Hedge fund modelling and analysis using MATLABΠ/ Paul Darbyshire, David Hampton
- Author:
- Darbyshire, Paul
- Published:
- Hoboken : Wiley, 2014.
- Physical Description:
- 1 online resource (xv, 188 pages) : illustrations
- Additional Creators:
- Hampton, David, 1967-
- Access Online:
- ezaccess.libraries.psu.edu
- Series:
- The Wiley finance series
- Contents:
- Machine generated contents note: ch. 1 Essential C++ -- 1.1.A Brief History of C and C++ -- 1.2.A Basic C++ Program -- 1.3.Variables -- 1.3.1.Characters and Strings -- 1.3.2.Variable Declarations -- 1.3.3.Type Casting -- 1.3.4.Variable Scope -- 1.3.5.Constants -- 1.4.Operators -- 1.4.1.The Assignment Operator -- 1.4.2.Arithmetic Operators -- 1.4.3.Relational Operators -- 1.4.4.Logical Operators -- 1.4.5.Conditional Operator -- 1.5.Input and Output -- 1.6.Control Structures -- 1.6.1.Branching -- 1.6.2.Looping -- 1.6.3.The for Loop -- 1.6.4.The while Loop -- 1.6.5.The do ... while Loop -- 1.7.Arrays -- 1.8.Vectors -- 1.9.Functions -- 1.9.1.Call-by-Value vs. Call-by-Reference -- 1.9.2.Overloading Functions -- 1.10.Object Oriented Programming -- 1.10.1.Classes and Abstract Data Types -- 1.10.2.Encapsulation and Interfaces -- 1.10.3.Inheritance and Overriding Functions -- 1.10.4.Polymorphism -- 1.10.5.An Example of a Class -- 1.10.6.Getter and Setter Methods -- 1.10.7.Constructors and Destructors -- 1.10.8.A More Detailed Class Example -- 1.10.9.Implementing Inheritance -- 1.10.10.Operator Overloading -- ch. 2 The Hedge Fund Industry -- 2.1.What are Hedge Funds? -- 2.2.The Structure of a Hedge Fund -- 2.2.1.Fund Administrators -- 2.2.2.Prime Brokers -- 2.2.3.Custodian, Auditors and Legal -- 2.3.The Global Hedge Fund Industry -- 2.3.1.North America -- 2.3.2.Europe -- 2.3.3.Asia -- 2.4.Specialist Investment Techniques -- 2.4.1.Short Selling -- 2.4.2.Leverage -- 2.4.3.Liquidity -- 2.5.Recent Developments for Hedge Funds -- 2.5.1.UCITS Hedge Funds -- 2.5.2.The European Passport -- 2.5.3.Restrictions on Short Selling -- ch. 3 Hedge Fund Data Sources -- 3.1.Hedge Fund Databases -- 3.2.Major Hedge Fund Indices -- 3.2.1.Non-Investable and Investable Indices -- 3.2.2.Dow Jones Credit Suisse Hedge Fund Indices (www.hedgeindex.com) -- 3.2.3.Hedge Fund Research (www.hedgefundresearch.com) -- 3.2.4.FTSE Hedge (www.ftse.com) -- 3.2.5.Greenwich Alternative Investments (www.greenwichai.com) -- 3.2.6.Morningstar Alternative Investment Center (www.morningstar.com/advisor/alternative-investments.htm) -- 3.2.7.EDHEC Risk and Asset Management Research Centre (www.edhec-risk.com) -- 3.3.Database and Index Biases -- 3.3.1.Survivorship Bias -- 3.3.2.Instant History Bias -- 3.4.Benchmarking -- 3.4.1.Tracking Error -- ch. 4 Statistical Analysis -- 4.1.The Stats Class -- 4.2.The Utils Class -- 4.3.The Import Class -- 4.4.Basic Performance Plots -- 4.4.1.Value Added Index -- 4.4.2.Histograms -- 4.5.Probability Distributions -- 4.5.1.Populations and Samples -- 4.6.Probability Density Function -- 4.7.Cumulative Distribution Function -- 4.8.The Normal Distribution -- 4.8.1.Standard Normal Distribution -- 4.9.Visual Tests for Normality -- 4.9.1.Inspection -- 4.9.2.Normal Probability Plot -- 4.10.Moments of a Distribution -- 4.10.1.Mean and Standard Deviation -- 4.10.2.Skew -- 4.10.3.Kurtosis -- 4.11.Covariance and Correlation -- 4.12.Linear Regression -- 4.12.1.Coefficient of Determination -- 4.12.2.Residual Plots -- ch. 5 Performance Measurement -- 5.1.The PMetrics Class -- 5.2.The Intuition Behind Risk-Adjusted Returns -- 5.2.1.Risk-Adjusted Returns -- 5.3.Absolute Risk-Adjusted Return Metrics -- 5.4.The Sharpe Ratio -- 5.5.Market Models -- 5.5.1.The Information Ratio -- 5.5.2.The Treynor Ratio -- 5.5.3.Jensen's Alpha -- 5.5.4.M-Squared -- 5.6.The Minimum Acceptable Return -- 5.6.1.The Sortino Ratio -- 5.6.2.The Omega Ratio -- ch. 6 Mean-Variance Optimisation -- 6.1.The Optimise Class -- 6.2.Mean-Variance Analysis -- 6.2.1.Portfolio Return and Variance -- 6.2.2.The Mean-Variance Optimisation Problem -- 6.2.3.The Global Minimum Variance Portfolio -- 6.2.4.Short Sale Constraints -- ch. 7 Market Risk Management -- 7.1.The RMetrics Class -- 7.2.Value-at-Risk -- 7.3.Traditional VaR Methods -- 7.3.1.Historical Simulation -- 7.3.2.Parametric Method -- 7.3.3.Monte-Carlo Simulation -- 7.4.Modified VaR -- 7.5.Expected Shortfall -- 7.6.Extreme Value Theory -- 7.6.1.Block Maxima -- 7.6.2.Peaks Over Threshold.
- Subject(s):
- ISBN:
- 1118879546 (electronic bk.)
1118879554 (electronic bk.)
9781118879542 (electronic bk.)
9781118879559 (electronic bk.)
1118879546
1118879562
1118879570
1118905024
1119967376
1119967678
1119967686
130657174X
9781118879559 - Bibliography Note:
- Includes bibliographical references (pages 179-181) and index.
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