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dc.contributor.authorDarolles, Serge*
dc.contributor.authorDuvaut, Patrick*
dc.contributor.authorJay, Emmanuelle*
dc.date.accessioned2014-06-17T13:08:51Z
dc.date.available2014-06-17T13:08:51Z
dc.date.issued2013
dc.identifier.isbn978-1-84821-419-4en
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/13492
dc.language.isoenen
dc.subjectFinancesen
dc.subjectModèles mathématiquesen
dc.subjectModèle de fixation du prix des actifsen
dc.subjectTraitement du signalen
dc.subject.ddc332en
dc.subject.classificationjelC.C3.C30en
dc.subject.classificationjelG.G1.G11en
dc.subject.classificationjelG.G1.G12en
dc.titleMulti-factor models and signal processing techniques: application to quantitative financeen
dc.typeOuvrage
dc.description.abstractenWith recent outbreaks of multiple large-scale financial crises, amplified by interconnected risk sources, a new paradigm of fund management has emerged. This new paradigm leverages "embedded" quantitative processes and methods to provide more transparent, adaptive, reliable and easily implemented "risk assessment-based" practices. This book surveys the most widely used factor models employed within the field of financial asset pricing. Through the concrete application of evaluating risks in the hedge fund industry, the authors demonstrate that signal processing techniques are an interesting alternative to the selection of factors (both fundamentals and statistical factors) and can provide more efficient estimation procedures, based on lq regularized Kalman filtering for instance. With numerous illustrative examples from stock markets, this book meets the needs of both finance practitioners and graduate students in science, econometrics and finance.en
dc.publisher.nameISTE ; J. Wileyen
dc.publisher.cityLondon ; Hoboken, NJen
dc.identifier.citationpages184en
dc.relation.ispartofseriestitleDigital signal and image processing seriesen
dc.relation.isversionofbkurlhttp://dx.doi.org/10.1002/9781118577387en
dc.subject.ddclabelEconomie financièreen
dc.identifier.citationdate2013
dc.relation.forthcomingnonen
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
hal.person.labIds1032*
hal.person.labIds*
hal.person.labIds*
hal.identifierhal-01632892*


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