Multi-factor Models and Signal Processing Techniques
Application to Quantitative Finance
With recent outbreaks of multiples large-scale financial crises, amplified by interconnected risk sources, a new paradigm of fund management has emerged. This new paradigm leverages embedded quantitative processes and methods to provide more transparent, adaptive, reliable and easily implemented risk assessment-based practices. This book surveys the most widely used factor models employed within the field of financial asset pricing. Through the concrete application of evaluating risks in the hedge fund industry, the authors demonstrate that signal processing techniques are an interesting alternative to the selection of factors (both fundamen…
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Produktdetails
Weitere Autoren: Jay, Emmanuelle / Duvaut, Patrick
- ISBN: 978-1-118-57740-0
- EAN: 9781118577400
- Produktnummer: 16367930
- Verlag: Wiley
- Sprache: Englisch
- Erscheinungsjahr: 2013
- Seitenangabe: 186 S.
- Plattform: PDF
- Masse: 3'329 KB
Über den Autor
Serge Darolles is Professor of Finance at Paris-Dauphine University, Vice-President of QuantValley, co-founder of QAMLab SAS, and member of the Quantitative Management Initiative (QMI) scientific committee. His research interests include financial econometrics, liquidity and hedge fund analysis. He has written numerous articles, which have been published in academic journals. Patrick Duvaut is currently the Research Director of Telecom ParisTech, France. He is co-founder of QAMLab SAS, and a member of the Quantitative Management Initiative (QMI) scientific committee. His fields of expertise encompass statistical signal processing, digital communications, embedded systems and QUANT finance. Emmanuelle Jay is co-founder and President of QAMLab SAS. She has worked at Aequam Capital as co-head of R&D since April 2011 and is member of the Quantitative Management Initiative (QMI) scientific committee. Her research interests include SP for finance, quantitative and statistical finance, and hedge fund analysis.
1 weiteres Werk von Serges Darolles:
Multi-factor Models and Signal Processing Techniques
Application to Quantitative Finance
Application to Quantitative Finance
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