statistics for finance chapman hall crc texts in statistical science

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Introduction To Statistical Methods For Financial Models

Author : Thomas A Severini
ISBN : 9781351981903
Genre : Business & Economics
File Size : 45. 29 MB
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This book provides an introduction to the use of statistical concepts and methods to model and analyze financial data. The ten chapters of the book fall naturally into three sections. Chapters 1 to 3 cover some basic concepts of finance, focusing on the properties of returns on an asset. Chapters 4 through 6 cover aspects of portfolio theory and the methods of estimation needed to implement that theory. The remainder of the book, Chapters 7 through 10, discusses several models for financial data, along with the implications of those models for portfolio theory and for understanding the properties of return data. The audience for the book is students majoring in Statistics and Economics as well as in quantitative fields such as Mathematics and Engineering. Readers are assumed to have some background in statistical methods along with courses in multivariate calculus and linear algebra.

Statistics For Finance

Author : Erik Lindström
ISBN : 9781315360218
Genre : Business & Economics
File Size : 52. 38 MB
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Statistics for Finance develops students’ professional skills in statistics with applications in finance. Developed from the authors’ courses at the Technical University of Denmark and Lund University, the text bridges the gap between classical, rigorous treatments of financial mathematics that rarely connect concepts to data and books on econometrics and time series analysis that do not cover specific problems related to option valuation. The book discusses applications of financial derivatives pertaining to risk assessment and elimination. The authors cover various statistical and mathematical techniques, including linear and nonlinear time series analysis, stochastic calculus models, stochastic differential equations, Itō’s formula, the Black–Scholes model, the generalized method-of-moments, and the Kalman filter. They explain how these tools are used to price financial derivatives, identify interest rate models, value bonds, estimate parameters, and much more. This textbook will help students understand and manage empirical research in financial engineering. It includes examples of how the statistical tools can be used to improve value-at-risk calculations and other issues. In addition, end-of-chapter exercises develop students’ financial reasoning skills.

Practical Statistics For Medical Research

Author : Douglas G. Altman
ISBN : 0412276305
Genre : Mathematics
File Size : 81. 6 MB
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Most medical researchers, whether clinical or non-clinical, receive some background in statistics as undergraduates. However, it is most often brief, a long time ago, and largely forgotten by the time it is needed. Furthermore, many introductory texts fall short of adequately explaining the underlying concepts of statistics, and often are divorced from the reality of conducting and assessing medical research. Practical Statistics for Medical Research is a problem-based text for medical researchers, medical students, and others in the medical arena who need to use statistics but have no specialized mathematics background. The author draws on twenty years of experience as a consulting medical statistician to provide clear explanations to key statistical concepts, with a firm emphasis on practical aspects of designing and analyzing medical research. The text gives special attention to the presentation and interpretation of results and the many real problems that arise in medical research.

Statistics For Technology

Author : Chris Chatfield
ISBN : 0412253402
Genre : Mathematics
File Size : 63. 13 MB
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One of the most popular introductory texts in its field, Statistics for Technology: A Course in Applied Studies presents the range of statistical methods commonly used in science, social science, and engineering. The mathematics are simple and straightforward; statistical concepts are explained carefully; and real-life (rather than contrived) examples are used throughout the chapters. Divided into three parts, the Introduction describes some simple methods of summarizing data. Theory examines the basic concepts and theory of statistics. Applications covers the planning and procedures of experiments, quality control, and life testing. Revised throughout, this Third Edition places a higher priority on the role of computers in analysis, and many new references have been incorporated. A new appendix describes general methods of tackling statistical problems, including guidance on literature searching and report writing.

Mathematical Statistics

Author : Keith Knight
ISBN : 1584888563
Genre : Mathematics
File Size : 64. 54 MB
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Traditional texts in mathematical statistics can seem - to some readers-heavily weighted with optimality theory of the various flavors developed in the 1940s and50s, and not particularly relevant to statistical practice. Mathematical Statistics stands apart from these treatments. While mathematically rigorous, its focus is on providing a set of useful tools that allow students to understand the theoretical underpinnings of statistical methodology. The author concentrates on inferential procedures within the framework of parametric models, but - acknowledging that models are often incorrectly specified - he also views estimation from a non-parametric perspective. Overall, Mathematical Statistics places greater emphasis on frequentist methodology than on Bayesian, but claims no particular superiority for that approach. It does emphasize, however, the utility of statistical and mathematical software packages, and includes several sections addressing computational issues. The result reaches beyond "nice" mathematics to provide a balanced, practical text that brings life and relevance to a subject so often perceived as irrelevant and dry.

Novel Methods In Computational Finance

Author : Matthias Ehrhardt
ISBN : 9783319612829
Genre : Mathematics
File Size : 58. 32 MB
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This book discusses the state-of-the-art and open problems in computational finance. It presents a collection of research outcomes and reviews of the work from the STRIKE project, an FP7 Marie Curie Initial Training Network (ITN) project in which academic partners trained early-stage researchers in close cooperation with a broader range of associated partners, including from the private sector. The aim of the project was to arrive at a deeper understanding of complex (mostly nonlinear) financial models and to develop effective and robust numerical schemes for solving linear and nonlinear problems arising from the mathematical theory of pricing financial derivatives and related financial products. This was accomplished by means of financial modelling, mathematical analysis and numerical simulations, optimal control techniques and validation of models. In recent years the computational complexity of mathematical models employed in financial mathematics has witnessed tremendous growth. Advanced numerical techniques are now essential to the majority of present-day applications in the financial industry. Special attention is devoted to a uniform methodology for both testing the latest achievements and simultaneously educating young PhD students. Most of the mathematical codes are linked into a novel computational finance toolbox, which is provided in MATLAB and PYTHON with an open access license. The book offers a valuable guide for researchers in computational finance and related areas, e.g. energy markets, with an interest in industrial mathematics.

Statistical And Probabilistic Methods In Actuarial Science

Author : Philip J. Boland
ISBN : 9781584886952
Genre : Mathematics
File Size : 70. 18 MB
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Statistical and Probabilistic Methods in Actuarial Science covers many of the diverse methods in applied probability and statistics for students aspiring to careers in insurance, actuarial science, and finance. The book builds on students’ existing knowledge of probability and statistics by establishing a solid and thorough understanding of these methods. It also emphasizes the wide variety of practical situations in insurance and actuarial science where these techniques may be used. Although some chapters are linked, several can be studied independently from the others. The first chapter introduces claims reserving via the deterministic chain ladder technique. The next few chapters survey loss distributions, risk models in a fixed period of time, and surplus processes, followed by an examination of credibility theory in which collateral and sample information are brought together to provide reasonable methods of estimation. In the subsequent chapter, experience rating via no claim discount schemes for motor insurance provides an interesting application of Markov chain methods. The final chapters discuss generalized linear models and decision and game theory. Developed by an author with many years of teaching experience, this text presents an accessible, sound foundation in both the theory and applications of actuarial science. It encourages students to use the statistical software package R to check examples and solve problems.

Statistics For Epidemiology

Author : Nicholas P. Jewell
ISBN : 9780203496862
Genre : Medical
File Size : 20. 58 MB
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Statistical ideas have been integral to the development of epidemiology and continue to provide the tools needed to interpret epidemiological studies. Although epidemiologists do not need a highly mathematical background in statistical theory to conduct and interpret such studies, they do need more than an encyclopedia of "recipes." Statistics for Epidemiology achieves just the right balance between the two approaches, building an intuitive understanding of the methods most important to practitioners and the skills to use them effectively. It develops the techniques for analyzing simple risk factors and disease data, with step-by-step extensions that include the use of binary regression. It covers the logistic regression model in detail and contrasts it with the Cox model for time-to-incidence data. The author uses a few simple case studies to guide readers from elementary analyses to more complex regression modeling. Following these examples through several chapters makes it easy to compare the interpretations that emerge from varying approaches. Written by one of the top biostatisticians in the field, Statistics for Epidemiology stands apart in its focus on interpretation and in the depth of understanding it provides. It lays the groundwork that all public health professionals, epidemiologists, and biostatisticians need to successfully design, conduct, and analyze epidemiological studies.

Mathematical Statistics

Author : Peter J. Bickel
ISBN : 9781498722704
Genre : Business & Economics
File Size : 22. 87 MB
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Mathematical Statistics: Basic Ideas and Selected Topics, Volume II presents important statistical concepts, methods, and tools not covered in the authors’ previous volume. This second volume focuses on inference in non- and semiparametric models. It not only reexamines the procedures introduced in the first volume from a more sophisticated point of view but also addresses new problems originating from the analysis of estimation of functions and other complex decision procedures and large-scale data analysis. The book covers asymptotic efficiency in semiparametric models from the Le Cam and Fisherian points of view as well as some finite sample size optimality criteria based on Lehmann–Scheffé theory. It develops the theory of semiparametric maximum likelihood estimation with applications to areas such as survival analysis. It also discusses methods of inference based on sieve models and asymptotic testing theory. The remainder of the book is devoted to model and variable selection, Monte Carlo methods, nonparametric curve estimation, and prediction, classification, and machine learning topics. The necessary background material is included in an appendix. Using the tools and methods developed in this textbook, students will be ready for advanced research in modern statistics. Numerous examples illustrate statistical modeling and inference concepts while end-of-chapter problems reinforce elementary concepts and introduce important new topics. As in Volume I, measure theory is not required for understanding. Check out Volume I for fundamental, classical statistical concepts leading to the material in this volume.

Graphics For Statistics And Data Analysis With R

Author : Kevin J Keen
ISBN : 9781584880875
Genre : Mathematics
File Size : 67. 92 MB
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Graphics for Statistics and Data Analysis with R presents the basic principles of sound graphical design and applies these principles to engaging examples using the graphical functions available in R. It offers a wide array of graphical displays for the presentation of data, including modern tools for data visualization and representation. The book considers graphical displays of a single discrete variable, a single continuous variable, and then two or more of each of these. It includes displays and the R code for producing the displays for the dot chart, bar chart, pictographs, stemplot, boxplot, and variations on the quantile-quantile plot. The author discusses nonparametric and parametric density estimation, diagnostic plots for the simple linear regression model, polynomial regression, and locally weighted polynomial regression for producing a smooth curve through data on a scatterplot. The last chapter illustrates visualizing multivariate data with examples using Trellis graphics. Showing how to use graphics to display or summarize data, this text provides best practice guidelines for producing and choosing among graphical displays. It also covers the most effective graphing functions in R. R code is available for download on the book’s website.

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