Darolles, Serge. creator Duvaut, Patrick. Jay, Emmanuelle. text bibliography Electronic books. nju Hoboken London Wiley ISTE 2013 monographic eng

electronic resource

1 online resource (xxiii, 162 pages) : illustrations. 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. 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. Serge Darolles, Patrick Duvaut, Emmanuelle Jay. Includes bibliographical references and index (pages 143-152). Factor analysis Signal processing Mathematics Factor analysis Signal processing Mathematics Wireless communication systems Factor analysis Signal processing Mathematics QA278.5 519.5/354 Darolles, Serges. Hoboken : Wiley, ©2013 9781118577387 1118577388 9781118577400 111857740X http://onlinelibrary.wiley.com/book/10.1002/9781118577387 http://onlinelibrary.wiley.com/book/10.1002/9781118577387 DG1 130814 20171106092650.0 ocn855780055 eng