Statistics and Finance: An Introduction / Edition 1

Statistics and Finance: An Introduction / Edition 1

by David Ruppert
     
 

ISBN-10: 0387202706

ISBN-13: 9780387202709

Pub. Date: 03/30/2004

Publisher: Springer New York

This book emphasizes the applications of statistics and probability to finance. The basics of these subjects 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 and it introduces the newer

Overview

This book emphasizes the applications of statistics and probability to finance. The basics of these subjects 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 and it introduces the 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. Those in the finance industry can use it for self-study.

Product Details

ISBN-13:
9780387202709
Publisher:
Springer New York
Publication date:
03/30/2004
Series:
Springer Texts in Statistics Series
Edition description:
1st Corrected ed. 2004. Corr. 2nd printing 2006
Pages:
474
Product dimensions:
6.14(w) x 9.21(h) x 1.06(d)

Table of Contents

Introduction.- 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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