| INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
978-1493926138 |
| DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Call number |
. |
| MAIN ENTRY--PERSONAL NAME |
|---|
| Authors |
Ruppert, David |
| TITLE STATEMENT |
|---|
| Title |
Statistics and data analysis for financial engineering : |
| Subtitle |
with R examples / |
| Statement of responsibility, etc |
David Ruppert; David S Matteson |
| EDITION STATEMENT |
|---|
| Edition |
2nd ed. |
| PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
|---|
| Place of publication |
New York : |
| Publisher |
Springer, |
| Date |
c2015. |
| PHYSICAL DESCRIPTION |
|---|
| Extent |
xxvi, 719 p. : |
| Other Details |
ill. ; |
| Size |
25 cm. |
| SERIES STATEMENT |
|---|
| Series statement |
Springer texts in statistics |
| CONTENTS |
|---|
| Contents |
Introduction -- Returns -- Fixed income securities -- Exploratory data analysis -- Modeling univariate distributions -- Resampling -- Multivariate statistical models -- Copulas -- Time series models: basics -- Time series models: further topics -- Portfolio theory -- Regression: basics -- Regression: troubleshooting -- Regression: advanced topics -- Cointegration -- The capital asset pricing model -- Factor models and principal components -- GARCH models -- Risk management -- Bayesian data analysis and MCMC -- Nonparametric regression and splines. |
| SUMMARY |
|---|
| Summary |
The new edition of this influential textbook, geared towards graduate or advanced undergraduate students, teaches the statistics necessary for financial engineering. In doing so, it illustrates concepts using financial markets and economic data, R Labs with real-data exercises, and graphical and analytic methods for modeling and diagnosing modeling errors. These methods are critical because financial engineers now have access to enormous quantities of data. To make use of this data, the powerful methods in this book for working with quantitative information, particularly about volatility and risks, are essential. Strengths of this fully-revised edition include major additions to the R code and the advanced topics covered. Individual chapters cover, among other topics, multivariate distributions, copulas, Bayesian computations, risk management, and cointegration. Suggested prerequisites are basic knowledge of statistics and probability, matrices and linear algebra, and calculus. There is an appendix on probability, statistics and linear algebra. Practicing financial engineers will also find this book of interest. |
| SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical Heading |
Financial engineering |
| General |
Statistical methods |
| SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical Heading |
Finance |
| General |
Statistical methods |
| SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical Heading |
Quantitative Finance |
| SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical Heading |
Statistical Theory and Methods |
| SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical Heading |
Financial Engineering |
| ADDED ENTRY |
|---|
| Name |
Matteson, David S. |
| SERIES UNIFORM TITLE |
|---|
| Series Uniform Title |
Springer texts in statistics |
| ELECTRONIC LOCATION AND ACCESS |
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| Uniform Resource Identifier |
https://uowd.box.com/s/2kjyyfrfewgsvyjtcbwml0ialu487iec |
| Public note |
Location Map |
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63602 |
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63603 |
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47896 |
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63604 |
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63605 |
| SUBJECT ADDED ENTRY--TOPICAL TERM |
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519 |
| ADDED ENTRY |
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63606 |
| SERIES UNIFORM TITLE |
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36083 |