Advanced Analytical Models: Over 800 Models and 300 Applications from the Basel II Accord to Wall Street and Beyond (Wiley, 2008)

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• May 13, 2015
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Advanced Analytical Models is a large collection of advanced models with a multitude of industry and domain applications. The book is based on years of academic research and practical consulting experience, coupled with domain expert contributions.

The Modeling Toolkit software that holds all the models, Risk Simulator risk simulation software, and Real Options SLS software were all developed by the author, with over 1,000 functions, tools, and model templates in these software applications. The trial versions are included in the accompanying DVD.

The applications covered are vast. Included are Basel II banking risk requirements (credit risk, credit spreads, default risk, value at risk, etc.) and financial analysis (exotic options and valuation), risk analysis (stochastic forecasting, risk-based Monte Carlo simulation, optimization), real options analysis (strategic options, decision analysis), Six Sigma and quality initiatives, management science and statistical applications, and and including everything in between, such as applied statistics, manufacturing, operations research, optimization, forecasting, and econometrics…read more