| 书目名称 | Statistical Analysis of Financial Data in R |
| 编辑 | René Carmona |
| 视频video | |
| 概述 | Fully revised new edition featuring R instead of S-Plus.One of the few books to deal with statistical aspects of modern data analysis as applied to financial problems.May be used as textbook in advanc |
| 丛书名称 | Springer Texts in Statistics |
| 图书封面 |  |
| 描述 | .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 co |
| 出版日期 | Textbook 2014Latest edition |
| 关键词 | financial data distributions; financial data with R; financial engineering with R; mathematical finance |
| 版次 | 2 |
| doi | https://doi.org/10.1007/978-1-4614-8788-3 |
| isbn_softcover | 978-1-4939-3835-3 |
| isbn_ebook | 978-1-4614-8788-3Series ISSN 1431-875X Series E-ISSN 2197-4136 |
| issn_series | 1431-875X |
| copyright | Springer Science+Business Media New York 2014 |
发表于 2025-3-21 17:58:47
