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Bayesian Methods in Finance : Frank J. Fabozzi Series - Svetlozar T. Rachev

Bayesian Methods in Finance

Frank J. Fabozzi Series

Hardcover Published: 1st February 2008
ISBN: 9780471920830
Number Of Pages: 329

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<i>Bayesian Methods in Finance</i> provides a detailed overview of the theory of Bayesian methods and explains their real-world applications to financial modeling. While the principles and concepts explained throughout the book can be used in financial modeling and decision making in general, the authors focus on portfolio management and market risk management&#8212;since these are the areas in finance where Bayesian methods have had the greatest penetration to date.

Preface xv

About the Authors xvii

CHAPTER 1 Introduction 1

CHAPTER 2 The Bayesian Paradigm 6

CHAPTER 3 Prior and Posterior Information, Predictive Inference 22

CHAPTER 4 Bayesian Linear Regression Model 43

CHAPTER 5 Bayesian Numerical Computation 61

CHAPTER 6 Bayesian Framework For Portfolio Allocation 92

CHAPTER 7 Prior Beliefs and Asset Pricing Models 118

CHAPTER 8 The Black-Litterman Portfolio Selection Framework 141

CHAPTER 9 Market Efficiency and Return Predictability 162

CHAPTER 10 Volatility Models 185

CHAPTER 11 Bayesian Estimation of ARCH-Type Volatility Models 202

CHAPTER 12 Bayesian Estimation of Stochastic Volatility Models 229

CHAPTER 13 Advanced Techniques for Bayesian Portfolio Selection 247

CHAPTER 14 Multifactor Equity Risk Models 280

References 298

Index 311

ISBN: 9780471920830
ISBN-10: 0471920835
Series: Frank J. Fabozzi Series
Audience: General
Format: Hardcover
Language: English
Number Of Pages: 329
Published: 1st February 2008
Publisher: John Wiley & Sons Inc
Country of Publication: US
Dimensions (cm): 23.62 x 16.26  x 3.05
Weight (kg): 0.55
Edition Number: 1