Introduction to Wavelet Theory in Finance : A Wavelet Multiscale Approach

Key Features:This book covers the essence of wavelet analysis - such as the maximum overlap discrete wavelet transform, wavelet correlation, and variance - in a unified manner. It covers important topics in finance, such as portfolio asset allocation, asset pricing, hedging strategies, new risk measures, and mutual fund performanceThis is the first book to provide a comprehensive application of wavelet analysis to financial markets, covering equity, interest swap, futures, foreign exchange, and mutual fund marketsThe focus of this book is descriptive and designed purely for practitioners. Sophisticate proofs and mathematics are avoided as much as possible when applying the wavelet multiscaling method. Sample instruction and wavelet code and output from the chapters are presented as an integral part of the text.