Financial Engineering in Matlab: Selected Approaches and Algorithms
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F15%3A86093523" target="_blank" >RIV/61989100:27510/15:86093523 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Financial Engineering in Matlab: Selected Approaches and Algorithms
Original language description
The publication is focused on the essential part of financial engineering - modelling of financial time series and its application in portfolio and risk management. The emphasis is on the explanation of selected approaches and models. At the same time the book, apart from a theoretical background, also presents examples of practical application i.e. functioning codes written in Matlab. The book is structured into five chapters. In the first chapter we describe the possibilities of data acquisitions andimports. In the second chapter we present the methods and models applicable for the financial time series modelling. The chapters three and four are focused on modern portfolio theory. The last chapter covers the area of market risk estimation and its backtesting procedure. The publication is intended for both undergraduate and postgraduate students of finance as well as computer science. It was written with the support of the European Social Fund under the Opportunity for young research
Czech name
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Czech description
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Classification
Type
B - Specialist book
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
ISBN
978-80-248-3702-4
Number of pages
190
Publisher name
VŠB - Technická univerzita Ostrava
Place of publication
Ostrava
UT code for WoS book
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