E-Book Overview
Applied Quantitative Finance presents solutions, theoretical developments and method proliferation for many practical problems in quantitative finance. The combination of practice and theory supported by computational tools is reflected in the selection of topics as well as in a finely tuned balance of scientific contributions on the practical implementation and theoretical concepts. This concept offers theoreticians insight into the applicability of the methodology and, vice versa, practitioners insight into new methods for their applications. The e-book design of the text links theory and computational tools in an innovative way. All "quantlets" for the calculation of given examples in the text are supported by the academic edition of XploRe. The electronic edition of the book enables one to execute and modify all quantlets immediately. The electronic edition can be downloaded at no cost via the attached registration card.
E-Book Content
Applied Quantitative Finance
Wolfgang H¨ ardle Torsten Kleinow Gerhard Stahl In cooperation with G¨ okhan Aydınlı, Oliver Jim Blaskowitz, Song Xi Chen, Matthias Fengler, J¨ urgen Franke, Christoph Frisch, Helmut Herwartz, Harriet Holzberger, Steffi H¨ ose, Stefan Huschens, Kim Huynh, Stefan R. Jaschke, Yuze Jiang Pierre Kervella, R¨ udiger Kiesel, Germar Kn¨ ochlein, Sven Knoth, Jens L¨ ussem, Danilo Mercurio, Marlene M¨ uller, J¨ orn Rank, Peter Schmidt, Rainer Schulz, J¨ urgen Schumacher, Thomas Siegl, Robert Wania, Axel Werwatz, Jun Zheng June 20, 2002
Contents
Preface
xv
Contributors
xix
Frequently Used Notation
xxi
I
Value at Risk
1 Approximating Value at Risk in Conditional Gaussian Models
1 3
Stefan R. Jaschke and Yuze Jiang 1.1
Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . .