{"product_id":"bayesian-methods-in-finance-isbn-9780471920830","title":"Bayesian Methods in Finance","description":"\u003ci\u003eBayesian Methods in Finance\u003c\/i\u003e provides a detailed overview of the theory of Bayesian methods and explains their real-world applications to financial modeling. While the principles and concepts explained throughout the book can be used in financial modeling and decision making in general, the authors focus on portfolio management and market risk management—since these are the areas in finance where Bayesian methods have had the greatest penetration to date. \u003cp\u003ePreface xv\u003c\/p\u003e \u003cp\u003eAbout the Authors xvii\u003c\/p\u003e \u003cp\u003eCHAPTER 1 Introduction 1\u003c\/p\u003e \u003cp\u003eCHAPTER 2 The Bayesian Paradigm 6\u003c\/p\u003e \u003cp\u003eCHAPTER 3 Prior and Posterior Information, Predictive Inference 22\u003c\/p\u003e \u003cp\u003eCHAPTER 4 Bayesian Linear Regression Model 43\u003c\/p\u003e \u003cp\u003eCHAPTER 5 Bayesian Numerical Computation 61\u003c\/p\u003e \u003cp\u003eCHAPTER 6 Bayesian Framework For Portfolio Allocation 92\u003c\/p\u003e \u003cp\u003eCHAPTER 7 Prior Beliefs and Asset Pricing Models 118\u003c\/p\u003e \u003cp\u003eCHAPTER 8 The Black-Litterman Portfolio Selection Framework 141\u003c\/p\u003e \u003cp\u003eCHAPTER 9 Market Efficiency and Return Predictability 162\u003c\/p\u003e \u003cp\u003eCHAPTER 10 Volatility Models 185\u003c\/p\u003e \u003cp\u003eCHAPTER 11 Bayesian Estimation of ARCH-Type Volatility Models 202\u003c\/p\u003e \u003cp\u003eCHAPTER 12 Bayesian Estimation of Stochastic Volatility Models 229\u003c\/p\u003e \u003cp\u003eCHAPTER 13 Advanced Techniques for Bayesian Portfolio Selection 247\u003c\/p\u003e \u003cp\u003eCHAPTER 14 Multifactor Equity Risk Models 280\u003c\/p\u003e \u003cp\u003eReferences 298\u003c\/p\u003e \u003cp\u003eIndex 311\u003c\/p\u003e  \u003cp\u003eSvetlozar T. Rachev, PhD, Doctor of Science, is Chair-Professor at the University of Karlsruhe in the School of Economics and Business Engineering; Professor Emeritus at the University of California, Santa Barbara; and Chief-Scientist of FinAnalytica Inc.\u003c\/p\u003e \u003cp\u003eJohn S. J. Hsu, PhD, is Professor of Statistics and Applied Probability at the University of California, Santa Barbara.\u003c\/p\u003e \u003cp\u003eBiliana S. Bagasheva, PhD, has research interests in the areas of risk management, portfolio construction, Bayesian methods, and financial econometrics. Currently, she is a consultant in London.\u003c\/p\u003e \u003cp\u003eFrank J. Fabozzi, PhD, CFA, is Professor in the Practice of Finance and Becton Fellow at Yale University's School of Management and the Editor of the Journal of Portfolio Management.\u003c\/p\u003e  Recent years have seen an impressive growth in the variety and complexity of quantitative models and modeling techniques used in finance, particularly in portfolio and risk management. While criticisms of the excessive reliance on quantitative models resurface with each turmoil in the financial markets, the focus should be on employing techniques such that the likelihood of extreme events as well as the uncertainty of the decision-making environment are properly accounted for. Bayesian methods, coupled with heavy-tailed distributional assumptions, provide one theoretically sound avenue to achieve this goal.  \u003cp\u003eTogether with the ability to incorporate inform-ation from different sources and tackle complex estimation problems, dealing with estimation uncertainty has been a driving factor behind the increased popularity of Bayesian methods among academics and practitioners alike.\u003c\/p\u003e \u003cp\u003eThe aim of Bayesian Methods in Finance is to provide an overview of the theory of Bayesian methods and explain their real-world applications to financial modeling. While the principles and concepts explained in the book can be used in financial modeling and decision making in general, the authors focus on portfolio management and market risk management, since these are the areas in finance where Bayesian methods have had the greatest penetration to date.\u003c\/p\u003e \u003cp\u003eBayesian Methods in Finance offers both students of finance and practitioners an invaluable resource in the form of a previously unavailable, highly accessible, unified look at the use of the Bayesian methodology—as well as numerical computational methods—in financial models and asset management.\u003c\/p\u003e  \u003cp\u003eAn accessible overview of the theory and practice of Bayesian Methods in Finance\u003c\/p\u003e \u003cp\u003eThis first-of-its-kind book explains and illustrates the fundamentals of the Bayesian methodology and their applications to finance in clear and accessible terms.\u003c\/p\u003e \u003cp\u003e\u003ci\u003eBayesian Methods in Finance\u003c\/i\u003e provides a unified examination of the use of Bayesian theory and practice in portfolio and risk management—explaining the concepts and techniques that can be applied to real-world financial problems.\u003c\/p\u003e \u003cp\u003eThis book is a guide to using Bayesian methods and, notably, the Markov Chain Monte Carlo toolbox to: incorporate prior views of an analyst or a fund manager into the asset allocation process; estimate and predict volatility; improve risk forecasts; and combine the conclusions of different models. Each application presentation begins with the basics, works through the traditional \"frequentist\" perspective, and then follows with the Bayesian treatment.\u003c\/p\u003e \u003cp\u003eThis invaluable resource presents a theoretically sound framework for combining various sources of information and a robust estimation setting that explicitly incorporates estimation risk, and brings within reach the flexibility to handle complex and realistic models.\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47988794163429,"sku":"NP9780471920830","price":95.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780471920830.jpg?v=1761781614","url":"https:\/\/k12savings.com\/products\/bayesian-methods-in-finance-isbn-9780471920830","provider":"K12savings","version":"1.0","type":"link"}