From Statistics To Mathematical Finance

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Financial Statistics and Mathematical Finance

Ansgar Steland
Financial Statistics and Mathematical Finance Book PDF

Author : Ansgar Steland
Publisher : John Wiley & Sons
Page : 355 pages
File Size : 49,6 Mb
Release : 2012-06-21
Category : Business & Economics
ISBN : 9781118316566

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Financial Statistics and Mathematical Finance by Ansgar Steland Pdf

Mathematical finance has grown into a huge area of research which requires a lot of care and a large number of sophisticated mathematical tools. Mathematically rigorous and yet accessible to advanced level practitioners and mathematicians alike, it considers various aspects of the application of statistical methods in finance and illustrates some of the many ways that statistical tools are used in financial applications. Financial Statistics and Mathematical Finance: Provides an introduction to the basics of financial statistics and mathematical finance. Explains the use and importance of statistical methods in econometrics and financial engineering. Illustrates the importance of derivatives and calculus to aid understanding in methods and results. Looks at advanced topics such as martingale theory, stochastic processes and stochastic integration. Features examples throughout to illustrate applications in mathematical and statistical finance. Is supported by an accompanying website featuring R code and data sets. Financial Statistics and Mathematical Finance introduces the financial methodology and the relevant mathematical tools in a style that is both mathematically rigorous and yet accessible to advanced level practitioners and mathematicians alike, both graduate students and researchers in statistics, finance, econometrics and business administration will benefit from this book.

Mathematical Finance

Nikolai Dokuchaev
Mathematical Finance Book PDF

Author : Nikolai Dokuchaev
Publisher : Routledge
Page : 208 pages
File Size : 52,6 Mb
Release : 2007-03-12
Category : Business & Economics
ISBN : 9781134121977

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Mathematical Finance by Nikolai Dokuchaev Pdf

Written in a rigorous yet logical and easy to use style, spanning a range of disciplines, including business, mathematics, finance and economics, this comprehensive textbook offers a systematic, self-sufficient yet concise presentation of the main topics and related parts of stochastic analysis and statistical finance that are covered in the majority of university programmes. Providing all explanations of basic concepts and results with proofs and numerous examples and problems, it includes: an introduction to probability theory a detailed study of discrete and continuous time market models a comprehensive review of Ito calculus and statistical methods as a basis for statistical estimation of models for pricing a detailed discussion of options and their pricing, including American options in a continuous time setting. An excellent introduction to the topic, this textbook is an essential resource for all students on undergraduate and postgraduate courses and advanced degree programs in econometrics, finance, applied mathematics and mathematical modelling as well as academics and practitioners.

Statistics for Finance

Erik Lindström,Henrik Madsen,Jan Nygaard Nielsen
Statistics for Finance Book PDF

Author : Erik Lindström,Henrik Madsen,Jan Nygaard Nielsen
Publisher : CRC Press
Page : 384 pages
File Size : 47,8 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.

Statistics in Finance

David J. Hand,Saul D. Jacka
Statistics in Finance Book PDF

Author : David J. Hand,Saul D. Jacka
Publisher : John Wiley & Sons
Page : 360 pages
File Size : 45,5 Mb
Release : 1998-03-04
Category : Business & Economics
ISBN : UCSC:32106018491974

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Statistics in Finance by David J. Hand,Saul D. Jacka Pdf

Describes aspects of the application of statistical methods in finance, and aims to attract statisticians to this area by illustrating some of the many ways in which statistical tools are used in financial applications. Statisticians will be stimulated to learn more about the kinds of models and techniques outlined in this book.

From Statistics to Mathematical Finance

Dietmar Ferger,Wenceslao González Manteiga,Thorsten Schmidt,Jane-Ling Wang
From Statistics to Mathematical Finance Book PDF

Author : Dietmar Ferger,Wenceslao González Manteiga,Thorsten Schmidt,Jane-Ling Wang
Publisher : Springer
Page : 440 pages
File Size : 52,7 Mb
Release : 2017-10-28
Category : Mathematics
ISBN : 9783319509860

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From Statistics to Mathematical Finance by Dietmar Ferger,Wenceslao González Manteiga,Thorsten Schmidt,Jane-Ling Wang Pdf

This book, dedicated to Winfried Stute on the occasion of his 70th birthday, presents a unique collection of contributions by leading experts in statistics, stochastic processes, mathematical finance and insurance. The individual chapters cover a wide variety of topics ranging from nonparametric estimation, regression modelling and asymptotic bounds for estimators, to shot-noise processes in finance, option pricing and volatility modelling. The book also features review articles, e.g. on survival analysis.

Mathematical Finance

Ernst Eberlein,Jan Kallsen
Mathematical Finance Book PDF

Author : Ernst Eberlein,Jan Kallsen
Publisher : Springer Nature
Page : 774 pages
File Size : 52,9 Mb
Release : 2019-12-03
Category : Mathematics
ISBN : 9783030261061

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Mathematical Finance by Ernst Eberlein,Jan Kallsen Pdf

Taking continuous-time stochastic processes allowing for jumps as its starting and focal point, this book provides an accessible introduction to the stochastic calculus and control of semimartingales and explains the basic concepts of Mathematical Finance such as arbitrage theory, hedging, valuation principles, portfolio choice, and term structure modelling. It bridges thegap between introductory texts and the advanced literature in the field. Most textbooks on the subject are limited to diffusion-type models which cannot easily account for sudden price movements. Such abrupt changes, however, can often be observed in real markets. At the same time, purely discontinuous processes lead to a much wider variety of flexible and tractable models. This explains why processes with jumps have become an established tool in the statistics and mathematics of finance. Graduate students, researchers as well as practitioners will benefit from this monograph.

Measure, Probability, and Mathematical Finance

Guojun Gan,Chaoqun Ma,Hong Xie
Measure Probability and Mathematical Finance Book PDF

Author : Guojun Gan,Chaoqun Ma,Hong Xie
Publisher : John Wiley & Sons
Page : 54 pages
File Size : 42,6 Mb
Release : 2014-04-07
Category : Mathematics
ISBN : 9781118831960

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Measure, Probability, and Mathematical Finance by Guojun Gan,Chaoqun Ma,Hong Xie Pdf

An introduction to the mathematical theory and financial models developed and used on Wall Street Providing both a theoretical and practical approach to the underlying mathematical theory behind financial models, Measure, Probability, and Mathematical Finance: A Problem-Oriented Approach presents important concepts and results in measure theory, probability theory, stochastic processes, and stochastic calculus. Measure theory is indispensable to the rigorous development of probability theory and is also necessary to properly address martingale measures, the change of numeraire theory, and LIBOR market models. In addition, probability theory is presented to facilitate the development of stochastic processes, including martingales and Brownian motions, while stochastic processes and stochastic calculus are discussed to model asset prices and develop derivative pricing models. The authors promote a problem-solving approach when applying mathematics in real-world situations, and readers are encouraged to address theorems and problems with mathematical rigor. In addition, Measure, Probability, and Mathematical Finance features: A comprehensive list of concepts and theorems from measure theory, probability theory, stochastic processes, and stochastic calculus Over 500 problems with hints and select solutions to reinforce basic concepts and important theorems Classic derivative pricing models in mathematical finance that have been developed and published since the seminal work of Black and Scholes Measure, Probability, and Mathematical Finance: A Problem-Oriented Approach is an ideal textbook for introductory quantitative courses in business, economics, and mathematical finance at the upper-undergraduate and graduate levels. The book is also a useful reference for readers who need to build their mathematical skills in order to better understand the mathematical theory of derivative pricing models.

Statistics and Data Analysis for Financial Engineering

David Ruppert,David S. Matteson
Statistics and Data Analysis for Financial Engineering Book PDF

Author : David Ruppert,David S. Matteson
Publisher : Springer
Page : 719 pages
File Size : 51,7 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.

Mathematical Finance and Probability

Pablo Koch Medina,Sandro Merino
Mathematical Finance and Probability Book PDF

Author : Pablo Koch Medina,Sandro Merino
Publisher : Birkhäuser
Page : 326 pages
File Size : 40,5 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9783034880411

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Mathematical Finance and Probability by Pablo Koch Medina,Sandro Merino Pdf

This self-contained book presents the theory underlying the valuation of derivative financial instruments, which is becoming a standard part of the professional toolbox in the financial industry. It provides great insight into the underlying economic ideas in a very readable form, putting the reader in an excellent position to proceed to the more general continuous-time theory.

Excursions into Mathematics

Anatole Beck,Michael N. Bleicher,Donald W. Crowe
Excursions into Mathematics Book PDF

Author : Anatole Beck,Michael N. Bleicher,Donald W. Crowe
Publisher : CRC Press
Page : 526 pages
File Size : 44,9 Mb
Release : 2020-02-24
Category : Mathematics
ISBN : 9781000692099

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Excursions into Mathematics by Anatole Beck,Michael N. Bleicher,Donald W. Crowe Pdf

Since it was first published three decades ago, Excursions Into Mathematics has been one of the most popular mathematical books written for a general audience. Taking the reader for short "excursions" into several specific disciplines of mathematics, it makes mathematical concepts accessible to a wide audience. The Millennium Edition is updated with current research and new solutions to outstanding problems that have been discovered since the last edition was printed, such as the solution to the well-known "four-color problem." Excursions Into Mathematics: The Millennium Edition is an exciting revision of the original, much-loved classic. Everyone with an interest in mathematics should read this book.

An Elementary Introduction to Mathematical Finance

Sheldon M. Ross
An Elementary Introduction to Mathematical Finance Book PDF

Author : Sheldon M. Ross
Publisher : Cambridge University Press
Page : 278 pages
File Size : 41,8 Mb
Release : 2003
Category : Business & Economics
ISBN : 0521814294

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An Elementary Introduction to Mathematical Finance by Sheldon M. Ross Pdf

Table of contents

Advanced Modelling in Mathematical Finance

Jan Kallsen,Antonis Papapantoleon
Advanced Modelling in Mathematical Finance Book PDF

Author : Jan Kallsen,Antonis Papapantoleon
Publisher : Springer
Page : 496 pages
File Size : 48,5 Mb
Release : 2016-12-01
Category : Mathematics
ISBN : 9783319458755

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Advanced Modelling in Mathematical Finance by Jan Kallsen,Antonis Papapantoleon Pdf

This Festschrift resulted from a workshop on “Advanced Modelling in Mathematical Finance” held in honour of Ernst Eberlein’s 70th birthday, from 20 to 22 May 2015 in Kiel, Germany. It includes contributions by several invited speakers at the workshop, including several of Ernst Eberlein’s long-standing collaborators and former students. Advanced mathematical techniques play an ever-increasing role in modern quantitative finance. Written by leading experts from academia and financial practice, this book offers state-of-the-art papers on the application of jump processes in mathematical finance, on term-structure modelling, and on statistical aspects of financial modelling. It is aimed at graduate students and researchers interested in mathematical finance, as well as practitioners wishing to learn about the latest developments.

Methods of Mathematical Finance

Ioannis Karatzas,Steven Shreve
Methods of Mathematical Finance Book PDF

Author : Ioannis Karatzas,Steven Shreve
Publisher : Springer
Page : 415 pages
File Size : 50,8 Mb
Release : 2017-01-10
Category : Mathematics
ISBN : 9781493968459

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Methods of Mathematical Finance by Ioannis Karatzas,Steven Shreve Pdf

This sequel to Brownian Motion and Stochastic Calculus by the same authors develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets, within the context of Brownian-motion-driven asset prices. The latter topic is extended to a study of equilibrium, providing conditions for existence and uniqueness of market prices which support trading by several heterogeneous agents. Although much of the incomplete-market material is available in research papers, these topics are treated for the first time in a unified manner. The book contains an extensive set of references and notes describing the field, including topics not treated in the book. This book will be of interest to researchers wishing to see advanced mathematics applied to finance. The material on optimal consumption and investment, leading to equilibrium, is addressed to the theoretical finance community. The chapters on contingent claim valuation present techniques of practical importance, especially for pricing exotic options.

Statistical Analysis of Financial Data in R

René Carmona
Statistical Analysis of Financial Data in R Book PDF

Author : René Carmona
Publisher : Springer Science & Business Media
Page : 588 pages
File Size : 51,8 Mb
Release : 2013-12-13
Category : Business & Economics
ISBN : 9781461487883

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Statistical Analysis of Financial Data in R by René Carmona Pdf

Although there are many books on mathematical finance, few deal with the statistical aspects of modern data analysis as applied to financial problems. This textbook fills this gap by addressing some of the most challenging issues facing financial engineers. It shows how sophisticated mathematics and modern statistical techniques can be used in the solutions of concrete financial problems. Concerns of risk management are addressed by the study of extreme values, the fitting of distributions with heavy tails, the computation of values at risk (VaR), and other measures of risk. Principal component analysis (PCA), smoothing, and regression techniques are applied to the construction of yield and forward curves. Time series analysis is applied to the study of temperature options and nonparametric estimation. Nonlinear filtering is applied to Monte Carlo simulations, option pricing and earnings prediction. This textbook is intended for undergraduate students majoring in financial engineering, or graduate students in a Master in finance or MBA program. It is sprinkled with practical examples using market data, and each chapter ends with exercises. Practical examples are solved in the R computing environment. They illustrate problems occurring in the commodity, energy and weather markets, as well as the fixed income, equity and credit markets. The examples, experiments and problem sets are based on the library Rsafd developed for the purpose of the text. The book should help quantitative analysts learn and implement advanced statistical concepts. Also, it will be valuable for researchers wishing to gain experience with financial data, implement and test mathematical theories, and address practical issues that are often ignored or underestimated in academic curricula. This is the new, fully-revised edition to the book Statistical Analysis of Financial Data in S-Plus. René Carmona is the Paul M. Wythes '55 Professor of Engineering and Finance at Princeton University in the department of Operations Research and Financial Engineering, and Director of Graduate Studies of the Bendheim Center for Finance. His publications include over one hundred articles and eight books in probability and statistics. He was elected Fellow of the Institute of Mathematical Statistics in 1984, and of the Society for Industrial and Applied Mathematics in 2010. He is on the editorial board of several peer-reviewed journals and book series. Professor Carmona has developed computer programs for teaching statistics and research in signal analysis and financial engineering. He has worked for many years on energy, the commodity markets and more recently in environmental economics, and he is recognized as a leading researcher and expert in these areas.

Mathematical Finance: Theory Review and Exercises

Emanuela Rosazza Gianin,Carlo Sgarra
Mathematical Finance Theory Review and Exercises Book PDF

Author : Emanuela Rosazza Gianin,Carlo Sgarra
Publisher : Springer Science & Business Media
Page : 277 pages
File Size : 45,9 Mb
Release : 2014-02-10
Category : Mathematics
ISBN : 9783319013572

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Mathematical Finance: Theory Review and Exercises by Emanuela Rosazza Gianin,Carlo Sgarra Pdf

The book collects over 120 exercises on different subjects of Mathematical Finance, including Option Pricing, Risk Theory, and Interest Rate Models. Many of the exercises are solved, while others are only proposed. Every chapter contains an introductory section illustrating the main theoretical results necessary to solve the exercises. The book is intended as an exercise textbook to accompany graduate courses in mathematical finance offered at many universities as part of degree programs in Applied and Industrial Mathematics, Mathematical Engineering, and Quantitative Finance.