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Financial Modeling of the Equity Market
An inside look at modern approaches to modeling equity portfolios Financial Modeling of the Equity Market is the most comprehensive, up-to-date guide to modeling equity portfolios. The book is intended for a wide range of quantitative analysts, practitioners, and students of finance. Without sacrificing mathematical rigor, it presents arguments in a concise and clear style with a wealth of real-world examples and practical simulations. This book presents all the major approaches to single-period return analysis, including modeling, estimation, and optimization issues. It covers both static and dynamic factor analysis, regime shifts, long-run modeling, and cointegration. Estimation issues, in...
Robust Portfolio Optimization and Management
Praise for Robust Portfolio Optimization and Management "In the half century since Harry Markowitz introduced his elegant theory for selecting portfolios, investors and scholars have extended and refined its application to a wide range of real-world problems, culminating in the contents of this masterful book. Fabozzi, Kolm, Pachamanova, and Focardi deserve high praise for producing a technically rigorous yet remarkably accessible guide to the latest advances in portfolio construction." --Mark Kritzman, President and CEO, Windham Capital Management, LLC "The topic of robust optimization (RO) has become 'hot' over the past several years, especially in real-world financial applications. This i...
Parameter Estimation in Stochastic Volatility Models
This book develops alternative methods to estimate the unknown parameters in stochastic volatility models, offering a new approach to test model accuracy. While there is ample research to document stochastic differential equation models driven by Brownian motion based on discrete observations of the underlying diffusion process, these traditional methods often fail to estimate the unknown parameters in the unobserved volatility processes. This text studies the second order rate of weak convergence to normality to obtain refined inference results like confidence interval, as well as nontraditional continuous time stochastic volatility models driven by fractional Levy processes. By incorporating jumps and long memory into the volatility process, these new methods will help better predict option pricing and stock market crash risk. Some simulation algorithms for numerical experiments are provided.
Financial Market Risk
This new book uses advanced signal processing technology to measure and analyze risk phenomena of the financial markets. It explains how to scientifically measure, analyze and manage non-stationarity and long-term time dependence (long memory) of financial market returns. It studies, in particular, financial crises in persistent financial markets,
Data Science for Undergraduates
Data science is emerging as a field that is revolutionizing science and industries alike. Work across nearly all domains is becoming more data driven, affecting both the jobs that are available and the skills that are required. As more data and ways of analyzing them become available, more aspects of the economy, society, and daily life will become dependent on data. It is imperative that educators, administrators, and students begin today to consider how to best prepare for and keep pace with this data-driven era of tomorrow. Undergraduate teaching, in particular, offers a critical link in offering more data science exposure to students and expanding the supply of data science talent. Data Science for Undergraduates: Opportunities and Options offers a vision for the emerging discipline of data science at the undergraduate level. This report outlines some considerations and approaches for academic institutions and others in the broader data science communities to help guide the ongoing transformation of this field.
The Unknown Black Book
Offering accounts by survivors of work camps, ghettos, forced marches, beatings, starvation, and disease, 'The Unknown Black Book' provides testimonies from Jews who survived massacres and other atrocities carried out by the Germans and their allies in occupied Soviet territories during World War II.
Tales of Transmigration-Sisters
Two five year old girls met in the most tragic of circumstances, on the day they were supposed to die. Miraculously, they survived an unspeakable ordeal and became the best of friends. In fact they became more than friends from that day onward, they became as close and inseparable as only true blood sisters could be. The lifelong bond between Manya and Raya was so strong that nothing could ever tear them apart. Their friendship survived immigration from their birth-country to Israel and Canada and not even the distance of the ocean could destroy their bond. They were meant to be a part of each others lives forever as sisters chosen by destiny.
The Politics of Belonging
"This is an in-depth examination of a slippery and contradictory subject. Knowledge alone is not enough for this type of project. It takes breaking out of narrow conceptual cages and unsettling what we think of as stable meanings. The author brings all of this to life in often unforgettable ways." - Saskia Sassen, Professor, Columbia University "National identities were once taken largely for granted in social science. Now they are part of an even more complex ′politics of belonging′ that challenges both public affairs and the categories of social science. Nira Yuval-Davis offers a nuanced account that will be important for scholars and all those concerned with contemporary politics." - ...
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