Carol Alexander – Market Risk Analysis: Quantitative Methods in Finance

All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the accompanying CD-ROM . Empirical examples and case studies specific to this volume include:
Principal component analysis of European equity indices;

• Calibration of Student t distribution by maximum likelihood;
• Orthogonal regression and estimation of equity factor models;
• Simulations of geometric Brownian motion, and of correlated Student t variables;
• Pricing European and American options with binomial trees, and European options with the Black-Scholes-Merton formula;
• Cubic spline fitting of yields curves and implied volatilities;
• Solution of Markowitz problem with no short sales and other constraints;
• Calculation of risk adjusted performance metrics including generalised Sharpe ratio, omega and kappa indices.

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