計量リスクとポートフォリオ管理の理論と実践 Quantitative Risk and Portfolio Management : Theory and Practice

著者名：Winston, Kenneth J.

Cambridge University Press（2023/09/21発売）

• 言語：ENG
• ISBN：9781009209045
• eISBN：9781009209083

Description

A comprehensive modern introduction to risk and portfolio management for quantitatively adept advanced undergraduate and beginning graduate students who will become practitioners in the field of quantitative finance. With a focus on real-world application, but providing a background in academic theory, this text builds a firm foundation of rigorous but practical knowledge. Extensive live data and Python code are provided as online supplements, allowing a thorough understanding of how to manage risk and portfolios in practice. With its detailed examination of how mathematical techniques are applied to finance, this is the ideal textbook for giving students with a background in engineering, mathematics or physics a route into the field of quantitative finance.

Table of Contents

Preface; 1. What is risk?; 2. Risk metrics; 3. Fixed income modeling; 4. Equity modeling; 5. Convex optimization; 6. Factor models; 7. Distributions; 8. Simulation, scenarios and stress testing; 9. Time-varying volatility; 10. Modeling relationships; 11. Credit modeling; 12. Hedging; References; Index.