Summary |
Market risk analysis is a series of four volumes:
Volume I covers the essential mathematical and financial background for subsequent volumes.
Volume II provides a detailed understanding of financial econometrics, with a unique focus on applications to asset pricing, fund management and market risk analysis.
Volume III has five extensive chapters on the pricing, hedging and trading of bonds and swaps, futures and forwards, options and volatility, and detailed descriptions of mapping portfolios of these financial instruments to their risk factors.
Volume IV builds on the three previous volumes to provide a comprehensive and detailed treatment of market var models.
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