TY  - BOOK
AU  - Darolles,Serge
AU  - Duvaut,Patrick
AU  - Jay,Emmanuelle
TI  - Multi-factor models and signal processing techniques: application to quantitative finance 
T2  - ISTE
SN  - 9781118577387
AV  - QA278.5 
U1  - 519.5/354 23
PY  - 2013///
CY  - Hoboken, London
PB  - Wiley, ISTE
KW  - Factor analysis
KW  - Signal processing
KW  - Mathematics
KW  - Wireless communication systems
KW  - fast
KW  - Electronic books
N1  - Includes bibliographical references and index (pages 143-152); Factor Models and General Definition / Serge Darolles, Patrick Duvaut, Emmanuelle Jay -- Factor Selection / Serge Darolles, Patrick Duvaut, Emmanuelle Jay -- Least Squares Estimation (LSE) and Kalman Filtering (KF) for Factor Modeling: / Serge Darolles, Patrick Duvaut, Emmanuelle Jay -- A Regularized Kalman Filter (rgKF) for Spiky Data / Serge Darolles, Patrick Duvaut, Emmanuelle Jay -- Some Probability Densities -- Supplemental Images; mc
N2  - With recent outbreaks of multiple large-scale financial crises, amplified by interconnected risk sources, a new paradigm of fund management has emerged. This new paradigm leverages "embedded" quantitative processes and methods to provide more transparent, adaptive, reliable and easily implemented "risk assessment-based" practices. This book surveys the most widely used factor models employed within the field of financial asset pricing. Through the concrete application of evaluating risks in the hedge fund industry, the authors demonstrate that signal processing techniques are an intere
UR  - http://dx.doi.org/10.1002/9781118577387
ER  -