The main purpose of this handbook is to illustrate the mathematically fundamental implementation of various volatility models in the banking and financial industries, both at home and abroad, through use of real-world, time-sensitive applications. Conceived and written by over two-dozen experts...

"Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications features a combination of the theory, methods, and applications of extreme value theory (EVT) in finance as well as a practical understanding of market behavior including both ordinary and extraordinary conditions."

Intro -- Title page -- Copyright -- Notes on Contributors -- Editors -- List of Contributors -- Preface -- Chapter 1 Trends and Trades -- 1.1 Introduction -- 1.2 A trend-based trading strategy -- 1.3 CUSUM timing -- 1.4 Example: Random walk on ticks -- 1.5 CUSUM strategy Monte Carlo -- 1.6 The...

A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent...