/

Nematrian Website Pages on Quantitative Finance

[this page | pdf | references | back links]

Topics covered in this section of the Nematrian website include:

 

-          Derivative Pricing

-          Performance Measurement and Attribution

-          Risk measurement

-          Style analysis

-          Return forecasting

-          Portfolio optimisation

-          Backtesting

-          Liability Driven Investment

-          Quantitative aspects of Enterprise Risk Management, including ERM for pension funds

 

References

 

Kemp, M.H.D. (2009). Market Consistency: Model calibration in imperfect markets. John Wiley & Sons [for further information on this book please see Market Consistency]

 

Kemp, M.H.D. (2010). Extreme Events: Robust Portfolio Construction in the Presence of Fat Tails. John Wiley & Sons [for further information on this book please see Extreme Events]

 

---