Statistical Analysis of Financial Data in S-Plus

Rene Carmona (Autor)

Buch | Softcover

455 Seiten

2011 | Softcover reprint of the original 1st ed. 2004
Springer-Verlag New York Inc.
978-1-4419-1908-3 (ISBN)

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Statistical Analysis of Financial Data in R

René Carmona

2013

Buch | Hardcover

CHF 239, ⁶⁵

zur Neuauflage

This book develops the use of statistical data analysis in finance, and it uses the statistical software environment of S-PLUS as a vehicle for presenting practical implementations from financial engineering. It is divided into three parts. Part I, Exploratory Data Analysis, reviews the most commonly used methods of statistical data exploration. Its originality lies in the introduction of tools for the estimation and simulation of heavy tail distributions and copulas, the computation of measures of risk, and the principal component analysis of yield curves. Part II, Regression, introduces modern regression concepts with an emphasis on robustness and non-parametric techniques. The applications include the term structure of interest rates, the construction of commodity forward curves, and nonparametric alternatives to the Black Scholes option pricing paradigm. Part III, Time Series and State Space Models, is concerned with theories of time series and of state space models. Linear ARIMA models are applied to the analysis of weather derivatives, Kalman filtering is applied to public company earnings prediction, and nonlinear GARCH models and nonlinear filtering are applied to stochastic volatility models. The book is aimed at undergraduate students in financial engineering, master students in finance and MBA's, and to practitioners with financial data analysis concerns.

Data Exploration, Estimation and Simulation.- Univariate Exploratory Data Analysis.- Multivariate Data Exploration.- Regression.- Parametric Regression.- Local & Nonparametric Regression.- Time Series & State Space Models.- Time Series Models: AR, MA, ARMA, & All That.- Multivariate Time Series, Linear Systems and Kalman Filtering.- Nonlinear Time Series: Models and Simulation.

Reihe/Serie	Springer Texts in Statistics
Zusatzinfo	138 Illustrations, black and white; XVI, 455 p. 138 illus.
Verlagsort	New York, NY
Sprache	englisch
Maße	178 x 254 mm
Themenwelt	Mathematik / Informatik ► Mathematik ► Analysis
	Mathematik / Informatik ► Mathematik ► Computerprogramme / Computeralgebra
	Mathematik / Informatik ► Mathematik ► Finanz- / Wirtschaftsmathematik
	Mathematik / Informatik ► Mathematik ► Statistik
	Wirtschaft ► Allgemeines / Lexika
	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
	Betriebswirtschaft / Management ► Spezielle Betriebswirtschaftslehre ► Versicherungsbetriebslehre
ISBN-10	1-4419-1908-2 / 1441919082
ISBN-13	978-1-4419-1908-3 / 9781441919083
Zustand	Neuware