MARC details
| 000 -LEADER |
|---|
| fixed length control field |
02459nam a22002417a 4500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
|---|
| control field |
20221111134543.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
|---|
| fixed length control field |
221111b ||||| |||| 00| 0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
|---|
| International Standard Book Number |
9781493938353 |
| 082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER |
|---|
| Classification number |
330.015195 |
| Item number |
CAR |
| 100 ## - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Carmona, Rene |
| 245 ## - TITLE STATEMENT |
|---|
| Title |
Statistical analysis of financial data in R |
| 250 ## - EDITION STATEMENT |
|---|
| Edition statement |
2nd |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
|---|
| Name of publisher, distributor, etc. |
Springer |
| Place of publication, distribution, etc. |
Switzerland |
| Date of publication, distribution, etc. |
2014 |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
xvii, 588 p. |
| 365 ## - TRADE PRICE |
|---|
| Price type code |
EURO |
| Price amount |
109.99 |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc. |
About this book<br/>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.<br/><br/>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.<br/><br/>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.<br/><br/>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. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
R (Computer program language) |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Mathematical statistics |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Business mathematics |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Finance--Econometric models |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Finance--Mathematical models |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
Dewey Decimal Classification |
| Koha item type |
Book |