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" Hedge fund modelling and analysis using MATLABΠ/ "
Paul Darbyshire, David Hampton
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BL
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| Record Number
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641511
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dltt
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| Main Entry
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Darbyshire, Paul.
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| Title & Author
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Hedge fund modelling and analysis using MATLABΠ/\ Paul Darbyshire, David Hampton
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| Series Statement
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The wiley finance series
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| Page. NO
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1 online resource (xv, 188 pages) :: illustrations
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| ISBN
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1118879554
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: 9781118879559
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: 9781118879542
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: 1118879546
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9781118879559
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1119967376
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1119967678
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1119967686
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1118879570
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1118879562
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130657174X
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1118905024
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1118879546
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| Bibliographies/Indexes
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Includes bibliographical references (pages 179-181) and index
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| Contents
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Essential C++ -- A Brief History of C and C++ -- A Basic C++ Program -- Variables -- Characters and Strings -- Variable Declarations -- Type Casting -- Variable Scope -- Constants -- Operators -- The Assignment Operator -- Arithmetic Operators -- Relational Operators -- Logical Operators -- Conditional Operator -- Input and Output -- Control Structures -- Branching -- Looping -- The for Loop -- The while Loop -- The do ... while Loop -- Arrays -- Vectors -- Functions -- Call-by-Value vs. Call-by-Reference -- Overloading Functions -- Object Oriented Programming -- Classes and Abstract Data Types -- Encapsulation and Interfaces -- Inheritance and Overriding Functions -- Polymorphism -- An Example of a Class -- Getter and Setter Methods -- Constructors and Destructors -- A More Detailed Class Example -- Implementing Inheritance -- Operator Overloading -- The Hedge Fund Industry -- What are Hedge Funds? -- The Structure of a Hedge Fund -- Fund Administrators -- Prime Brokers -- Custodian, Auditors and Legal -- The Global Hedge Fund Industry -- North America -- Europe -- Asia -- Specialist Investment Techniques -- Short Selling -- Leverage -- Liquidity -- Recent Developments for Hedge Funds -- UCITS Hedge Funds -- The European Passport -- Restrictions on Short Selling -- Hedge Fund Data Sources -- Hedge Fund Databases -- Major Hedge Fund Indices -- Non-Investable and Investable Indices -- Dow Jones Credit Suisse Hedge Fund Indices (www.hedgeindex.com) -- Hedge Fund Research (www.hedgefundresearch.com) -- FTSE Hedge (www.ftse.com) -- Greenwich Alternative Investments (www.greenwichai.com) -- Morningstar Alternative Investment Center (www.morningstar.com/advisor/alternative-investments.htm) -- EDHEC Risk and Asset Management Research Centre (www.edhec-risk.com) -- Database and Index Biases -- Survivorship Bias -- Instant History Bias -- Benchmarking -- Tracking Error -- Statistical Analysis -- The Stats Class -- The Utils Class -- The Import Class -- Basic Performance Plots -- Value Added Index -- Histograms -- Probability Distributions -- Populations and Samples -- Probability Density Function -- Cumulative Distribution Function -- The Normal Distribution -- Standard Normal Distribution -- Visual Tests for Normality -- Inspection -- Normal Probability Plot -- Moments of a Distribution -- Mean and Standard Deviation -- Skew -- Kurtosis -- Covariance and Correlation -- Linear Regression -- Coefficient of Determination -- Residual Plots -- Performance Measurement -- The PMetrics Class -- The Intuition Behind Risk-Adjusted Returns -- Risk-Adjusted Returns -- Absolute Risk-Adjusted Return Metrics -- The Sharpe Ratio -- Market Models -- The Information Ratio -- The Treynor Ratio -- Jensen's Alpha -- M-Squared -- The Minimum Acceptable Return -- The Sortino Ratio -- The Omega Ratio -- Mean-Variance Optimisation -- The Optimise Class -- Mean Variance Analysis -- Portfolio Return and Variance -- The Mean-Variance Optimisation Problem -- The Global Minimum Variance Portfolio -- Short Sale Constraints -- Market Risk Management -- The RMetrics Class -- Value-at-Risk -- Traditional VaR Methods -- Historical Simulation -- Parametric Method -- Monte-Carlo Simulation -- Modified VaR -- Expected Shortfall -- Extreme Value Theory -- Block Maxima -- Peaks Over Threshold
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| Subject
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Hedge funds-- Mathematical models.
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MATLAB.
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| Dewey Classification
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332.64/524028553
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| LC Classification
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HG4530.D373 2014eb
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| Added Entry
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Hampton, David,1967-
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| Added Entry
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Ohio Library and Information Network.
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