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Statistical Analysis of Financial Data in R

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概要 Although there are many books on mathematical finance, few deal with the statistical aspects of modern data analysis as applied to financial problems. This book fills this gap by addressing some of th...e most challenging issues facing any financial engineer. It shows how sophisticated mathematics and modern statistical techniques can be used in concrete financial problems. Concerns of risk management are addressed by the control of extreme values, the fitting of distributions with heavy tails, the computation of values at risk (VaR), and other measures of risk. Data description techniques such as principal component analysis (PCA), smoothing, and regression are applied to the construction of yield and forward curve. Nonparametric estimation and nonlinear filtering are used for option pricing and earnings prediction. The book is intended for undergraduate students majoring in financial engineering, or graduate students in a Master in finance or MBA program. Because it was designed as a teaching vehicle, it is sprinkled with practical examples using market data, and each chapter ends with exercises. Practical examples are solved in the computing environment of R. They illustrate problems occurring in the commodity and energy markets, the fixed income markets as well as the equity markets, and even some new emerging markets like the weather markets. The book can help quantitative analysts by guiding them through the details of statistical model estimation and implementation. It will also be of interest to researchers wishing to manipulate financial data, implement abstract concepts, and test mathematical theories, especially by addressing practical issues that are often neglected in the presentation of the theory.続きを見る
目次 Univariate Data Distributions
Heavy Tail Distributions
Dependence and Multivariate Data Exploration
Parametric Regression
Local and Nonparametric Regression
Time Series Models
Multivariate Time Series, Linear Systems and Kalman Filtering
Nonlinear Time Series: Models and Simulation
Appendices
Indices.
本文を見る Full text available from Springer Mathematics and Statistics eBooks 2014 English/International

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登録日 2020.06.27
更新日 2020.06.28