Statistics and Data Analysis for Financial Engineering

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Viser: Statistics and Data Analysis for Financial Engineering - With R Examples

With R Examples

David Ruppert og David S. Matteson

(2016)

Sprog: Engelsk

Springer New York

698,00 kr.

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2. Udgave
Paperback
Udgiver: Springer New York (Oktober 2016)
Forfattere: David Ruppert og David S. Matteson
ISBN: 9781493951734

Beskrivelse
Indhold

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.

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.

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SØG - mellem flere end 8 millioner bøger:

Viser: Statistics and Data Analysis for Financial Engineering - With R Examples

Statistics and Data Analysis for Financial Engineering

With R Examples

David Ruppert og David S. Matteson

(2016)

Sprog: Engelsk

Detaljer om varen

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Polyteknisk Boghandel

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Hjem

SØG - mellem flere end 8 millioner bøger:

Viser: Statistics and Data Analysis for Financial Engineering - With R Examples

Statistics and Data Analysis for Financial Engineering

With R Examples

David Ruppert og David S. Matteson

(2016)

Sprog: Engelsk

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Detaljer om varen

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Polyteknisk Boghandel

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