Statistics in Finance / Edition 1

Hardcover (Print)
Buy New
Buy New from BN.com
$80.92
Used and New from Other Sellers
Used and New from Other Sellers
from $81.94
Usually ships in 1-2 business days
(Save 15%)
Other sellers (Hardcover)
  • All (4) from $81.94   
  • New (3) from $81.94   
  • Used (1) from $122.74   

Overview

The chapters in this book describe various aspects of the application of statistical methods in finance. It will interest and attract statisticians to this area, illustrate some of the many ways that statistical tools are used in financial applications, and give some indication of problems which are still outstanding. The statisticians will be stimulated to learn more about the kinds of models and techniques outlined in the book - both the domain of finance and the science of statistics will benefit from increased awareness by statisticians of the problems, models, and techniques applied in financial applications. For this reason, extensive references are given. The level of technical detail varies between the chapters. Some present broad non-technical overviews of an area, while others describe the mathematical niceties. This illustrates both the range of possibilities available in the area for statisticians, while simultaneously giving a flavour of the different kinds of mathematical and statistical skills required. Whether you favour data analysis or mathematical manipulation, if you are a statistician there are problems in finance which are appropriate to your skills.

Read More Show Less

Product Details

  • ISBN-13: 9780470711095
  • Publisher: Wiley
  • Publication date: 3/31/1998
  • Edition number: 1
  • Pages: 354
  • Product dimensions: 6.35 (w) x 9.32 (h) x 0.76 (d)

Table of Contents

List of contributors.

Preface.

1. Introduction (David J. Hand and Saul D. Jacka).

PART I: ACTURAIAL MATHEMATICS.

2. The Relationship Between Finance and Actuarial Science (Philip Booth and Paul King).

2.1 Actuaries and investment.

2.2 Introduction.

2.3 Mean–variance models in finance.

2.4 The capital asset pricing model.

2.5 Risk adjusted discount rates.

2.6 Insights and limitations of portfolio selection models.

2.7 Principles of asset allocation.

2.8 Developing mean–variance models: the inclusion of liabilities.

2.9 Generalising mean–variance models.

2.10 Immunisation.

2.11 Stochastic asset-liability modelling.

2.12 Conclusions.

3. Actuarial Applications of Generalised Linear Models (Steven Haberman and Arthur E. Renshaw).

3.1 Introduction.

3.2 Introduction to generalised linear models.

3.3 Generalised linear models.

3.4 Survival modelling and graduation.

3.5 Multiple state models.

3.6 Risk classification.

3.7 Premium rating.

3.8 Claims reserving in non-life insurance.

3.9 Conclusions.

PART II: CREDIT.

4. Consumer Credit and Statistics (David J. Hand).

4.1 Introduction.

4.2 The judgemental approach to granting credit.

4.3 What scoring can be used for.

4.4 What is a scorecard and how to construct one.

4.5 The data.

4.6 Reject inference.

4.7 Population drift.

4.8 Reject option.

4.9 Assessing performance.

4.10 Legal issues.

4.11 Consumer versus corporate loan.

4.12 Conclusions.

5. Methodologies for Classifying Applicants for Credit (Lyn C. Thomas).

5.1 History of credit scoring.

5.2 Credit scoring: the art and the objective.

5.3 Regression and logistic regression approaches.

5.4 Other statistical approaches.

5.5 Mathematical programming.

5.6 Neural networks and expert systems.

5.7 Genetic algorithms.

5.8 Conclusions.

6. Credit Scoring and Quality Management (Kevin J. Leonard).

6.1 Risk management.

6.2 What is credit scoring.

6.3 Using the scorecards.

6.4 Examination of detailed reports.

6.5 Total quality management in information systems (TQMIS).

6.6 The need for change in continuous improvement.

7. Consumer Credit and Business Cycles (Jonathan Crook).

7.1 Introduction and summary.

7.2 Descriptive trends.

7.3 Credit and business cycle theories.

7.4 Microeconomic models of consumer credit.

7.5 Summary.

PART III: FINANCIAL MARKETS.

8. Probability in France: an introduction (Saul D. Jacka).

8.1 A brief survey.

8.2 Some reminders on stochastic calculus.

8.3 The Black–Scholes framework.

8.4 Arbitrage and option pricing in a general securities market'.

8.5 Changes of measure.

8.6 American options.

8.7 Some final remarks.

9. Introduction to Financial Economics (Stewart D. Hodges).

9.1 Introduction.

9.2 The role of the capital market.

9.3 The state preference framework.

9.4 The expected utility paradigm.

9.5 Summary.

10. American Options (Damien Lamberton).

10.1 Optimal stopping: discrete time.

10.2 Optimal stopping: continuous time.

10.3 The value function of an American option.

10.4 Numerical methods.

11. Notes on Term Structure Models (Saul D. Jacka).

11.1 Introduction.

11.2 Spot-rate models.

11.3 Forward rate models.

11.4 Affine jump models.

11.5 Pricing formulate.

12. Default Risk (Dilip Madan).

12.1 Introduction.

12.2 A general perspective on the modelling of default risk.

12.3 The European option theoretic approach.

12.4 The barrier option theoretic approach.

12.5 Inaccessible default times.

12.6 Adjusting discount rates for default exposure.

12.7 The defaultable HJM model.

12.8 Conclusions.

13. Non-parametric Methods and Option Pricing (Eric Ghysels, Éric Renault, Olivier Torrès and Valentin Patilea).

13.1 Introduction.

13.2 Non-parametric model-free option pricing.

13.3 Non-parametric specification of equivalent martingale measures.

13.4 Extended Black and Scholes models and objective driven inference.

14. Stochastic Volatility (David G. Hobson).

14.1 Volatility and the need for stochastic volatility models.

14.2 Non-constant volatility models.

14.3 Option pricing for stochastic volatility models.

14.4 Discrete-time models.

14.5 Conclusions.

15. Market Time and Asset Price Movements: Theory and Estimation (Eric Ghysels, Christian Gouriéroux and Joanna Jasiak).

15.1 Introduction.

15.2 Study of mean and covariance functions.

15.3 Examples.

15.4 Statistical inference for subordinated stochastic processes.

15.5 Testing the hypothesis of time deformation.

Index.

Read More Show Less

Customer Reviews

Be the first to write a review
( 0 )
Rating Distribution

5 Star

(0)

4 Star

(0)

3 Star

(0)

2 Star

(0)

1 Star

(0)

Your Rating:

Your Name: Create a Pen Name or

Barnes & Noble.com Review Rules

Our reader reviews allow you to share your comments on titles you liked, or didn't, with others. By submitting an online review, you are representing to Barnes & Noble.com that all information contained in your review is original and accurate in all respects, and that the submission of such content by you and the posting of such content by Barnes & Noble.com does not and will not violate the rights of any third party. Please follow the rules below to help ensure that your review can be posted.

Reviews by Our Customers Under the Age of 13

We highly value and respect everyone's opinion concerning the titles we offer. However, we cannot allow persons under the age of 13 to have accounts at BN.com or to post customer reviews. Please see our Terms of Use for more details.

What to exclude from your review:

Please do not write about reviews, commentary, or information posted on the product page. If you see any errors in the information on the product page, please send us an email.

Reviews should not contain any of the following:

  • - HTML tags, profanity, obscenities, vulgarities, or comments that defame anyone
  • - Time-sensitive information such as tour dates, signings, lectures, etc.
  • - Single-word reviews. Other people will read your review to discover why you liked or didn't like the title. Be descriptive.
  • - Comments focusing on the author or that may ruin the ending for others
  • - Phone numbers, addresses, URLs
  • - Pricing and availability information or alternative ordering information
  • - Advertisements or commercial solicitation

Reminder:

  • - By submitting a review, you grant to Barnes & Noble.com and its sublicensees the royalty-free, perpetual, irrevocable right and license to use the review in accordance with the Barnes & Noble.com Terms of Use.
  • - Barnes & Noble.com reserves the right not to post any review -- particularly those that do not follow the terms and conditions of these Rules. Barnes & Noble.com also reserves the right to remove any review at any time without notice.
  • - See Terms of Use for other conditions and disclaimers.
Search for Products You'd Like to Recommend

Recommend other products that relate to your review. Just search for them below and share!

Create a Pen Name

Your Pen Name is your unique identity on BN.com. It will appear on the reviews you write and other website activities. Your Pen Name cannot be edited, changed or deleted once submitted.

 
Your Pen Name can be any combination of alphanumeric characters (plus - and _), and must be at least two characters long.

Continue Anonymously

    If you find inappropriate content, please report it to Barnes & Noble
    Why is this product inappropriate?
    Comments (optional)