Statistics and Data Analysis for Financial Engineering

• Main Author: Ruppert, David (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: New York, NY : Springer New York, 2011.
• Series: Springer Texts in Statistics,
• Subjects: Statistics.; Statistics for Business/Economics/Mathematical Finance/Insurance.

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...

Table of Contents:

• 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.