Statistics and finance - An introduction

David Ruppert - Collection Springer texts in statistics

474 pages, parution le 02/06/2004

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Résumé

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.

Sommaire

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.

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	David Ruppert
Collection	Springer texts in statistics
Parution	02/06/2004
Nb. de pages	474
Format	16 x 24
Couverture	Relié
Poids	846g
Intérieur	Noir et Blanc
EAN13	9780387202709
ISBN13	978-0-387-20270-9