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Frank J. Fabozzi Ser.: Bayesian Methods in Finance by Biliana S. Bagasheva, Frank J. Fabozzi, John S. J. Hsu and Svetlozar T. Rachev (2008, Hardcover)
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About this product
Product Identifiers
PublisherWiley & Sons, Incorporated, John
ISBN-100471920835
ISBN-139780471920830
eBay Product ID (ePID)57180226
Product Key Features
Number of Pages352 Pages
LanguageEnglish
Publication NameBayesian Methods in Finance
Publication Year2008
SubjectProbability & Statistics / Stochastic Processes, Finance / General, Probability & Statistics / Bayesian Analysis
TypeTextbook
Subject AreaMathematics, Business & Economics
AuthorBiliana S. Bagasheva, Frank J. Fabozzi, John S. J. Hsu, Svetlozar T. Rachev
SeriesFrank J. Fabozzi Ser.
FormatHardcover
Dimensions
Item Height1.2 in
Item Weight19.7 Oz
Item Length9.3 in
Item Width6.4 in
Additional Product Features
Intended AudienceTrade
Dewey Edition22
Series Volume Number153
IllustratedYes
Dewey Decimal332
Table Of ContentPreface xv About the Authors xvii CHAPTER 1 Introduction 1 CHAPTER 2 The Bayesian Paradigm 6 CHAPTER 3 Prior and Posterior Information, Predictive Inference 22 CHAPTER 4 Bayesian Linear Regression Model 43 CHAPTER 5 Bayesian Numerical Computation 61 CHAPTER 6 Bayesian Framework For Portfolio Allocation 92 CHAPTER 7 Prior Beliefs and Asset Pricing Models 118 CHAPTER 8 The Black-Litterman Portfolio Selection Framework 141 CHAPTER 9 Market Efficiency and Return Predictability 162 CHAPTER 10 Volatility Models 185 CHAPTER 11 Bayesian Estimation of ARCH-Type Volatility Models 202 CHAPTER 12 Bayesian Estimation of Stochastic Volatility Models 229 CHAPTER 13 Advanced Techniques for Bayesian Portfolio Selection 247 CHAPTER 14 Multifactor Equity Risk Models 280 References 298 Index 311
SynopsisAn accessible overview of the theory and practice of Bayesian Methods in Finance This first-of-its-kind book explains and illustrates the fundamentals of the Bayesian methodology and their applications to finance in clear and accessible terms. Bayesian Methods in Finance provides a unified examination of the use of Bayesian theory and practice in portfolio and risk management explaining the concepts and techniques that can be applied to real-world financial problems. This book is a guide to using Bayesian methods and, notably, the Markov Chain Monte Carlo toolbox to: incorporate prior views of an analyst or a fund manager into the asset allocation process; estimate and predict volatility; improve risk forecasts; and combine the conclusions of different models. Each application presentation begins with the basics, works through the traditional "frequentist" perspective, and then follows with the Bayesian treatment. This invaluable resource presents a theoretically sound framework for combining various sources of information and a robust estimation setting that explicitly incorporates estimation risk, and brings within reach the flexibility to handle complex and realistic models., An accessible overview of the theory and practice of Bayesian methods in finance Bayesian Methods in Finance explains and illustrates the foundations of the Bayesian methodology in clear and accessible terms. It provides a unified examination of the use of the Bayesian theory and practice to analyze and evaluate asset management. With this book as their guide, readers will learn how to use Bayesian methods, and notably, the Markov Chain Monte Carlo toolbox, to incorporate the prior views of a fund manager into the asset allocation process, estimate and predict volatility, improve risk forecasts, calculate option prices, and combine the conclusions of different models. Bayesian Methods in Finance clearly shows readers how to apply this approach to the world of investment management, risk management, asset pricing, and corporate finance. Svetlozar T. Rachev, PhD, DrSci (Karlsruhe, Germany) is Chair-Professor at the University of Karlsruhe in the School of Economics and Business Engineering and Chief Scientist of FinAnalytica Inc. John S.J. Hsu, PhD (Santa Barbara, CA) is Associate Professor of Statistics and Applied Probability at the University of California, Santa Barbara. Biliana S. Bagasheva (Santa Barbara, CA) is currently a PhD candidate at the Department of Statistics and Applied Probability, University of California, Santa Barbara. Frank J. Fabozzi, PhD, CFA, CFP (New Hope, PA) is Adjunct Professor of Finance at Yale University's School of Management., Bayesian Methods in Finance provides a detailed overview of the theory of Bayesian methods and explains their real-world applications to financial modeling. While the principles and concepts explained throughout the book can be used in financial modeling and decision making in general, the authors focus on portfolio management and market risk management--since these are the areas in finance where Bayesian methods have had the greatest penetration to date., Bayesian Methods in Finance explains and illustrates the foundations of the Bayesian methodology in clear and accessible terms. It provides a unified examination of the use of the Bayesian theory and practice to analyze and evaluate asset management.
LC Classification NumberHG106
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