lt;div style='MARGIN: 0in 0in 0pt; LINE-HEIGHT: normal'>Financial engineers have access to enormous quantities of data but need powerful methods for extracting quantitative information, particularly about volatility and risks. Keyfeatures of this textbook are: illustration of concepts with financial markets and economic data, R Labs with real-data exercises, and integration of graphical and analytic methods for modeling and diagnosing modeling errors. Despitesome overlap with the author's undergraduate textbook <em>Statistics and Finance: An Introduction</em>, this book differs from that earlier volume in several important aspects: it is graduate-level; computations and graphics are done in R; and many advanced topics are covered, for example, multivariate distributions, copulas, Bayesian computations, VaR and expected shortfall, and cointegration. </div> <div style='MARGIN: 0in 0in 0pt; LINE-HEIGHT: normal'>The prerequisites are basic statistics and probability, matrices and linear algebra, and calculus.</div> <div style='MARGIN: 0in 0in 0pt; LINE-HEIGHT: normal'>Some exposure to finance is helpful.</div> " Examples using financial markets and economic data illustrate important concepts R Labs with real-data exercises give students practice in data analysisIntegration of graphical and analytic methods for model selection and model checking quantify and help mitigate risks due to modeling errors and uncertainty INDICE: 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.
- ISBN: 978-1-4419-7786-1
- Editorial: Springer
- Encuadernacion: Cartoné
- Páginas: 638
- Fecha Publicación: 29/12/2010
- Nº Volúmenes: 1
- Idioma: Inglés