Bayesian Methods in Finance 1st Edition by Svetlozar Rachev, John Hsu, Biliana Bagasheva, Frank Fabozzi 0470249242 9780471920830
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Product details:
ISBN 10: 0470249242
ISBN 13: 9780471920830
Author: Svetlozar T. Rachev, John S. J. Hsu, Biliana S. Bagasheva, Frank J. Fabozzi
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.
Table of contents:
CHAPTER 1 Introduction
CHAPTER 2 The Bayesian Paradigm
CHAPTER 3 Prior and Posterior Information, Predictive Inference
CHAPTER 4 Bayesian Linear Regression Model
CHAPTER 5 Bayesian Numerical Computation
CHAPTER 6 Bayesian Framework For Portfolio Allocation
CHAPTER 7 Prior Beliefs and Asset Pricing Models
CHAPTER 8 The Black-Litterman Portfolio Selection Framework
CHAPTER 9 Market Efficiency and Return Predictability
CHAPTER 10 Volatility Models
CHAPTER 11 Bayesian Estimation of ARCH-Type Volatility Models
CHAPTER 12 Bayesian Estimation of Stochastic Volatility Models
CHAPTER 13 Advanced Techniques for Bayesian Portfolio Selection
CHAPTER 14 Multifactor Equity Risk Models
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