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This book provides a manual on quantitative financial analysis. Focusing on advanced methods for modelling financial markets in the context of practical financial applications, it will cover data, software and techniques that will enable the reader to implement and interpret quantitative methodologies, specifically for trading and investment. Includes CD-ROM with samples of different software used in the various models.
Includes contributions from an international team of academics and quantitative asset managers from Morgan Stanley, Barclays Global Investors, ABN AMRO and Credit Suisse First Boston.
Fills the gap for a book on applied quantitative investment & trading models
Provides details of how to combine various models to manage and trade a portfolio

Table of Contents

About the Contributors.

Preface.

1. Applications of Advanced Regression Analysis for Trading and Investment (Christian L. Dunis and Mark Williams).

2. Using Cointegration to Hedge and Trade International Equities (A. Neil Burgess).

3. Modelling the Term Structure of Interest Rates: An Application of Gaussian Affine Models to the German Yield Curve (Nuno Cassola and Jorge Barros Lu?.

4. Forecasting and Trading Currency Volatility: An Application of Recurrent Neural Regression and Model Combination (Christian L. Dunis and Xuehuan Huang).

5. Implementing Neural Networks, Classification Trees, and Rule Induction Classification Techniques: An Application to Credit Risk (George T. Albanis).

6. Switching Regime Volatility: An Empirical Evaluation (Bruno B. Roche and Michael Rockinger).

7. Quantitative Equity Investment Management with Time-Varying Factor Sensitivities (Yves Bentz).

8. Stochastic Volatility Models: A Survey with Applications to Option Pricing and Value at Risk (Monica Billio and Domenico Sartore).

9. Portfolio Analysis Using Excel (Jason Laws).

10. Applied Volatility and Correlation Modelling Using Excel (Frédérick Bourgoin).

11. Optimal Allocation of Trend-Following Rules: An Application Case of Theoretical Results Pierre Lequeux).

12. Portfolio Management and Information from Over-the-Counter Currency Options (Jorge Barros Luís.

13. Filling Analysis for Missing Data: An Application to Weather Risk Management (Christian L. Dunis and Vassilios Karalis.).

Index.

404 pages