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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

  • DOI - Digital Object Identifier

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

  • Czech description

Classification

  • Type

    B - Specialist book

  • CEP classification

    AH - Economics

  • OECD FORD branch

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