Hedge Fund Modelling and Analysis using MATLAB / Wiley Finance Series (ePub)
(Sprache: Englisch)
The second book in Darbyshire and Hampton's Hedge Fund
Modelling and Analysis series, Hedge Fund Modelling and Analysis
Using MATLAB® takes advantage of the huge library of
built-in functions and suite of financial and analytic packages
available to...
Modelling and Analysis series, Hedge Fund Modelling and Analysis
Using MATLAB® takes advantage of the huge library of
built-in functions and suite of financial and analytic packages
available to...
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Produktinformationen zu „Hedge Fund Modelling and Analysis using MATLAB / Wiley Finance Series (ePub)“
The second book in Darbyshire and Hampton's Hedge Fund
Modelling and Analysis series, Hedge Fund Modelling and Analysis
Using MATLAB® takes advantage of the huge library of
built-in functions and suite of financial and analytic packages
available to MATLAB®. This allows for a more detailed analysis
of some of the more computationally intensive and advanced topics,
such as hedge fund classification, performance measurement and
mean-variance optimisation. Darbyshire and Hampton's first
book in the series, Hedge Fund Modelling and Analysis Using
Excel & and VBA, is seen as a valuable supplementary text
to this book.
Starting with an overview of the hedge fund industry the book
then looks at a variety of commercially available hedge fund data
sources. After covering key statistical techniques and methods, the
book discusses mean-variance optimisation, hedge fund
classification and performance with an emphasis on risk-adjusted
return metrics. Finally, common hedge fund market risk management
techniques, such as traditional Value-at-Risk methods, modified
extensions and expected shortfall are covered.
The book's dedicated website, www.darbyshirehampton.com
provides free downloads of all the data and MATLAB®
source code, as well as other useful resources.
Hedge Fund Modelling and Analysis Using MATLAB®
serves as a definitive introductory guide to hedge fund modelling
and analysis and will provide investors, industry
practitioners and students alike with a useful range of
tools and techniques for analysing and estimating alpha and beta
sources of return, performing manager ranking and market risk
management.
Modelling and Analysis series, Hedge Fund Modelling and Analysis
Using MATLAB® takes advantage of the huge library of
built-in functions and suite of financial and analytic packages
available to MATLAB®. This allows for a more detailed analysis
of some of the more computationally intensive and advanced topics,
such as hedge fund classification, performance measurement and
mean-variance optimisation. Darbyshire and Hampton's first
book in the series, Hedge Fund Modelling and Analysis Using
Excel & and VBA, is seen as a valuable supplementary text
to this book.
Starting with an overview of the hedge fund industry the book
then looks at a variety of commercially available hedge fund data
sources. After covering key statistical techniques and methods, the
book discusses mean-variance optimisation, hedge fund
classification and performance with an emphasis on risk-adjusted
return metrics. Finally, common hedge fund market risk management
techniques, such as traditional Value-at-Risk methods, modified
extensions and expected shortfall are covered.
The book's dedicated website, www.darbyshirehampton.com
provides free downloads of all the data and MATLAB®
source code, as well as other useful resources.
Hedge Fund Modelling and Analysis Using MATLAB®
serves as a definitive introductory guide to hedge fund modelling
and analysis and will provide investors, industry
practitioners and students alike with a useful range of
tools and techniques for analysing and estimating alpha and beta
sources of return, performing manager ranking and market risk
management.
Autoren-Porträt von Paul Darbyshire, David Hampton
Paul Darbyshire gained his PhD in Theoretical Physicsfrom King's College London and then began his career working
has a Quantitative Analyst and Trader at HSBC on the Exotic
Derivatives and Structured Products desk. He has subsequently been
involved in the development and implementation of a variety of
trading and risk management platforms for a number of major
investment banks around the globe. Since 2005, Paul has been
responsible for the analysis and design of cutting-edge algorithms
in the development of behavioural finance and decision making
models at the University of Oxford. Paul also provides many private
equity firms, hedge funds and investment management companies with
senior consultancy in areas such as dynamic portfolio optimisation,
trading platform design, software engineering and risk
management.
David Hampton gained his PhD in Electrical Engineering
from the Queen's University of Belfast and an international
MBA from Institut Superieur de Gestion in Paris, New York and Tokyo
before joining Bank of America Capital Markets in London. David was
previously an Adjunct Finance Professor at Skema Business School in
Sophia Antipolis where he taught Financial Engineering and
Excel/VBA Programming at the MSc level. At EDHEC Business
School in Nice, he was responsible for managing their range of five
MSc courses as Assistant Dean of the Financial Economics Track. An
NFA registered CTA since 1996, David has been active as a
consultant to the hedge fund community and as a Hedge Fund Manager
with particular expertise in Global Macro Managed Futures and Long
Short Equity investment styles.
Both David and Paul are Directors of darbyshirehampton; an
innovative quantitative research, advisory, and consultancy firm
specialising in hedge funds and the alternative investment
industry. Website: www.darbyshirehampton.com.
Bibliographische Angaben
- Autoren: Paul Darbyshire , David Hampton
- 2014, 1. Auflage, 208 Seiten, Englisch
- Verlag: John Wiley & Sons
- ISBN-10: 1119967686
- ISBN-13: 9781119967682
- Erscheinungsdatum: 27.03.2014
Abhängig von Bildschirmgrösse und eingestellter Schriftgrösse kann die Seitenzahl auf Ihrem Lesegerät variieren.
eBook Informationen
- Dateiformat: ePub
- Grösse: 4.30 MB
- Mit Kopierschutz
Sprache:
Englisch
Kopierschutz
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