Market Models: A Guide to Financial Data Analysis (Hardcover)

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Product Description
Market Models provides an authoritative and up–to–date treatment of the use of market data to develop models for financial analysis. Written by a leading figure in the field of financial data analysis, this book is the first of its kind to address the vital techniques required for model selection and development. Model developers are faced with many decisions, about the pricing, the data, the statistical methodology and the calibration and testing of the model prior to implementation. It is important to make the right choices and Carol Alexander′s clear exposition provides valuable insights at every stage.

In each of the 13 Chapters, Market Models presents real world illustrations to motivate theoretical developments. The accompanying CD contains spreadsheets with data and programs; this enables you to implement and adapt many of the examples. The pricing of options using normal mixture density functions to model returns; the use of Monte Carlo simulation to calculate the VaR of an options portfolio; modifying the covariance VaR to allow for fat–tailed P&L distributions; the calculation of implied, EWMA and ′historic′ volatilities; GARCH volatility term structure forecasting; principal components analysis; and many more are all included.

Carol Alexander brings many new insights to the pricing and hedging of options with her understanding of volatility and correlation, and the uncertainty which surrounds these key determinants of option portfolio risk. Modelling the market risk of portfolios is covered where the main focus is on a linear algebraic approach; the covariance matrix and principal component analysis are developed as key tools for the analysis of financial systems. The traditional time series econometric approach is also explained with coverage ranging from the application cointegration to long–short equity hedge funds, to high–frequency data prediction using neural networks and nearest neighbour algorithms.

Throughout this text the emphasis is on understanding concepts and implementing solutions. It has been designed to be accessible to a very wide audience: the coverage is comprehensive and complete and the technical appendix makes the book largely self–contained.

Market Models: A Guide to Financial Data Analysis is the ideal reference for all those involved in market risk measurement, quantitative trading and investment analysis.

From the Inside Flap
In part 1, Carol Alexander brings many new insights to the pricing and hedging of options with her understanding of volatility and correlation, and the uncertainty which surrounds these key determinants of option portfolio risk. Modelling the market risk of portfolios is covered in part 2 where the main focus is on a linear algebraic approach; the covariance matrix and principal component analysis are developed as key tools for the analysis of financial systems. The traditional time series econometric approach is explained in part 3, with coverage ranging from the application cointegration to long–short equity hedge funds, to high–frequency data prediction using neural networks and nearest neighbour algorithms .

Throughout this text the emphasis is on understanding concepts and implementing solutions. It has been designed to be accessible to a very wide audience: the coverage is comprehensive and complete and the technical appendix makes the book largely self–contained.

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First Sentence
This chapter introduces some of the concepts that are fundamental to the analysis of volatility and correlation of financial assets. Read the first page Browse Sample Pages
Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover

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16 Reviews 5 star:  (15) 4 star:    (0) 3 star:    (0) 2 star:  (1) 1 star:    (0)           Average Customer Review 4.8 out of 5 stars (16 customer reviews)		Share your thoughts with other customers: Create your own review
Most Helpful Customer Reviews   8 of 8 people found the following review helpful: 5.0 out of 5 stars Comprehensive guide to model building, 19 Nov 2001 By A Customer Targeted towards practitioners concerned with model development, the book addresses key issues in market risk measurement, quantitative trading and investment analysis in a very systematic and clear exposition. I find it particularly reassuring that someone with the author's academic background and hands-on expertise has decided to undertake the responsibility of putting-up a comprehensive guide to financial modelling, from the basic use of financial data to statistical techniques selection and model implementing. Particular attention is paid to supporting each subject with real-world examples, both within the text and in the associated CD. Moreover, the spreadsheets contained by the CD can always represent a useful reference for building your own models. As I find this book really helpful for applied but also academic model development, I recommend it highly. Comment Comment | Permalink | Was this review helpful to you? Yes No (Report this)   7 of 7 people found the following review helpful: 5.0 out of 5 stars Great Book for Development of Financial Markets Models, 21 Nov 2001 By A Customer Carol Alexander's book does an excellent job of combining many of the disparate modelling techniques currently used in the financial markets while also providing many helpful real world examples. It thus successfully combines theory and application. The book is accessible to different types of users as it includes both in-depth qualitative analysis as well as quantitative ones. I have found it very useful in my work when trying to understand different concepts in the financial market models. Personally, I believe the book is a helpful tool one does not want to pass up--not only for the ones involved in risk measurement, but also for those in the more general field of investment banking (as myself). I find it puzzling and a pity that one of the previous commentators has given the book such a mean assessment--an unfounded judgment, in my opinion. I would recommend that other readers judge for themselves. Comment Comment | Permalink | Was this review helpful to you? Yes No (Report this)   5 of 5 people found the following review helpful: 5.0 out of 5 stars The best reference on real market dynamics yet., 23 Nov 2001 By A Customer Finally we have a comprehensive book on the modelling of financial securities and their volatilities. The book is throughout geared towards the implementation of models that realistically represent the dynamics of financial markets as they can actually be observed in the real world. This is the first publication that not only covers virtually all modern areas of the theory of market movements, but also explains the mathematics and motivation behind the theory, and makes it easily accessible. The chapter on GARCH models is probably the most complete exposition on the matter available. This is not surprising since, after all, Carol Alexander herself contributed greatly to the development of orthogonal GARCH models. In short: I like the book and anyone who is interested in the analysis of market dynamics, be it for the purpose of risk assessment or for strategic decisions of portfolio management, would be well advised to buy it. In my humble opinion, that is. Comment Comment | Permalink | Was this review helpful to you? Yes No (Report this) Share your thoughts with other customers: Create your own review › See all 16 customer reviews...		Ad feedback   Most Recent Customer Reviews 5.0 out of 5 stars Joined up thinking on finance I've just finished my MSc Finance and I really liked this book. Firstly, it is very well thought out. Read more Published on 3 Aug 2005 by John Edwards 5.0 out of 5 stars Simply the Best I was a bit sceptical at how good people rate this book. I was also in two minds to buy this as it's a bit pricey too. But I'm sure glad I did! Read more Published on 12 Jul 2004 by kinghsingh 5.0 out of 5 stars An excellent book! As a Professor of Finance at a University in Belgium, I can highly recommend this book. It is well written, clear and the wealth of empirical applications is one of its major... Read more Published on 12 Feb 2002 by Pierre Giot (giot@core.ucl.ac.be) 5.0 out of 5 stars An excellent book from an authority on financial analysis. 'Market Models' will be welcomed both by practitioners and academics in the field in which Professor Alexander is an acknowledged expert. Read more Published on 26 Dec 2001 5.0 out of 5 stars Excellent treatment of theory with application examples The book provides a complete and accessible treatment of models widely used in Finance. While strong on the theoretical side, the book contains numerous examples of model... Read more Published on 13 Dec 2001 5.0 out of 5 stars MARKET MODELS HAS NO COMPETITOR As a Ph.D candidate in finance at the University of Quebec at Montreal (specializing in hedge funds), I believe that Market Models is the leading text in the area of financial... Read more Published on 13 Dec 2001 by Greg N. Gregoriou 5.0 out of 5 stars A financial Bible for both profesionals and researchers Market Models is an essential tool for practioners who would like to gain fundamental expertise on financial modeling. Read more Published on 28 Nov 2001 by mcantave@eco.uji.es 5.0 out of 5 stars Mandatory reading for financial boffins, nerds, and geeks! Alexander's new book is essential reading for intellectual risk managers, quant traders, and quantitatively minded market analysts; Ph. Read more Published on 20 Nov 2001 5.0 out of 5 stars All in one guide to statistical models in finance at a steal Allmost 500 pages of packed information on major statistical methods used in modern finance. So many books are predictable; this one is different. Read more Published on 19 Nov 2001 5.0 out of 5 stars A solid guide of the field This book contains the essentials for anyone interested in learning financial modelling in all the disparate aspects it has taken over the years. Read more Published on 19 Nov 2001 Search Customer Reviews Only search this product's reviews › See all 16 customer reviews...

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