Statistics for finance / Erik Lindstrom, Lund University, Sweden, Henrik Madsen, Technical University of Denmark, Lyngby, Denmark, Jan Nygaard Nielsen, Netcompany A/S, Copenhagen, Denmark.
Series: Text in Statistical SciencePublisher: Boca Raton : CRress is an imprint of the Taylor and Francis Group, 2015Description: xvii, 365 pages, 3 unnumbered pages of plates ; 24 cmContent type:- text
- unmediated
- volume
- 9781482228991
- 519.5 .L752
Item type | Current library | Call number | Status | Date due | Barcode | |
---|---|---|---|---|---|---|
Print Materials | Graduate School Library Master in Public Administration | 332.015195 .L753 2015 (Browse shelf(Opens below)) | Available | 0115722 |
Includes bibliographical references (pages 345-359) and index
"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, It 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." -- Provided by publisher
Text in English
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