1 Approximating Value at Risk

2 Applications of Copulas for the Calculation of Value-at-Risk 35 3 Quanti cation of Spread Risk by Means of Historical Simulation 51 4 Rating Migrations 87 5 Sensitivity analysis of credit portfolio models 111 6 The Analysis of Implied Volatilities 127 7 How Precise Are Price Distributions Predicted by IBT? 145 8 Estimating State-Price Densities with Nonparametric Regression 171 9 Trading on Deviations of Implied and Historical Densities 197 10 Multivariate Volatility Models 221 11 Statistical Process Control 237 12 An Empirical Likelihood Goodness-of-Fit Test for Di usions 259 13 A simple state space model of house prices 283 14 Long Memory E ects Trading Strategy 309 15 Locally time homogeneous time series modeling 323 16 Simulation based Option Pricing 349 17 Nonparametric Estimators of GARCH Processes 367 18 Net Based Spreadsheets in Quantitative Finance 385