the oxford handbook of quantitative asset management

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The Oxford Handbook Of Quantitative Asset Management

Author : Bernd Scherer
ISBN : 9780199553433
Genre : Business & Economics
File Size : 39. 29 MB
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This book explores the current state of the art in quantitative investment management across seven key areas. Chapters by academics and practitioners working in leading investment management organizations bring together major theoretical and practical aspects of the field.

The Oxford Handbook Of Quantitative Asset Management

Author : Bernd Scherer
ISBN : 9780191624056
Genre : Business & Economics
File Size : 54. 22 MB
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Quantitative portfolio management has become a highly specialized discipline. Computing power and software improvements have advanced the field to a level that would not have been thinkable when Harry Markowitz began the modern era of quantitative portfolio management in 1952. In addition to raw computing power, major advances in financial economics and econometrics have shaped academia and the financial industry over the last 60 years. While the idea of a general theory of finance is still only a distant hope, asset managers now have tools in the financial engineering kit that address specific problems in their industry. The Oxford Handbook of Quantitative Asset Management consists of seven sections that explore major themes in current theoretical and practical use. These themes span all aspects of a modern quantitative investment organization. Contributions from academics and practitioners working in leading investment management organizations bring together the key theoretical and practical aspects of the field to provide a comprehensive overview of the major developments in the area.

The Oxford Handbook Of Credit Derivatives

Author : Alexander Lipton
ISBN : 9780191648250
Genre : Business & Economics
File Size : 35. 94 MB
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From the late 1990s, the spectacular growth of a secondary market for credit through derivatives has been matched by the emergence of mathematical modelling analysing the credit risk embedded in these contracts. This book aims to provide a broad and deep overview of this modelling, covering statistical analysis and techniques, modelling of default of both single and multiple entities, counterparty risk, Gaussian and non-Gaussian modelling, and securitisation. Both reduced-form and firm-value models for the default of single entities are considered in detail, with extensive discussion of both their theoretical underpinnings and practical usage in pricing and risk. For multiple entity modelling, the now notorious Gaussian copula is discussed with analysis of its shortcomings, as well as a wide range of alternative approaches including multivariate extensions to both firm-value and reduced form models, and continuous-time Markov chains. One important case of multiple entities modelling - counterparty risk in credit derivatives - is further explored in two dedicated chapters. Alternative non-Gaussian approaches to modelling are also discussed, including extreme-value theory and saddle-point approximations to deal with tail risk. Finally, the recent growth in securitisation is covered, including house price modelling and pricing models for asset-backed CDOs. The current credit crisis has brought modelling of the previously arcane credit markets into the public arena. Lipton and Rennie with their excellent team of contributors, provide a timely discussion of the mathematical modelling that underpins both credit derivatives and securitisation. Though technical in nature, the pros and cons of various approaches attempt to provide a balanced view of the role that mathematical modelling plays in the modern credit markets. This book will appeal to students and researchers in statistics, economics, and finance, as well as practitioners, credit traders, and quantitative analysts

The Handbook Of Mortgage Backed Securities

Author : Frank J. Fabozzi
ISBN : 9780198785774
Genre : Business & Economics
File Size : 25. 34 MB
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This edition of The Handbook of Mortgage-Backed Securities, the first revision following the subprime mortgage crisis, is designed to provide not only the fundamentals of these securities and the investment characteristics that make them attractive to a broad range of investors, but also extensive coverage on the state-of-the-art strategies for capitalizing on the opportunities in this market. The book is intended for both the individual investor and the professional manager. The volume includes contributions from a wide range of experts most of whom have been actively involved in the evolution of the mortgage-backed securities market.

The Oxford Handbook Of Pensions And Retirement Income

Author : Gordon L. Clark
ISBN : 0199272468
Genre : Business & Economics
File Size : 48. 92 MB
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The Oxford Handbook of Pensions and Retirement Income is the only comprehensive review available of the latest research, policy-related tools, analytical methods and techniques, and major theoretical frameworks and principles of pension and retirement income. Featuring over forty contributions from leading academic and professional experts, the handbook draws on research from a range of academic disciplines to reflect on the implications for current and future provision of pension and retirement income of demographic ageing, the changing financial circumstances of nation states, and globalization. An indispensable desk reference for researchers and practitioners in the area, it is also essential for policymakers and those with broad interests which include this very important area. Contributors: William C. Apgar, Camila Arza, Anthony Asher, Vickie L. Bajtelsmit, Armando Barrientos, Rob Bauer, Gary Burtless, John Y. Campbell, Gordon L. Clark, Adam Creighton, E Philip Davis, Johan J. De Deken, Zhu Xiao Di, Richard Disney, Bernhard Ebbinghaus, Robin Ellison, Ewald Engelen, Gosta Esping-Andersen, Teresa Ghilarducci, Tryggvi Thor Herbertsson, Roy P.M.M. Hoevenaars, Tony Hope, Yu-Wei Hu, Paul Johnson, André Laboul, Florence Legros, David McCarthy, Warren McGillivray, Carmelo Mesa-Lago, Marilyn Moon, Alicia H. Munnell, John Myles, David Neumark, Naohiro Ogawa, J. Michael Orszag, Hanam S. Phang, John Piggott, Eduard Ponds, James Poterba, Neha Sand, Steven Sass, Julian Savulescu, Tom B.M. Steenkamp, Annika Sundén, Noriyuki Takayama, Patricia Thane, Ian Tonks, Bart van Riel, Steven F. Venti, Luis M. Viceira, Noel Whiteside, Geoffrey Whittington, David A. Wise, and Juan Yermo.

Asset Management

Author : Andrew Ang
ISBN : 9780199959327
Genre : Business & Economics
File Size : 41. 37 MB
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Stocks and bonds? Real estate? Hedge funds? Private equity? If you think those are the things to focus on in building an investment portfolio, Andrew Ang has accumulated a body of research that will prove otherwise. In his new book Asset Management: A Systematic Approach to Factor Investing, Ang upends the conventional wisdom about asset allocation by showing that what matters aren't asset class labels but the bundles of overlapping risks they represent. Making investments is like eating a healthy diet, Ang says: you've got to look through the foods you eat to focus on the nutrients they contain. Failing to do so can lead to a serious case of malnutrition - for investors as well as diners. The key, in Ang's view, is bad times, and the fact that every investor's bad times are somewhat different. The notion that bad times are paramount is the guiding principle of the book, which offers a new approach to the age-old problem of where do you put your money? Years of experience,both as a finance professor and as a consultant, have led Ang to see that the traditional approach, with its focus on asset classes, is too crude and ultimately too costly to serve investors adequately. He focuses instead on factor risks," the peculiar sets of hard times that cut across asset classes, and that must be the focus of our attention if we are to weather market turmoil and receive the rewards that come with doing so. Optimally harvesting factor premiums - on our own or by hiring others -r equires identifying your particular set of hard times, and exploiting the difference between them and those of the average investor. Clearly written yet chock-full of the latest research and data, Asset Management will be indispensable reading for trustees, professional money managers, smart private investors, and business students who want to understand the economics behind factor risk premiums, harvest them efficiently in their portfolios, and embark on the search for true alpha."

Causality

Author : Phyllis McKay Illari
ISBN : 9780199662678
Genre : Mathematics
File Size : 21. 60 MB
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Head hits cause brain damage - but not always. Should we ban sport to protect athletes? Exposure to electromagnetic fields is strongly associated with cancer development - does that mean exposure causes cancer? Should we encourage old fashioned communication instead of mobile phones to reduce cancer rates? According to popular wisdom, the Mediterranean diet keeps you healthy. Is this belief scientifically sound? Should public health bodies encourage consumption of fresh fruit and vegetables? Severe financial constraints on research and public policy, media pressure, and public anxiety make such questions of immense current concern not just to philosophers but to scientists, governments, public bodies, and the general public. In the last decade there has been an explosion of theorizing about causality in philosophy, and also in the sciences. This literature is both fascinating and important, but it is involved and highly technical. This makes it inaccessible to many who would like to use it, philosophers and scientists alike. This book is an introduction to philosophy of causality - one that is highly accessible: to scientists unacquainted with philosophy, to philosophers unacquainted with science, and to anyone else lost in the labyrinth of philosophical theories of causality. It presents key philosophical accounts, concepts and methods, using examples from the sciences to show how to apply philosophical debates to scientific problems.

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