Elements in Quantitative Finance – serie
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18 produkter
Girsanov, Numeraires, and All That
Av Patrick S. Hagan, Andrew Lesniewski
Häftad, 2022
317 kr
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In this Element the authors review the technique of the change of numeraire in the martingale approach to option pricing. Their intention is to present a reader friendly explanation of the technique itself, and illustrate how it is applied in various fields of quantitative finance as the basis for …
Causal Factor Investing
Can Factor Investing Become Scientific?
Av Marcos M. López de Prado
Häftad, 2023
317 kr
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Virtually all journal articles in the factor investing literature make associational claims, in denial of the causal content of factor models. Authors do not identify the causal graph consistent with the observed phenomenon, they justify their chosen model specification in terms of correlations, …
The Behavioral Economics and Politics of Global Warming
Unsettling Behaviors
Häftad, 2023
302 kr
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The main goal of this Element is to provide a psychological explanation for why actual global climate policy is so greatly at odds with the prescriptions of most neoclassical economists. To be sure, the behavioral approach does focus on why neoclassical models are often psychologically unrealistic. …
The Behavioral Economics and Politics of Global Warming
Unsettling Behaviors
Inbunden, 2023
911 kr
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The main goal of this Element is to provide a psychological explanation for why actual global climate policy is so greatly at odds with the prescriptions of most neoclassical economists. To be sure, the behavioral approach does focus on why neoclassical models are often psychologically unrealistic. …
Hydrodynamics of Markets
Hidden Links between Physics and Finance
Häftad, 2025
308 kr
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An intriguing link between a wide range of problems occurring in physics and financial engineering is presented. These problems include the evolution of small perturbations of linear flows in hydrodynamics, the movements of particles in random fields described by the Kolmogorov and Klein-Kramers …
Hydrodynamics of Markets
Hidden Links between Physics and Finance
Inbunden, 2025
911 kr
Lägg i varukorg
An intriguing link between a wide range of problems occurring in physics and financial engineering is presented. These problems include the evolution of small perturbations of linear flows in hydrodynamics, the movements of particles in random fields described by the Kolmogorov and Klein-Kramers …
Causal Factor Investing
Can Factor Investing Become Scientific?
Av Marcos M. López de Prado
Inbunden, 2026
910 kr
Lägg i varukorg
Virtually all journal articles in the factor investing literature make associational claims, in denial of the causal content of factor models. Authors do not identify the causal graph consistent with the observed phenomenon, they justify their chosen model specification in terms of correlations, …
Machine Learning for Asset Managers
Av Marcos M. López de Prado
Inbunden, 2026
930 kr
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Successful investment strategies are specific implementations of general theories. An investment strategy that lacks a theoretical justification is likely to be false. Hence, an asset manager should concentrate her efforts on developing a theory rather than on backtesting potential trading rules. …
Deep Learning in Quantitative Trading
Häftad, 2025
291 kr
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This Element provides a comprehensive guide to deep learning in quantitative trading, merging foundational theory with hands-on applications. It is organized into two parts. The first part introduces the fundamentals of financial time-series and supervised learning, exploring various network …
Deep Learning in Quantitative Trading
Inbunden, 2025
938 kr
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This Element provides a comprehensive guide to deep learning in quantitative trading, merging foundational theory with hands-on applications. It is organized into two parts. The first part introduces the fundamentals of financial time-series and supervised learning, exploring various network …
Resampling Asset Prices
An Identity-Based Approach
Av Richard K. Crump, Nikolay Gospodinov
Häftad, 2026
317 kr
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The authors introduce a novel bootstrap approach to resampling asset price data that can be used for both finite-maturity assets and equities. The key insight is that they bootstrap primitive objects with more appealing statistical properties to avoid resampling series with strong time-series and …
Resampling Asset Prices
An Identity-Based Approach
Av Richard K. Crump, Nikolay Gospodinov
Inbunden, 2026
938 kr
Lägg i varukorg
The authors introduce a novel bootstrap approach to resampling asset price data that can be used for both finite-maturity assets and equities. The key insight is that they bootstrap primitive objects with more appealing statistical properties to avoid resampling series with strong time-series and …
Climate Scenarios for Financial Modelling
Inbunden, 2026
791 kr
Kommande
This Element explains the architecture of current climate scenarios and discusses whether it is well-suited to the needs of financial analysts and investment professionals. The author argues that prevailing models underrepresent the uncertainty surrounding climate outcomes. He shows that current …
Climate Scenarios for Financial Modelling
Häftad, 2026
282 kr
Kommande
This Element explains the architecture of current climate scenarios and discusses whether it is well-suited to the needs of financial analysts and investment professionals. The author argues that prevailing models underrepresent the uncertainty surrounding climate outcomes. He shows that current …
The Global Geography of Long-Term Projected Macroeconomic Damages from Chronic Physical Risk
The Aggregation Problem
Inbunden, 2026
930 kr
Kommande
Does the macro-level relationship between temperature and output comprehensively reflect the patterns observed sub-nationally? This Element quantifies heterogeneous productivity-growth responses to plausibly exogenous temperature and precipitation fluctuations using unbalanced panels over 1970-2018 …
Machine Learning for Asset Managers
Av Marcos M. López de Prado
Häftad, 2020
4,0 utav 5 stjärnor. Totalt antal röster: (1)
291 kr
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Successful investment strategies are specific implementations of general theories. An investment strategy that lacks a theoretical justification is likely to be false. Hence, an asset manager should concentrate her efforts on developing a theory rather than on backtesting potential trading rules. …
Advances in Retirement Investing
Av Lionel Martellini, Vincent Milhau
Häftad, 2020
317 kr
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To supplement replacement income provided by Social Security and employersponsored pension plans, individuals need to rely on their own saving and investment choices during accumulation. Once retired, they must also decide at which rate to spend their savings, with the usual dilemma between …
A Practitioner's Guide to Discrete-Time Yield Curve Modelling
With Empirical Illustrations and MATLAB Examples
Av Ken Nyholm
Häftad, 2021
311 kr
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This Element is intended for students and practitioners as a gentle and intuitive introduction to the field of discrete-time yield curve modelling. I strive to be as comprehensive as possible, while still adhering to the overall premise of putting a strong focus on practical applications. In …
