Shortcuts
Top of page (Alt+0)
Page content (Alt+9)
Page menu (Alt+8)
Your browser does not support javascript, some WebOpac functionallity will not be available.
.
Default
.
PageMenu
-
Main Menu
-
Simple Search
.
Advanced Search
.
Journal Search
.
Refine Search Results
.
Preferences
.
Search Menu
Simple Search
.
Advanced Search
.
New Items Search
.
Journal Search
.
Refine Search Results
.
Bottom Menu
Help
Italian
.
English
.
German
.
New Item Menu
New Items Search
.
New Items List
.
Links
SISSA Library
.
ICTP library
.
Italian National web catalog (SBN)
.
Trieste University web catalog
.
Udine University web catalog
.
© LIBERO v6.4.1sp220816
Page content
You are here
:
Catalogue Display
Catalogue Display
Statistical Analysis of Financial Data in R
.
Bookmark this Record
Catalogue Record 29499
.
.
Author info on Wikipedia
.
.
LibraryThing
.
.
Google Books
.
.
Amazon Books
.
Catalogue Information
Catalogue Record 29499
.
Reviews
Catalogue Record 29499
.
British Library
Resolver for RSN-29499
Google Scholar
Resolver for RSN-29499
WorldCat
Resolver for RSN-29499
Catalogo Nazionale SBN
Resolver for RSN-29499
GoogleBooks
Resolver for RSN-29499
ICTP Library
Resolver for RSN-29499
.
Share Link
Jump to link
Catalogue Information
Field name
Details
Dewey Class
330.015195
Title
Statistical Analysis of Financial Data in R ([EBook]) / by René Carmona.
Author
Carmona, René A.
Other name(s)
SpringerLink (Online service)
Edition statement
2nd ed. 2014.
Publication
New York, NY : Springer , 2014.
Physical Details
XVII, 588 p. 187 illus., 37 illus. in color. : online resource.
Series
Springer Texts in Statistics
ISBN
9781461487883
Summary Note
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 R. 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.:
Contents note
Univariate Data Distributions -- Heavy Tail Distributions -- Dependence and Multivariate Data Exploration -- Parametric Regression -- Local and Nonparametric Regression -- Time Series Models -- Multivariate Time Series, Linear Systems and Kalman Filtering -- Nonlinear Time Series: Models and Simulation -- Appendices -- Indices.
System details note
Online access to this digital book is restricted to subscription institutions through IP address (only for SISSA internal users)
Internet Site
http://dx.doi.org/10.1007/978-1-4614-8788-3
Links to Related Works
Subject References:
Economics
.
Finance
.
Mathematical Statistics
.
Quantitative Finance
.
Statistical Theory and Methods
.
Statistics
.
Statistics for Business/Economics/Mathematical Finance/Insurance
.
Authors:
Carmona, René A.
.
Corporate Authors:
SpringerLink (Online service)
.
Series:
Springer Texts in Statistics
.
Classification:
330.015195
.
.
ISBD Display
Catalogue Record 29499
.
Tag Display
Catalogue Record 29499
.
Related Works
Catalogue Record 29499
.
Marc XML
Catalogue Record 29499
.
Add Title to Basket
Catalogue Record 29499
.
Catalogue Information 29499
Beginning of record
.
Catalogue Information 29499
Top of page
.
Download Title
Catalogue Record 29499
Export
This Record
As
Labelled Format
Bibliographic Format
ISBD Format
MARC Format
MARC Binary Format
MARCXML Format
User-Defined Format:
Title
Author
Series
Publication Details
Subject
To
File
Email
Reviews
This item has not been rated.
Add a Review and/or Rating
29499
1
29499
-
2
29499
-
3
29499
-
4
29499
-
5
29499
-
Quick Search
Search for