Financial Econometrics, Mathematics and Statistics Theory, Method and Application /

• Main Authors: Lee, Cheng-Few (Author, http://id.loc.gov/vocabulary/relators/aut), Chen, Hong-Yi (http://id.loc.gov/vocabulary/relators/aut), Lee, John (http://id.loc.gov/vocabulary/relators/aut)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: New York, NY : Springer New York : Imprint: Springer, 2019.
• Edition: 1st ed. 2019.
• Subjects: Statistics .; Econometrics.; Economics, Mathematical .; Statistics for Business, Management, Economics, Finance, Insurance.; Quantitative Finance.

This rigorous textbook introduces graduate students to the principles of econometrics and statistics with a focus on methods and applications in financial research. Financial Econometrics, Mathematics, and Statistics illustrates tools and methods important for both finance and accounting that assist...

Table of Contents:

• Introduction to Financial Econometrics and Statistics
• Part A: Regression and Financial Econometrics
• Multiple Linear Regression
• Other Topics in Applied Regression Analysis.-Simultaneous Equation Models.-Econometric Approach to Financial Analysis, Planning, and Forecasting
• Fixed Effect vs Random Effect in Finance Research
• Alternative Methods to Deal with Measurement Error.-Three Alternative Errors-in-Variables Estimation Methods in Testing Capital Asset Pricing Model
• Spurious Regression and Data Mining in Conditional Asset Pricing Models.-Time-Series Analysis and Its Applications.-Time-Series: Analysis, Model, and Forecasting.-Hedge Ratio and Time-Series Analysis
• The Binomial, Multi-Nominal Distributions and Option Pricing Model
• Two Alternative Binomial Option Pricing Model Approaches to Derive Black-Scholes Option Pricing Model.-Normal, Lognormal Distribution, and Option Pricing Model.-Copula, Correlated Defaults, and Credit VaR.-Multivariate Analysis: Discriminant Analysis and Factor Analysis.-Stochastic Volatility Option Pricing Models
• Alternative Method to Estimate Implied Variance: Review and Comparison
• Numerical Valuation of Asian Options with Higher Moments in the Underlying Distribution.-Itô's Calculus: Derivation of the Black-Scholes Option Pricing Model.-Alternative Methods to Derive Option Pricing Models.-Constant Elasticity of Variance Option Pricing Model: Integration and Detailed Derivation
• Option Pricing and Hedging Performance under Stochastic Volatility and Stochastic Interest Rates.-Non-Parametric Method for European Option Bounds.