Statistical Analysis of Financial Data in S-Plus

Rene A. Carmona - Collection Springer texts in statistics

450 pages, parution le 20/04/2004

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Résumé

This book develops the use of statistical data analysis in finance, and it uses the statistical software environment of S-PLUS as a vehicle for presenting practical implementations from financial engineering. It is divided into three parts. Part I, Exploratory Data Analysis, reviews the most commonly used methods of statistical data exploration. Its originality lies in the introduction of tools for the estimation and simulation of heavy tail distributions and copulas, the computation of measures of risk, and the principal component analysis of yield curves. Part II, Regression, introduces modern regression concepts with an emphasis on robustness and non-parametric techniques. The applications include the term structure of interest rates, the construction of commodity forward curves, and nonparametric alternatives to the Black Scholes option pricing paradigm. Part III, Time Series and State Space Models, is concerned with theories of time series and of state space models. Linear ARIMA models are applied to the analysis of weather derivatives, Kalman filtering is applied to public company earnings prediction, and nonlinear GARCH models and nonlinear filtering are applied to stochastic volatility models. The book is aimed at undergraduate students in financial engineering, master students in finance and MBA's, and to practitioners with financial data analysis concerns.

Written for: Undergraduate and graduate students and practitioners in mathematical finance

Sommaire

Part I Data Exploration, Estimation And Simulation
- Univariate exploratory data analysis
- Multivariate data exploration
Part II Regression
- Parametric regression
- Local & nonparametric regression
Part III Time Series & State Space Models
- Time series models: ar, ma, arma, & all that
- Multivariate time series, linear systems & kalman filtering
- Nonlinear time series: models and simulation
- Appendix: An introduction to s and s-plus

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	Rene A. Carmona
Collection	Springer texts in statistics
Parution	20/04/2004
Nb. de pages	450
Format	18,5 x 24
Couverture	Relié
Poids	930g
Intérieur	Noir et Blanc
EAN13	9780387202860
ISBN13	978-0-387-20286-0