๐”– Scriptorium
โœฆ   LIBER   โœฆ

๐Ÿ“

Statistics and Data Analysis for Financial Engineering: with R examples

โœ Scribed by David Ruppert, David S. Matteson (auth.)


Publisher
Springer-Verlag New York
Year
2015
Tongue
English
Leaves
736
Series
Springer Texts in Statistics
Edition
2
Category
Library

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โœฆ Synopsis


The new edition of this influential textbook, geared towards graduate or advanced undergraduate students, teaches the statistics necessary for financial engineering. In doing so, it illustrates concepts using financial markets and economic data, R Labs with real-data exercises, and graphical and analytic methods for modeling and diagnosing modeling errors. These methods are critical because financial engineers now have access to enormous quantities of data. To make use of this data, the powerful methods in this book for working with quantitative information, particularly about volatility and risks, are essential. Strengths of this fully-revised edition include major additions to the R code and the advanced topics covered. Individual chapters cover, among other topics, multivariate distributions, copulas, Bayesian computations, risk management, and cointegration. Suggested prerequisites are basic knowledge of statistics and probability, matrices and linear algebra, and calculus. There is an appendix on probability, statistics and linear algebra. Practicing financial engineers will also find this book of interest.

โœฆ Table of Contents


Front Matter....Pages i-xxvi
Introduction....Pages 1-4
Returns....Pages 5-18
Fixed Income Securities....Pages 19-43
Exploratory Data Analysis....Pages 45-83
Modeling Univariate Distributions....Pages 85-135
Resampling....Pages 137-156
Multivariate Statistical Models....Pages 157-182
Copulas....Pages 183-215
Regression: Basics....Pages 217-248
Regression: Troubleshooting....Pages 249-268
Regression: Advanced Topics....Pages 269-306
Time Series Models: Basics....Pages 307-360
Time Series Models: Further Topics....Pages 361-404
GARCH Models....Pages 405-452
Cointegration....Pages 453-463
Portfolio Selection....Pages 465-493
The Capital Asset Pricing Model....Pages 495-515
Factor Models and Principal Components....Pages 517-552
Risk Management....Pages 553-579
Bayesian Data Analysis and MCMC....Pages 581-644
Nonparametric Regression and Splines....Pages 645-667
Back Matter....Pages 669-719

โœฆ Subjects


Statistics for Business/Economics/Mathematical Finance/Insurance; Quantitative Finance; Statistical Theory and Methods; Finance/Investment/Banking


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