Statistics for Finance: Texts in Statistical Science (Chapman & Hall/CRC Texts in Statistical Science) - Tapa blanda

Libro 53 de 113: Chapman & Hall/CRC Texts in Statistical Science

Lindström, Erik; Madsen, Henrik; Nielsen, Jan Nygaard

 
9780367738372: Statistics for Finance: Texts in Statistical Science (Chapman & Hall/CRC Texts in Statistical Science)
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ISBN 10: 0367738376 ISBN 13: 9780367738372
Editorial: Routledge, 2020

Sinopsis

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.

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Acerca del autor

Erik Lindström is an associate professor in the Centre for Mathematical Sciences at Lund University. His research ranges from statistical methodology (primarily time series analysis in discrete and continuous time) to financial mathematics as well as problems related to energy markets. He earned a PhD in mathematical statistics from Lund Institute of Technology/Lund University.

Henrik Madsen is a professor and head of the Section for Dynamical Systems in the Department for Applied Mathematics and Computer Sciences at the Technical University of Denmark. An elected member of the ISI and IEEE, he has authored or co-authored 480 papers and 11 books in areas including mathematical statistics, time series analysis, and the integration of renewables in electricity markets. He earned a PhD in statistics from the Technical University of Denmark.

Jan Nygaard Nielsen is a principal architect at Netcompany, a Danish IT and business consulting firm. He earned a PhD from the Technical University of Denmark.

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Editorial
Routledge
Año de publicación
2020
Idioma
Inglés
ISBN 10 
0367738376
ISBN 13 
9780367738372
Encuadernación
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Número de edición
1
Número de páginas
384
Contacto del fabricante
Taylor and Francis, GPSR Taylor and Francis
gpsr@taylorandfrancis.com

Taylor & Francis Verlag GmbH, Kaufingerstraße 24
München
80331
Alemania

Otras ediciones populares con el mismo título

9781482228991: Statistics for Finance: Texts in Statistical Science (Chapman & Hall/CRC Texts in Statistical Science)

Edición Destacada

ISBN 10:  1482228998 ISBN 13:  9781482228991
Editorial: Chapman and Hall/CRC, 2015
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