Statistics and Data Analysis for Financial Engineering
Financial engineers have access to enormous quantities of data but need powerful methods for extracting quantitative information, particularly about volatility and risks. Key features of this textbook are: illustration of concepts with financial markets and economic data, R Labs with real-data exerc...
| Κύριος συγγραφέας: | |
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| Συγγραφή απο Οργανισμό/Αρχή: | |
| Μορφή: | Ηλεκτρονική πηγή Ηλ. βιβλίο |
| Γλώσσα: | English |
| Έκδοση: |
New York, NY :
Springer New York,
2011.
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| Σειρά: | Springer Texts in Statistics,
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| Θέματα: | |
| Διαθέσιμο Online: | Full Text via HEAL-Link |
Πίνακας περιεχομένων:
- Introduction
- Returns
- Fixed income securities
- Exploratory data analysis
- Modeling univariate distributions
- Resampling
- Multivariate statistical models
- Copulas
- Time series models: basics
- Time series models: further topics
- Portfolio theory
- Regression: basics
- Regression: troubleshooting
- Regression: advanced topics
- Cointegration
- The capital asset pricing model
- Factor models and principal components
- GARCH models
- Risk management
- Bayesian data analysis and MCMC
- Nonparametric regression and splines.
