Applied Quantitative Finance

  • Wolfgang K. Härdle
  • Nikolaus Hautsch
  • Ludger Overbeck

Table of contents

  1. Front Matter
    Pages i-xxvi
  2. Value at Risk

    1. Wolfgang Härdle, Ostap Okhrin, Yarema Okhrin
      Pages 3-36
    2. Christoph Frisch, Germar Knöchlein
      Pages 37-67
    3. Umberto Cherubini, Sabrina Mulinacci, Silvia Romagnoli
      Pages 69-81
    4. Helmut Herwartz, Bruno Pedrinha
      Pages 83-102
  3. Credit Risk

    1. Steffi Höse, Stefan Huschens, Robert Wania
      Pages 105-123
    2. Ludger Overbeck, Maria Sokolova
      Pages 139-159
    3. Nicole El Karoui, Ying Jiao, David Kurtz
      Pages 161-189
  4. Implied Volatility

    1. Matthias R. Fengler, Qihua Wang
      Pages 193-207
    2. Wolfgang Härdle, Alena Myšičková
      Pages 209-231
    3. Zdeněk Hlávka, Marek Svojik
      Pages 233-247
    4. Nikolaus Hautsch, Yangguoyi Ou
      Pages 249-274
    5. Wolfgang Härdle, Nikolaus Hautsch, Uta Pigorsch
      Pages 275-293
    6. Shih-Feng Huang, Meihui Guo
      Pages 295-309
  5. Econometrics

    1. Matthias R. Fengler, Helmut Herwartz
      Pages 313-326
    2. Rainer Schulz, Markus Staiber, Martin Wersing, Axel Werwatz
      Pages 327-344
    3. Mstislav Elagin, Vladimir Spokoiny
      Pages 345-361
    4. Denis Belomestny, Grigori N. Milstein
      Pages 363-378
    5. Nikolaus Hautsch, Vahidin Jeleskovic
      Pages 379-397
    6. Vasyl Golosnoy, Wolfgang Schmid
      Pages 399-416
    7. Jenher Jeng, Wei-Fang Niu, Nan-Jye Wang, Shih-Shan Lin
      Pages 417-441
  6. Back Matter
    Pages 443-447

About this book


Recent years have witnessed a growing importance of quantitative methods in both financial research and industry. This development requires the use of advanced techniques on a theoretical and applied level, especially when it comes to the quantification of risk and the valuation of modern financial products.

Applied Quantitative Finance (2nd edition) provides a comprehensive and state-of-the-art treatment of cutting-edge topics and methods. It provides solutions to and presents theoretical developments in many practical problems such as risk management, pricing of credit derivatives, quantification of volatility and copula modelling. The synthesis of theory and practice supported by computational tools is reflected in the selection of topics as well as in a finely tuned balance of scientific contributions on practical implementation and theoretical concepts. This linkage between theory and practice offers theoreticians insights into considerations of applicability and, vice versa, provides practitioners comfortable access to new techniques in quantitative finance.

Themes that are dominant in current research and which are presented in this book include among others the valuation of Collaterized Debt Obligations (CDOs), the high-frequency analysis of market liquidity, the pricing of Bermuda options and realized volatility.

All Quantlets for the calculation of the given examples are downloadable from the Springer web pages.


Credit Risk Finance Markov Chain Quantitative Finance Quantitative Methods STATISTICA Statistical Process Control Value at Risk Volatility XploRe modeling simulation

Editors and affiliations

  • Wolfgang K. Härdle
    • 1
  • Nikolaus Hautsch
    • 1
  • Ludger Overbeck
    • 2
  1. 1.CASE-Center for Applied Statistics and EconomicsHumboldt-Universität zu BerlinBerlinGermany
  2. 2.Mathematical Finance and Quantitative Risk ManagementUniversität GießenGiessenGermany

Bibliographic information

Industry Sectors
Finance, Business & Banking