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This book proposes new tools and models to price options, assess market volatility, and investigate the market efficiency hypothesis. In particular, it consider
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This book proposes new methods to build optimal portfolios and to analyze market liquidity and volatility under market microstructure effects, as well as new fi
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This book investigates several competing forecasting models for interest rates, financial returns, and realized volatility, addresses the usefulness of nonlinea
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The past twenty years have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals now routinely use sophist