Bayesian methods in finance
Rachev, Svetlozar T.
Hsu, John S.J.
Bagasheva, Biliana S.
Fabozzi, Frank J.
Bayesian Methods in Finance explains and illustrates the foundations of the Bayesian methodology in clear and accessible terms. It provides a unified examination of the use of the Bayesian theory and practice to analyze and evaluate asset management. With this book as their guide, readers will learn how to useBayesian methods, and notably, the Markov Chain Monte Carlo toolbox, to incorporate the prior views of a fund manager into the asset allocation process, estimate and predict volatility, improve risk forecasts, calculate option prices, and combine the conclusions of different models. Bayesian Methods in Financeclearly shows readers how to apply this approach to the world of investment management, risk management, asset pricing, and corporate finance.
- ISBN: 978-0-471-92083-0
- Editorial: John Wiley & Sons
- Encuadernacion: Cartoné
- Páginas: 352
- Fecha Publicación: 20/02/2008
- Nº Volúmenes: 1
- Idioma: Inglés