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Practical Quantitative Investment Management with Derivatives

  • Authors
  • Frances Cowell

Part of the Finance and Capital Markets Series book series (FCMS)

Table of contents

  1. Front Matter
    Pages i-xxvi
  2. Introduction

    1. Front Matter
      Pages 1-1
    2. Frances Cowell
      Pages 3-24
    3. Frances Cowell
      Pages 25-35
    4. Frances Cowell
      Pages 36-52
  3. Portfolio Construction

    1. Front Matter
      Pages 53-53
    2. Frances Cowell
      Pages 55-93
    3. Frances Cowell
      Pages 94-117
    4. Frances Cowell
      Pages 118-127
    5. Frances Cowell
      Pages 128-142
    6. Frances Cowell
      Pages 200-224
    7. Frances Cowell
      Pages 225-251
    8. Frances Cowell
      Pages 252-276
    9. Frances Cowell
      Pages 277-287
    10. Frances Cowell
      Pages 310-321
    11. Frances Cowell
      Pages 322-335
  4. Peripherals

    1. Front Matter
      Pages 337-337
    2. Frances Cowell
      Pages 339-349
    3. Frances Cowell
      Pages 350-365
    4. Frances Cowell
      Pages 366-379
    5. Frances Cowell
      Pages 380-392
    6. Frances Cowell
      Pages 393-399
  5. Appendices

    1. Front Matter
      Pages 401-401
    2. Frances Cowell
      Pages 403-406
    3. Frances Cowell
      Pages 407-417
    4. Frances Cowell
      Pages 418-430
    5. Frances Cowell
      Pages 431-439
    6. Frances Cowell
      Pages 440-456
    7. Frances Cowell
      Pages 457-466
  6. Back Matter
    Pages 467-502

About this book

Introduction

The book is divided into three sections plus detailed appendices and glossary and accompanying CD-ROM. The first section provides a description of the investment management process providing a context for quantitative techniques. Section 2 addresses different quantitative techniques as applied to investment management. Each chapter explains the techniques, the theoretical basis, the use of derivatives and other technology, implementation and management and the role of the custodian. Section 3 brings together issues such as currency management, performance measurement and appraisal and performance analysis. The accompanying CD-ROM contains spreadsheets in EXCEL giving examples used in the body of the text. Each example is cross-referenced for easy access.

Keywords

asset allocation Bonds derivatives Excel Futures Investment Options Portfolio Portfolio Management Swaps

Bibliographic information