Statistics and Data Analysis for Financial Engineering

Statistics and Data Analysis for Financial Engineering

Written by: David Ruppert

  • Publisher: Springer Science & Business Media
  • Publish Date: 2010-11-08
  • ISBN-10: 1441977872
  • ebook-statistics-and-data-analysis-for-financial-engineering.pdf

In order to read or download eBook, you need to create FREE account.
eBook available in PDF, ePub, MOBI and Kindle versions

Recent Activity

Book Summary

Financial engineers have access to enormous quantities of data but need powerful methods for extracting quantitative information, particularly about volatility and risks. Key features of this textbook are: illustration of concepts with financial markets and economic data, R Labs with real-data exercises, and integration of graphical and analytic methods for modeling and diagnosing modeling errors. Despite some overlap with the author's undergraduate textbook Statistics and Finance: An Introduction, this book differs from that earlier volume in several important aspects: it is graduate-level; computations and graphics are done in R; and many advanced topics are covered, for example, multivariate distributions, copulas, Bayesian computations, VaR and expected shortfall, and cointegration. The prerequisites are basic statistics and probability, matrices and linear algebra, and calculus. Some exposure to finance is helpful.

Members Online