Financial engineers have access to enormous quantities of data but
need powerful methods for extracting quantitative information,
particularly about volatility and risks. Key features of this
textbook are: illustration of concepts with financial markets and
economic data, R Labs with real-data exercises, and integration of
graphical and analytic methods for modeling and diagnosing modeling
errors. Despite some overlap with the author's undergraduate
textbook Statistics and Finance: An Introduction, this book differs
from that earlier volume in several important aspects: it is
graduate-level; computations and graphics are done in R; and many
advanced topics are covered, for example, multivariate
distributions, copulas, Bayesian computations, VaR and expected
shortfall, and cointegration.
The prerequisites are basic statistics and probability, matrices
and linear algebra, and calculus.
Some exposure to finance is helpful.
General
Imprint: |
Springer-Verlag New York
|
Country of origin: |
United States |
Series: |
Springer Texts in Statistics |
Release date: |
December 2012 |
First published: |
2011 |
Authors: |
David Ruppert
|
Dimensions: |
235 x 155 x 33mm (L x W x T) |
Format: |
Paperback
|
Pages: |
638 |
Edition: |
2011 ed. |
ISBN-13: |
978-1-4614-2749-0 |
Categories: |
Books >
Science & Mathematics >
Mathematics >
Probability & statistics
|
LSN: |
1-4614-2749-5 |
Barcode: |
9781461427490 |
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