Market Models. A Guide to Financial Data Analysis by Carol Alexander

Market Models. A Guide to Financial Data Analysis by Carol Alexander

Market Models provides 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 face many decisions about pricing, data, statistical methodology, and model calibration and testing before deployment. Making the right decisions is important, and Carol Alexander’s clear exposition provides valuable insight at every stage.

In each of the 13 chapters, Market Models features real-world illustrations to motivate theoretical developments. The accompanying CD contains spreadsheets with data and programs; This allows you to implement and adapt many of the examples. Pricing options using normal mix density functions to model returns; using the Monte Carlo simulation to calculate the VaR of an options portfolio; modifying the covariance VaR to allow for thick-tail P&L distributions; the calculation of implicit, EWMA and “historical” volatilities; GARCH volatility term structure prediction; principal component analysis; and many more are included.

Carol Alexander brings a wealth of new insight into pricing and hedging options with her understanding of volatility and correlation, and the uncertainty surrounding these key determinants of option portfolio risk. Portfolio market risk modeling is hedged when the primary focus is 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 application cointegration to short- and long-term capital hedge funds, to predicting high-frequency data using neural networks and closest neighboring 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: coverage is complete and comprehensive 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.

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.

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