Statistics-Applied Quantitative Finance
Author: Wolfgang Hardle

Context:
Part 1 value at risk
Chapter 1 Approximating value in conditional Gaussian Models
Chapter 2 Application of Copulas for the calculation of value-at-risk
Chapter 3 Quantification of Spread Risk by Means of Historian Simulation


Part 2 Credit Risk
Chapter 4 Rating Migrations
Chapter 5 Sensitivity analysis of portfolio models

Part 3 Implied Volatility
Chapter 6 The analysis of Implied Volatilities
Chapter 7 How Precise are price distributions predicted by IBT
Chapter 8 Estimating State-Price Densities with Nonparametric Regression
Chapter 9 Trading on Deviations of Implied and Historical Densities

Part 4 Econometrics
Chapter 10 Multivariate Volatility Models
Chapter 11 Statistical Process Control
Chapter 12 An Empirical Likelihood Goodness-of-Fit Test for Diffusions
Chapter 13 A simple state space model of house prices
Chapter 14 Long Memory Effects Trading Strategy
Chapter 15 Locally Time homogeneous time series modeling
Chapter 16 Simulation based Option Pricing
Chapter 17 Non parametric Estimators of GARCH Process
Chapter 18 Net Based Spreadsheets in Quantitative Finance