Statistical Analysis of Financial Data in R

Idioma: inglés

Editorial: Springer, Humana Sep 2016, 2016

1493938355 / 9781493938353

Serie: Libro 74 de 111 - Springer Texts in Statistics

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Descripción del artículo del vendedor

This item is printed on demand - Print on Demand Titel. Neuware -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 setsare 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 boardof 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 workedfor many years on energy, the commodity markets and more recently in environmental economics, and he is recognized as a leadingresearcher and expert in these areas.Springer-Verlag KG, Sachsenplatz 4-6, 1201 Wien 608 pp. Englisch.…

N° de ref. del artículo 9781493938353

Título
Statistical Analysis of Financial Data in R
Autor
René Carmona
Editorial
Springer, Humana Sep 2016
Año de publicación
2016
Estado
Neu
Encuadernación
Taschenbuch
Idioma
inglés
ISBN 10
1493938355
ISBN 13
9781493938353
Peso del artículo
1127 gramos
Dimensiones
254x178x33 mm
Serie
Libro 74 de 111: Springer Texts in Statistics

buchversandmimpf2000

Emtmannsberg, BAYE, Alemania

Vendedor de 5 estrellas

Vendedor de IberLibro desde 23 de enero de 2017

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