03413cam a2200637Ia 4500 ocn855780055 OCoLC 20171106092650.0 m o d cr cnu|||unuuu 130814s2013 njua ob 001 0 eng d 9781118577387 (electronic bk.) 1118577388 (electronic bk.) 9781118577400 111857740X 9781848214194 AU@ 000052007671 AU@ 000058000181 CHBIS 010441774 CHVBK 33409593X DEBBG BV043396152 DEBSZ 431490570 DEBSZ 449381358 NZ1 15341684 (OCoLC)855780055 (OCoLC)857365255 DG1 eng pn DG1 CUI OCLCO OCLCF EBLCP DEBSZ OCLCO OCLCQ OCLCO DEBBG OCLCQ OCLCO MAIN QA278.5 519.5/354 23 Darolles, Serge. Multi-factor models and signal processing techniques : application to quantitative finance / Serge Darolles, Patrick Duvaut, Emmanuelle Jay. [electronic resource] Hoboken : Wiley ; London : ISTE, 2013. 1 online resource (xxiii, 162 pages) : illustrations. text txt rdacontent computer c rdamedia online resource cr rdacarrier ISTE Includes bibliographical references and index (pages 143-152). Factor Models and General Definition / Serge Darolles, Patrick Duvaut, Emmanuelle Jay -- Factor Selection / Serge Darolles, Patrick Duvaut, Emmanuelle Jay -- Least Squares Estimation (LSE) and Kalman Filtering (KF) for Factor Modeling: / Serge Darolles, Patrick Duvaut, Emmanuelle Jay -- A Regularized Kalman Filter (rgKF) for Spiky Data / Serge Darolles, Patrick Duvaut, Emmanuelle Jay -- Some Probability Densities -- Supplemental Images. With recent outbreaks of multiple large-scale financial crises, amplified by interconnected risk sources, a new paradigm of fund management has emerged. This new paradigm leverages "embedded" quantitative processes and methods to provide more transparent, adaptive, reliable and easily implemented "risk assessment-based" practices. This book surveys the most widely used factor models employed within the field of financial asset pricing. Through the concrete application of evaluating risks in the hedge fund industry, the authors demonstrate that signal processing techniques are an intere. Online resource; title from PDF title page (Wiley, viewed Aug. 14, 2013). Factor analysis. Signal processing Mathematics. Factor analysis. Signal processing Mathematics. Wireless communication systems. Factor analysis. fast (OCoLC)fst01432040 Signal processing Mathematics. fast (OCoLC)fst01118302 Electronic books. Duvaut, Patrick. Jay, Emmanuelle. Print version: Darolles, Serges. Multi-factor Models and Signal Processing Techniques : Application to Quantitative Finance. Hoboken : Wiley, ©2013 9781848214194 ISTE. http://onlinelibrary.wiley.com/book/10.1002/9781118577387 Wiley Online Library ddc BK 206938 206938