.4 MAR and LPM Metrics 125 5.5 Multi-Factor Asset Pricing Extensions 131 6 Hedge Fund Classification 137 6.1 Financial Instrument Building Blocks and Style Groups 137 6.2 Hedge Fund Clusters and Classification 138 7 Market Risk Management 155 7.1 Value-at-Risk 155 7.2 Traditional VaR Methods 159 7.3 Modified VaR 165 7.4 Expected Shortfall 166 7.5 Extreme Value Theory 172 References 179 Index 000 لینک ثابت رکورد: ../opac/index.php?lvl=record_display&id=6082 زبان مدرک : English

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7427	HG4530 ‭.D373 2014	کتاب الکترونیکی لاتین	موسسه آموزش عالی بینالود	مدیریت صنعتی	اسناد معمولی	موجود

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High-frequency financial econometrics / / Aït-Sahalia ، Yacine.، نویسنده

نوع مدرک: متون چاپی سرشناسه Aït-Sahalia ، Yacine.، نویسنده شماره بازیابی : HG106 ‭.A3873 2014 عنوان : High-frequency financial econometrics / تکرار نام مولف : ؛Yacine Aït-Sahalia and Jean Jacod. صفحه شمار: xxiv, 659 pages ویژگی : illustrations ابعاد : 24 cm شابک/شاپا 9780691161433 (hardback) یادداشت Includes bibliographical references (pages 633-656) and index. شناسه افزوده : Jacod ، Jean. موضوع‌ها : اصفا FinanceEconometric models. ؛ Econometrics. ؛ BUSINESS & ECONOMICS / Econometrics. ؛ BUSINESS & ECONOMICS / Finance. ؛ BUSINESS & ECONOMICS / Economics / Theory. چکیده : "High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data. This comprehensive book introduces readers to these emerging methods and tools of analysis.Yacine Aït-Sahalia and Jean Jacod cover the mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and present the asymptotic concepts that their analysis relies on. Aït-Sahalia and Jacod also deal with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model. As they demonstrate, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes.Aït-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike"-- لینک ثابت رکورد: ../opac/index.php?lvl=record_display&id=5935 زبان مدرک : English

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7255	HG106 ‭.A3873 2014	کتاب الکترونیکی لاتین	موسسه آموزش عالی بینالود	مدیریت صنعتی	اسناد معمولی	موجود

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