Statistics for Finance / by Erik Lindstrom, Henrik Madsen and Jan Nygaard Nielsen.

Format:

Book

Author/Creator:

Lindström, Erik, author.

Madsen, Henrik, author.

Nielsen, Jan Nygaard, author.

Series:

Texts in statistical science.

Texts in statistical science

Language:

English

Subjects (All):

Finance--Statistical methods.

Finance.

Finance--Mathematical models.

Statistics.

Physical Description:

1 online resource (380 p.)

Edition:

1st edition

Place of Publication:

Boca Raton, FL : Chapman and Hall/CRC, [2018].

Language Note:

English

System Details:

text file

Summary:

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.

Contents:

Fundamentals

Discrete time finance

Linear time series models

Nonlinear time series models

Kernel estimators in time series analysis

Stochastic calculus

Stochastic differential equations

Continuous-time security markets

Stochastic interest rate models

Term structure of interest rates

Discrete time approximations

Parameter estimation in discretely observed SDEs

Inference in partially observed processes.

Notes:

"A Chapman & Hall book."

Includes bibliographical references and index.

Description based on print version record.

ISBN:

9781315360218

1315360217

9781315362557

1315362554

9781482229004

1482229005

OCLC:

910165516