Statistical Analysis of Financial Data in S-Plus (Record no. 45721)

MARC details
000 -LEADER
fixed length control field 03192 a2200193 4500
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9788184894745
082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER
Classification number 332.0151955 CAR
100 ## - MAIN ENTRY--PERSONAL NAME
Personal name Carmona, Rane A.
245 ## - TITLE STATEMENT
Title Statistical Analysis of Financial Data in S-Plus
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT)
Name of publisher, distributor, etc Springer
Place of publication, distribution, etc USA
Date of publication, distribution, etc 2004
300 ## - PHYSICAL DESCRIPTION
Extent 451
520 ## - SUMMARY, ETC.
Summary, etc Although there are many books on mathematical finance, few deal with the statistical aspects of modern data analysis as applied to financial problems. This book fills this gap by addressing some of the most challenging issues facing any financial engineer. It shows how sophisticated mathematics and modern statistical techniques can be used in concrete financial problems. Concerns of risk management are addressed by the control of extreme values, the fitting of distributions with heavy tails, the computation of values at risk (VaR), and other measures of risk. Data description techniques such as principal component analysis (PCA), smoothing, and regression are applied to the construction of yield and forward curve. Nonparametric estimation and nonlinear filtering are used for option pricing and earnings prediction. The book is intended for undergraduate students majoring in financial engineering, or graduate students in a Master in finance or MBA program. Because it was designed as a teaching vehicle, it is sprinkled with practical examples using market data, and each chapter ends with exercises. Practical examples are solved in the computing environment of S-PLUS. They illustrate problems occurring in the commodity and energy markets, the fixed income markets as well as the equity markets, and even some new emerging markets like the weather markets. The book can help quantitative analysts by guiding them through the details of statistical model estimation and implementation. It will also be of interest to researchers wishing to manipulate financial data, implement abstract concepts, and test mathematical theories, especially by addressing practical issues that are often neglected in the presentation of the theory. Rene Carmona is the Paul M. Wythes '55 Professor of Engineering and Finance at Princeton University in the department of Operations Research and Financial Engineering and Director of Graduate Studies of the Bendheim Center for Finance. His publications include over seventy articles and six books in probability and statistics. He was elected Fellow of the Institute of Mathematical Statistics in 1984, and he is on the editorial board of several peer-reviewed journals and book series. Professor Carmona has developed computer programs for teaching of statistics, for research in signal analysis, and more recently, he contributed the library EVANESCE for the analysis of heavy tail distributions and copulas. The latter was included in the latest version of S-Plus. He has worked for many years on energy and weather derivatives, and he is recognized as a leading researcher and consultant in this area
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element BUSINESS & ECONOMICS Finance
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Finance Econometric models
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Finance Mathematical models
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Finances Modèles économétriques
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Finances Modèles mathématiques
942 ## - ADDED ENTRY ELEMENTS (KOHA)
Koha item type Book
Source of classification or shelving scheme Dewey Decimal Classification

No items available.