Statistics and Finance

Springer Texts in Statistics
An Introduction
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This textbook emphasizes the applications of statistics and probability to finance. It reviews the basics and advanced topics are introduced, including behavioral finance. The book serves as a text in courses, and those in the finance industry can use it for self-study.
Introduction.- Probability and Statistical Models.
- Returns.
- Time Series Models.
- Portfolio Theory.
- Regression.
- The Capital Asset Pricing Model.
- Options Pricing.
- Fixed Income Securities.
- Resampling.
- Value-at-Risk.
- GARCH models.
- Nonparametric Regression and Splines.
- Behavioral Finance.
This textbook emphasizes the applications of statistics and probability to finance. Students are assumed to have had a prior course in statistics, but no background in finance or economics. The basics of probability and statistics are reviewed and more advanced topics in statistics, such as regression, ARMA and GARCH models, the bootstrap, and nonparametric regression using splines, are introduced as needed. The book covers the classical methods of finance such as portfolio theory, CAPM, and the Black-Scholes formula, and it introduces the somewhat newer area of behavioral finance. Applications and use of MATLAB and SAS software are stressed.The book will serve as a text in courses aimed at advanced undergraduates and masters students in statistics, engineering, and applied mathematics as well as quantitatively oriented MBA students. Those in the finance industry wishing to know more statistics could also use it for self-study.
Autor: David Ruppert
David Ruppert is Andrew Schultz, Jr., Professor of Engineering and Professor of Statistical Science, School of Operations Research and Information Engineering, Cornell University, where he teaches statistics and financial engineering and is a member of the Program in Financial Engineering. His research areas include asymptotic theory, semiparametric regression, functional data analysis, biostatistics, model calibration, measurement error, and astrostatistics. Professor Ruppert received his PhD in Statistics at Michigan State University. He is a Fellow of the American Statistical Association and the Institute of Mathematical Statistics and won the Wilcoxon prize. He is Editor of the Electronic Journal of Statistics , former Editor of the Institute of Mathematical Statistics' Lecture Notes Monographs Series , and former Associate Editor of several major statistics journals. Professor Ruppert has published over 100 scientific papers and several books.
Autor: David Ruppert
ISBN-13:: 9780387202709
ISBN: 0387202706
Erscheinungsjahr: 01.06.2004
Verlag: Springer-Verlag GmbH
Gewicht: 878g
Seiten: 638
Sprache: Englisch
Sonstiges: Buch, 241x166x35 mm