A Course On Statistics For Finance

Author : Stanley L. Sclove
Publisher : CRC Press
Page : 281 pages
File Size : 49,9 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9781439892541

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A Course on Statistics for Finance by Stanley L. Sclove Pdf

Taking a data-driven approach, A Course on Statistics for Finance presents statistical methods for financial investment analysis. The author introduces regression analysis, time series analysis, and multivariate analysis step by step using models and methods from finance. The book begins with a review of basic statistics, including descriptive statistics, kinds of variables, and types of data sets. It then discusses regression analysis in general terms and in terms of financial investment models, such as the capital asset pricing model and the Fama/French model. It also describes mean-variance portfolio analysis and concludes with a focus on time series analysis. Providing the connection between elementary statistics courses and quantitative finance courses, this text helps both existing and future quants improve their data analysis skills and better understand the modeling process.

Author : Stanley L. Sclove
Publisher : CRC Press
Page : 280 pages
File Size : 51,8 Mb
Release : 2018-09-03
Category : Business & Economics
ISBN : 9781315362847

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A Course on Statistics for Finance by Stanley L. Sclove Pdf

Taking a data-driven approach, A Course on Statistics for Finance presents statistical methods for financial investment analysis. The author introduces regression analysis, time series analysis, and multivariate analysis step by step using models and methods from finance. The book begins with a review of basic statistics, including descriptive statistics, kinds of variables, and types of data sets. It then discusses regression analysis in general terms and in terms of financial investment models, such as the capital asset pricing model and the Fama/French model. It also describes mean-variance portfolio analysis and concludes with a focus on time series analysis. Providing the connection between elementary statistics courses and quantitative finance courses, this text helps both existing and future quants improve their data analysis skills and better understand the modeling process.

Author : David Ruppert,David S. Matteson
Publisher : Springer
Page : 719 pages
File Size : 40,9 Mb
Release : 2015-04-21
Category : Business & Economics
ISBN : 9781493926145

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Statistics and Data Analysis for Financial Engineering by David Ruppert,David S. Matteson Pdf

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.

Author : Erik Lindström,Henrik Madsen,Jan Nygaard Nielsen
Publisher : CRC Press
Page : 384 pages
File Size : 44,7 Mb
Release : 2016-04-21
Category : Business & Economics
ISBN : 9781498785891

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Statistics for Finance by Erik Lindström,Henrik Madsen,Jan Nygaard Nielsen Pdf

Statistics for Finance develops students’ professional skills in statistics with applications in finance. Developed from the authors’ courses at the Technical University of Denmark and Lund University, the text bridges the gap between classical, rigorous treatments of financial mathematics that rarely connect concepts to data and books on econometrics and time series analysis that do not cover specific problems related to option valuation. The book discusses applications of financial derivatives pertaining to risk assessment and elimination. The authors cover various statistical and mathematical techniques, including linear and nonlinear time series analysis, stochastic calculus models, stochastic differential equations, Itō’s formula, the Black–Scholes model, the generalized method-of-moments, and the Kalman filter. They explain how these tools are used to price financial derivatives, identify interest rate models, value bonds, estimate parameters, and much more. This textbook will help students understand and manage empirical research in financial engineering. It includes examples of how the statistical tools can be used to improve value-at-risk calculations and other issues. In addition, end-of-chapter exercises develop students’ financial reasoning skills.

Author : Tze Leung Lai,Haipeng Xing
Publisher : Springer Science & Business Media
Page : 363 pages
File Size : 50,9 Mb
Release : 2008-09-08
Category : Business & Economics
ISBN : 9780387778273

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Statistical Models and Methods for Financial Markets by Tze Leung Lai,Haipeng Xing Pdf

The idea of writing this bookarosein 2000when the ?rst author wasassigned to teach the required course STATS 240 (Statistical Methods in Finance) in the new M. S. program in ?nancial mathematics at Stanford, which is an interdisciplinary program that aims to provide a master’s-level education in applied mathematics, statistics, computing, ?nance, and economics. Students in the programhad di?erent backgroundsin statistics. Some had only taken a basic course in statistical inference, while others had taken a broad spectrum of M. S. - and Ph. D. -level statistics courses. On the other hand, all of them had already taken required core courses in investment theory and derivative pricing, and STATS 240 was supposed to link the theory and pricing formulas to real-world data and pricing or investment strategies. Besides students in theprogram,thecoursealso attractedmanystudentsfromother departments in the university, further increasing the heterogeneity of students, as many of them had a strong background in mathematical and statistical modeling from the mathematical, physical, and engineering sciences but no previous experience in ?nance. To address the diversity in background but common strong interest in the subject and in a potential career as a “quant” in the ?nancialindustry,thecoursematerialwascarefullychosennotonlytopresent basic statistical methods of importance to quantitative ?nance but also to summarize domain knowledge in ?nance and show how it can be combined with statistical modeling in ?nancial analysis and decision making. The course material evolved over the years, especially after the second author helped as the head TA during the years 2004 and 2005.

Author : Erik Lindström,Henrik Madsen,Jan Nygaard Nielsen
Publisher : CRC Press
Page : 384 pages
File Size : 55,5 Mb
Release : 2018-09-03
Category : Business & Economics
ISBN : 9781315362557

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Statistics for Finance by Erik Lindström,Henrik Madsen,Jan Nygaard Nielsen Pdf

Statistics for Finance develops students’ professional skills in statistics with applications in finance. Developed from the authors’ courses at the Technical University of Denmark and Lund University, the text bridges the gap between classical, rigorous treatments of financial mathematics that rarely connect concepts to data and books on econometrics and time series analysis that do not cover specific problems related to option valuation. The book discusses applications of financial derivatives pertaining to risk assessment and elimination. The authors cover various statistical and mathematical techniques, including linear and nonlinear time series analysis, stochastic calculus models, stochastic differential equations, Itō’s formula, the Black–Scholes model, the generalized method-of-moments, and the Kalman filter. They explain how these tools are used to price financial derivatives, identify interest rate models, value bonds, estimate parameters, and much more. This textbook will help students understand and manage empirical research in financial engineering. It includes examples of how the statistical tools can be used to improve value-at-risk calculations and other issues. In addition, end-of-chapter exercises develop students’ financial reasoning skills.

Author : René Carmona
Publisher : Springer Science & Business Media
Page : 456 pages
File Size : 45,7 Mb
Release : 2006-04-18
Category : Business & Economics
ISBN : 9780387218243

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Statistical Analysis of Financial Data in S-Plus by René Carmona Pdf

This is the first book at the graduate textbook level to discuss analyzing financial data with S-PLUS. 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. 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.

Author : Szymon Borak,Wolfgang Karl Härdle,Brenda López-Cabrera
Publisher : Springer Science & Business Media
Page : 246 pages
File Size : 44,8 Mb
Release : 2013-01-11
Category : Business & Economics
ISBN : 9783642339295

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Statistics of Financial Markets by Szymon Borak,Wolfgang Karl Härdle,Brenda López-Cabrera Pdf

Practice makes perfect. Therefore the best method of mastering models is working with them. This book contains a large collection of exercises and solutions which will help explain the statistics of financial markets. These practical examples are carefully presented and provide computational solutions to specific problems, all of which are calculated using R and Matlab. This study additionally looks at the concept of corresponding Quantlets, the name given to these program codes and which follow the name scheme SFSxyz123. The book is divided into three main parts, in which option pricing, time series analysis and advanced quantitative statistical techniques in finance is thoroughly discussed. The authors have overall successfully created the ideal balance between theoretical presentation and practical challenges.

Author : Walter A. Rosenkrantz
Publisher : CRC Press
Page : 680 pages
File Size : 42,5 Mb
Release : 2008-07-10
Category : Mathematics
ISBN : 9781584888130

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Introduction to Probability and Statistics for Science, Engineering, and Finance by Walter A. Rosenkrantz Pdf

Integrating interesting and widely used concepts of financial engineering into traditional statistics courses, Introduction to Probability and Statistics for Science, Engineering, and Finance illustrates the role and scope of statistics and probability in various fields. The text first introduces the basics needed to understand and create

Author : Svetlozar T. Rachev,Markus Hoechstoetter,Frank J. Fabozzi,Sergio M. Focardi
Publisher : John Wiley & Sons
Page : 676 pages
File Size : 46,9 Mb
Release : 2010-07-30
Category : Business & Economics
ISBN : 9780470906323

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Probability and Statistics for Finance by Svetlozar T. Rachev,Markus Hoechstoetter,Frank J. Fabozzi,Sergio M. Focardi Pdf

A comprehensive look at how probability and statistics is applied to the investment process Finance has become increasingly more quantitative, drawing on techniques in probability and statistics that many finance practitioners have not had exposure to before. In order to keep up, you need a firm understanding of this discipline. Probability and Statistics for Finance addresses this issue by showing you how to apply quantitative methods to portfolios, and in all matter of your practices, in a clear, concise manner. Informative and accessible, this guide starts off with the basics and builds to an intermediate level of mastery. • Outlines an array of topics in probability and statistics and how to apply them in the world of finance • Includes detailed discussions of descriptive statistics, basic probability theory, inductive statistics, and multivariate analysis • Offers real-world illustrations of the issues addressed throughout the text The authors cover a wide range of topics in this book, which can be used by all finance professionals as well as students aspiring to enter the field of finance.

Author : McKinsey & Company Inc.,Tim Koller,Marc Goedhart,David Wessels,Michael Cichello
Publisher : John Wiley & Sons
Page : 256 pages
File Size : 55,5 Mb
Release : 2015-09-21
Category : Business & Economics
ISBN : 9781118873878

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Valuation Workbook by McKinsey & Company Inc.,Tim Koller,Marc Goedhart,David Wessels,Michael Cichello Pdf

A vital companion to the #1 best-selling guide to corporate valuation Valuation Workbook is the ideal companion to McKinsey's Valuation, helping you get a handle on difficult concepts and calculations before using them in the real world. This workbook reviews all things valuation, with chapter-by-chapter summaries and comprehensive questions and answers that allow you to test your knowledge and skills. Useful both in the classroom and for self-study, this must-have guide is essential for reviewing and applying the renowned McKinsey & Company approach to valuation and reinforces the major topics discussed in detail in the book. Fully updated to align with the sixth edition of Valuation, this workbook is an invaluable learning tool for students and professionals alike. Valuation has become central to corporate financial strategy, and practitioners must be exceptional at every aspect of the role. There is no room for weak points, and excellence is mandatory. This workbook helps you practice, review, study, and test yourself until you are absolutely solid in every concept, every technique, and every aspect of valuation as demanded in today's economy. Master value creation, value metrics, M&A, joint ventures, and more Analyze historical information, forecast performance, and analyze results Estimate the cost of capital, continuing value, and other vital calculations Test your understanding before putting it to work in the real world Designed specifically to reinforce the material presented in the book, this workbook provides independent learners with the opportunity to try their hand at critical valuation skills, and helps students master the material so they can enter the job market ready to perform. For financial professionals and students seeking deep, comprehensive understanding, Valuation Workbook is an essential part of the McKinsey Valuation suite.

Author : Argimiro Arratia
Publisher : Springer Science & Business Media
Page : 301 pages
File Size : 45,6 Mb
Release : 2014-05-08
Category : Computers
ISBN : 9789462390706

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Computational Finance by Argimiro Arratia Pdf

The book covers a wide range of topics, yet essential, in Computational Finance (CF), understood as a mix of Finance, Computational Statistics, and Mathematics of Finance. In that regard it is unique in its kind, for it touches upon the basic principles of all three main components of CF, with hands-on examples for programming models in R. Thus, the first chapter gives an introduction to the Principles of Corporate Finance: the markets of stock and options, valuation and economic theory, framed within Computation and Information Theory (e.g. the famous Efficient Market Hypothesis is stated in terms of computational complexity, a new perspective). Chapters 2 and 3 give the necessary tools of Statistics for analyzing financial time series, it also goes in depth into the concepts of correlation, causality and clustering. Chapters 4 and 5 review the most important discrete and continuous models for financial time series. Each model is provided with an example program in R. Chapter 6 covers the essentials of Technical Analysis (TA) and Fundamental Analysis. This chapter is suitable for people outside academics and into the world of financial investments, as a primer in the methods of charting and analysis of value for stocks, as it is done in the financial industry. Moreover, a mathematical foundation to the seemly ad-hoc methods of TA is given, and this is new in a presentation of TA. Chapter 7 reviews the most important heuristics for optimization: simulated annealing, genetic programming, and ant colonies (swarm intelligence) which is material to feed the computer savvy readers. Chapter 8 gives the basic principles of portfolio management, through the mean-variance model, and optimization under different constraints which is a topic of current research in computation, due to its complexity. One important aspect of this chapter is that it teaches how to use the powerful tools for portfolio analysis from the RMetrics R-package. Chapter 9 is a natural continuation of chapter 8 into the new area of research of online portfolio selection. The basic model of the universal portfolio of Cover and approximate methods to compute are also described.

Author : David Ruppert
Publisher : Unknown
Page : 496 pages
File Size : 40,7 Mb
Release : 2005-01-01
Category : Maliye
ISBN : 8181282191

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Statistics And Finance: An Introduction by David Ruppert Pdf

Author : Mark J. Bennett,Dirk L. Hugen
Publisher : Cambridge University Press
Page : 397 pages
File Size : 48,7 Mb
Release : 2016-10-06
Category : Business & Economics
ISBN : 9781107150751

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Financial Analytics with R by Mark J. Bennett,Dirk L. Hugen Pdf

Financial Analytics with R sharpens readers' skills in time-series, forecasting, portfolio selection, covariance clustering, prediction, and derivative securities.

Author : Ruey S. Tsay
Publisher : John Wiley & Sons
Page : 341 pages
File Size : 43,7 Mb
Release : 2014-08-21
Category : Business & Economics
ISBN : 9781119013464

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An Introduction to Analysis of Financial Data with R by Ruey S. Tsay Pdf

A complete set of statistical tools for beginning financial analysts from a leading authority Written by one of the leading experts on the topic, An Introduction to Analysis of Financial Data with R explores basic concepts of visualization of financial data. Through a fundamental balance between theory and applications, the book supplies readers with an accessible approach to financial econometric models and their applications to real-world empirical research. The author supplies a hands-on introduction to the analysis of financial data using the freely available R software package and case studies to illustrate actual implementations of the discussed methods. The book begins with the basics of financial data, discussing their summary statistics and related visualization methods. Subsequent chapters explore basic time series analysis and simple econometric models for business, finance, and economics as well as related topics including: Linear time series analysis, with coverage of exponential smoothing for forecasting and methods for model comparison Different approaches to calculating asset volatility and various volatility models High-frequency financial data and simple models for price changes, trading intensity, and realized volatility Quantitative methods for risk management, including value at risk and conditional value at risk Econometric and statistical methods for risk assessment based on extreme value theory and quantile regression Throughout the book, the visual nature of the topic is showcased through graphical representations in R, and two detailed case studies demonstrate the relevance of statistics in finance. A related website features additional data sets and R scripts so readers can create their own simulations and test their comprehension of the presented techniques. An Introduction to Analysis of Financial Data with R is an excellent book for introductory courses on time series and business statistics at the upper-undergraduate and graduate level. The book is also an excellent resource for researchers and practitioners in the fields of business, finance, and economics who would like to enhance their understanding of financial data and today's financial markets.