rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Statistical Models and Methods for Financial Markets
  name:
    name part: Lai, Tze Leung.
    role:
      role term: creator
    role:
      role term: author.
  name:
    name part: Xing, Haipeng.
    role:
      role term: author.
  name:
    name part: SpringerLink (Online service)
  type of resource: text
  origin info:
    place:
      place term: xxu
    date issued: 2008
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: electronic
    form: electronic resource
    reformatting quality: access
    form: remote
    extent: XX, 356 p. online resource.
  abstract: This book presents statistical methods and models of importance to quantitative finance and links finance theory to market practice via statistical modeling and decision making. Part I provides basic background in statistics, which includes linear regression and extensions to generalized linear models and nonlinear regression, multivariate analysis, likelihood inference and Bayesian methods, and time series analysis. It also describes applications of these methods to portfolio theory and dynamic models of asset returns and their volatilities. Part II presents advanced topics in quantitative finance and introduces a substantive-empirical modeling approach to address the discrepancy between finance theory and market data. It describes applications to option pricing, interest rate markets, statistical trading strategies, and risk management. Nonparametric regression, advanced multivariate and time series methods in financial econometrics, and statistical models for high-frequency transactions data are also introduced in this connection. The book has been developed as a textbook for courses on statistical modeling in quantitative finance in master's level financial mathematics (or engineering) and computational (or mathematical) finance programs. It is also designed for self-study by quantitative analysts in the financial industry who want to learn more about the background and details of the statistical methods used by the industry. It can also be used as a reference for graduate statistics and econometrics courses on regression, multivariate analysis, likelihood and Bayesian inference, nonparametrics, and time series, providing concrete examples and data from financial markets to illustrate the statistical methods. Tze Leung Lai is Professor of Statistics and Director of Financial Mathematics at Stanford University. He received the Ph.D. degree in 1971 from Columbia University, where he remained on the faculty until moving to Stanford University in 1987. He received t…
  table of contents: Basic Statistical Methods and Financial Applications -- Linear Regression Models -- Multivariate Analysis and Likelihood Inference -- Basic Investment Models and Their Statistical Analysis -- Parametric Models and Bayesian Methods -- Time Series Modeling and Forecasting -- Dynamic Models of Asset Returns and Their Volatilities -- Advanced Topics in Quantitative Finance -- Nonparametric Regression and Substantive-Empirical Modeling -- Option Pricing and Market Data -- Advanced Multivariate and Time Series Methods in Financial Econometrics -- Interest Rate Markets -- Statistical Trading Strategies -- Statistical Methods in Risk Management.
  note: by Tze Leung Lai, Haipeng Xing.
  subject:
    topic: Economics, Mathematical
  subject:
    topic: Probabilities
  subject:
    topic: Statistics
  subject:
    topic: Public finance
  subject:
    topic: Economics
  subject:
    topic: Public Economics
  subject:
    topic: Probability Theory and Stochastic Processes
  subject:
    topic: Statistics for Business/Economics/Mathematical Finance/Insurance
  subject:
    topic: Quantitative Finance
  classification: HJ9-9940
  classification: 336
  related item:
    title info:
      title: Springer eBooks
  related item:
    title info:
      title: Springer Texts in Statistics
  identifier: 9780387778273
  identifier: http://dx.doi.org/10.1007/978-0-387-77827-3
  record info:
    record creation date: 100301
    record change date: 20151204153446.0
    record identifier: 978-0-387-77827-3