Courses Infomation
Market Models. A Guide to Financial Data Analysis by Carol Alexander
Market Models. A Guide to Financial Data Analysis by Carol Alexander
Forex Trading – Foreign Exchange Course
You want to learn about Forex?
Foreign exchange, or forex, is the conversion of one country’s currency into another.
In a free economy, a country’s currency is valued according to the laws of supply and demand.
In other words, a currency’s value can be pegged to another country’s currency, such as the U.S. dollar, or even to a basket of currencies.
A country’s currency value may also be set by the country’s government.
However, most countries float their currencies freely against those of other countries, which keeps them in constant fluctuation.
Market Models provides an authoritative and up-to-date treatment of the use of market data to develop models for financial analysis. Written by a leading figure in the field of financial data analysis, this book is the first of its kind to address the vital techniques required for model selection and development. Model developers are faced with many decisions, about the pricing, the data, the statistical methodology and the calibration and testing of the model prior to implementation. It is important to make the right choices and Carol Alexander’s clear exposition provides valuable insights at every stage.
In each of the 13 Chapters, Market Models presents real world illustrations to motivate theoretical developments. The accompanying CD contains spreadsheets with data and programs; this enables you to implement and adapt many of the examples. The pricing of options using normal mixture density functions to model returns; the use of Monte Carlo simulation to calculate the VaR of an options portfolio; modifying the covariance VaR to allow for fat-tailed P&L distributions; the calculation of implied, EWMA and ‘historic’ volatilities; GARCH volatility term structure forecasting; principal components analysis; and many more are all included.
Carol Alexander brings many new insights to the pricing and hedging of options with her understanding of volatility and correlation, and the uncertainty which surrounds these key determinants of option portfolio risk. Modelling the market risk of portfolios is covered where the main focus is on a linear algebraic approach; the covariance matrix and principal component analysis are developed as key tools for the analysis of financial systems. The traditional time series econometric approach is also explained with coverage ranging from the application cointegration to long-short equity hedge funds, to high-frequency data prediction using neural networks and nearest neighbour algorithms.
Throughout this text the emphasis is on understanding concepts and implementing solutions. It has been designed to be accessible to a very wide audience: the coverage is comprehensive and complete and the technical appendix makes the book largely self-contained.
Market Models: A Guide to Financial Data Analysis is the ideal reference for all those involved in market risk measurement, quantitative trading and investment analysis.
Salepage : Market Models. A Guide to Financial Data Analysis by Carol Alexander
About Author
Carol Alexander
Carol Alexander is Professor of Finance at Sussex University Business School, Visiting Professor at Peking University HSBC Business School and Co-Editor of the Journal of Banking and Finance. Her current research focusses on practical and regulatory issues with cryptocurrency derivatives markets, such as information flows to and from unregulated exchanges, their novel market mechanisms such as auto deleveraging, and the design of tradable indexes. With Douglas Cumming (Florida University) she edited the book ‘Corruption and Fraud in Financial Markets: Malpractice, Misconduct and Manipulation (Wiley, 2020). She also publishes widely on a broad range of other topics in quantitative finance, including risk management, asset pricing, benchmarking and indexing. She is sole author of the best-selling 4-volume text ‘Market Risk Analysis’ (Wiley, 2008). She holds two patents (with NYSE) for pricing and hedging active ETFs. From 2010 – 2012 Carol was Chair of the Board of the Professional Risk Manager’s International Association. She holds degrees from the University of Sussex and the London School of Economics and she has held several positions in financial institutions: Fixed Income Trader at UBS/Phillips and Drew (UK); Academic Director of Algorithmics (Canada); Director of Nikko Global Holdings and Head of Market Risk Modeling (UK); Risk Research Advisor, SAS (USA). Recently, she designed and implemented the first live-streamed bitcoin implied volatility index (for CryptoCompare, the cryptocurrency data provider).
Reviews
There are no reviews yet.