Patrick Duvaut's Books

Multi-factor Models and Signal Processing Techniques

Application to Quantitative Finance

By: Serges Darolles,Patrick Duvaut,Emmanuelle Jay

Write a review Read reviews Take a Quiz Solve Book Puzzle

Multi-factor Models and Signal Processing Techniques

Application to Quantitative Finance

By: Serges Darolles,Patrick Duvaut,Emmanuelle Jay

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 interesting alternative to the selection of factors (both fundamentals and statistical factors) and can provide more efficient estimation procedures, based on lq regularized Kalman filtering for instance. With numerous illustrative examples from stock markets, this book meets the needs of both finance practitioners and graduate students in science, econometrics and finance. Contents Foreword, Rama Cont. 1. Factor Models and General Definition. 2. Factor Selection. 3. Least Squares Estimation (LSE) and Kalman Filtering (KF) for Factor Modeling: A Geometrical Perspective. 4. A Regularized Kalman Filter (rgKF) for Spiky Data. Appendix: Some Probability Densities. About the Authors Serge Darolles is Professor of Finance at Paris-Dauphine University, Vice-President of QuantValley, co-founder of QAMLab SAS, and member of the Quantitative Management Initiative (QMI) scientific committee. His research interests include financial econometrics, liquidity and hedge fund analysis. He has written numerous articles, which have been published in academic journals. Patrick Duvaut is currently the Research Director of Telecom ParisTech, France. He is co-founder of QAMLab SAS, and member of the Quantitative Management Initiative (QMI) scientific committee. His fields of expertise encompass statistical signal processing, digital communications, embedded systems and QUANT finance. Emmanuelle Jay is co-founder and President of QAMLab SAS. She has worked at Aequam Capital as co-head of R&D since April 2011 and is member of the Quantitative Management Initiative (QMI) scientific committee. Her research interests include SP for finance, quantitative and statistical finance, and hedge fund analysis.

Average ratings

N/A

Write a review

Solve jigsaw puzzle

Age

Page Count

113

Publisher

John Wiley & Sons

Published Date

ISBN 10

1118577493

ISBN 13

9781118577493

Elastic, Plastic and Yield Design of Reinforced Structures

By: Patrick De Buhan,Jérémy Bleyer,Ghazi Hassen

Write a review Read reviews Take a Quiz Solve Book Puzzle

Elastic, Plastic and Yield Design of Reinforced Structures

By: Patrick De Buhan,Jérémy Bleyer,Ghazi Hassen

Elastic, Plastic and Yield Design of Reinforced Structures presents a whole set of new results which have been published by the authors over the last 30 years in the field of continuum solid mechanics applied to the analysis and design of reinforced civil engineering structures. The focus is on the development and application of up-scaling/homogenization methods in the design of such composite structures, with a special emphasis on the plastic behavior and ultimate strength of materials. The specificity of the book is highlighted by at least two completely innovative concepts which lie at the very heart of the book's originality: the elaboration of a fully comprehensive homogenization-based method for the design of reinforced structures (and not only materials), through the study of macroscopic behavior, and the development of a multiphase model for materials reinforced by linear inclusions, which considerably extends the range of applicability of the classical homogenization procedure. - Sums up almost thirty years of original research in the field of mechanics applied to the analysis and design of reinforced civil engineering structures - Focuses on the application of upscaling/homogenization methods to the design of civil engineering structures - Highlights the elaboration of a fully comprehensive homogenization-based method for the design of reinforced structures (and not only materials), through the concept of macroscopic behavior - Features development of a multiphase model for materials reinforced by linear inclusions, which considerably extends the range of applicability of the classical homogenization procedure.

Average ratings

N/A

Write a review

Solve jigsaw puzzle

Age

Page Count

344

Publisher

Elsevier

Published Date

ISBN 10

0081021135

ISBN 13

9780081021132

Time-Frequency/Time-Scale Analysis

By: Patrick Flandrin

Write a review Read reviews Take a Quiz Solve Book Puzzle

Time-Frequency/Time-Scale Analysis

By: Patrick Flandrin

This highly acclaimed work has so far been available only in French. It is a detailed survey of a variety of techniques for time-frequency/time-scale analysis (the essence of "Wavelet Analysis"). This book has broad and comprehensive coverage of a topic of keen interest to a variety of engineers, especially those concerned with signal and image processing. Flandrin provides a discussion of numerous issues and problems that arise from a mixed description in time and frequency, as well as problems in interpretation inherent in signal theory. - Detailed coverage of both linear and quadratic solutions - Various techniques for both random and deterministic signals

Average ratings

N/A

Write a review

Solve jigsaw puzzle

Age

Page Count

401

Publisher

Academic Press

Published Date

ISBN 10

0080543030

ISBN 13

9780080543031

Finite Element Approximation of Contact and Friction in Elasticity

By: Franz Chouly,Patrick Hild,Yves Renard

Write a review Read reviews Take a Quiz Solve Book Puzzle

Finite Element Approximation of Contact and Friction in Elasticity

By: Franz Chouly,Patrick Hild,Yves Renard

This book presents the mathematics behind the formulation, approximation, and numerical analysis of contact and friction problems. It also provides a survey of recent developments in the numerical approximation of such problems as well as several remaining unsolved issues. Particular focus is placed on the Signorini problem and on frictionless unilateral contact in small strain. The final chapters cover more complex, applications-oriented problems, such as frictional contact, multi-body contact, and large strain. Finite Element Approximation of Contact and Friction in Elasticity will be a valuable resource for researchers in the area. It may also be of interest to those studying scientific computing and computational mechanics.

Average ratings

N/A

Write a review

Solve jigsaw puzzle

Age

Page Count

306

Publisher

Springer Nature

Published Date

ISBN 10

3031314239

ISBN 13

9783031314230

Augmented Lagrangian and Operator Splitting Methods in Nonlinear Mechanics

By: Roland Glowinski,Patrick Le Tallec

Write a review Read reviews Take a Quiz Solve Book Puzzle

Augmented Lagrangian and Operator Splitting Methods in Nonlinear Mechanics

By: Roland Glowinski,Patrick Le Tallec

This volume deals with the numerical simulation of the behavior of continuous media by augmented Lagrangian and operator-splitting methods.

Average ratings

N/A

Write a review

Solve jigsaw puzzle

Age

Page Count

301

Publisher

SIAM

Published Date

ISBN 10

0898712300

ISBN 13

9780898712308

Integration Algorithms and Classical Mechanics

By: Jerrold E. Marsden,George William Patrick,W. F. Shadwick

Write a review Read reviews Take a Quiz Solve Book Puzzle

Integration Algorithms and Classical Mechanics

By: Jerrold E. Marsden,George William Patrick,W. F. Shadwick

Dedicated to the late Juan Carlos Simo, this volume contains the proceedings of a workshop held at the Fields Institute in October 1993. The articles focus on current algorithms for the integration of mechanical systems, from systems in celestial mechanics to coupled rigid bodies to fluid mechanics. The scope of the articles ranges from symplectic integration methods to energy-momentum methods and related themes.

Average ratings

N/A

Write a review

Solve jigsaw puzzle

Age

Page Count

258

Publisher

American Mathematical Soc.

Published Date

ISBN 10

0821802593

ISBN 13

9780821802595

Integration Algorithms and Classical Mechanics

By: Jerrold E. Marsden, George W. Patrick, and William F. Shadwick

Write a review Read reviews Take a Quiz Solve Book Puzzle

Integration Algorithms and Classical Mechanics

By: Jerrold E. Marsden, George W. Patrick, and William F. Shadwick

Average ratings

N/A

Write a review

Solve jigsaw puzzle

Age

Page Count

260

Publisher

American Mathematical Soc.

ISBN 10

0821871188

ISBN 13

9780821871188

Multi-factor Models and Signal Processing Techniques

Application to Quantitative Finance

By: Serges Darolles,Patrick Duvaut,Emmanuelle Jay

Write a review Read reviews Take a Quiz Solve Book Puzzle

Multi-factor Models and Signal Processing Techniques

Application to Quantitative Finance

By: Serges Darolles,Patrick Duvaut,Emmanuelle Jay

Average ratings

N/A

Write a review

Solve jigsaw puzzle

Age

Page Count

113

Publisher

John Wiley & Sons

Published Date

ISBN 10

1118577493

ISBN 13

9781118577493

Book's by Patrick Duvaut

Multi-factor Models and Signal Processing Techniques

Multi-factor Models and Signal Processing Techniques

Elastic, Plastic and Yield Design of Reinforced Structures

Elastic, Plastic and Yield Design of Reinforced Structures

Time-Frequency/Time-Scale Analysis

Time-Frequency/Time-Scale Analysis

Finite Element Approximation of Contact and Friction in Elasticity

Finite Element Approximation of Contact and Friction in Elasticity

Augmented Lagrangian and Operator Splitting Methods in Nonlinear Mechanics

Augmented Lagrangian and Operator Splitting Methods in Nonlinear Mechanics

Integration Algorithms and Classical Mechanics

Integration Algorithms and Classical Mechanics

Integration Algorithms and Classical Mechanics

Integration Algorithms and Classical Mechanics

Multi-factor Models and Signal Processing Techniques

Multi-factor Models and Signal Processing Techniques

Username

Password

Username

Password

Password again

Birthday

Email