Statistical Inference For Financial Engineering
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Statistical Inference For Financial Engineering
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Author : Masanobu Taniguchi
language : en
Publisher: Springer Science & Business Media
Release Date : 2014-03-26
Statistical Inference For Financial Engineering written by Masanobu Taniguchi and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-03-26 with Business & Economics categories.
This monograph provides the fundamentals of statistical inference for financial engineering and covers some selected methods suitable for analyzing financial time series data. In order to describe the actual financial data, various stochastic processes, e.g. non-Gaussian linear processes, non-linear processes, long-memory processes, locally stationary processes etc. are introduced and their optimal estimation is considered as well. This book also includes several statistical approaches, e.g., discriminant analysis, the empirical likelihood method, control variate method, quantile regression, realized volatility etc., which have been recently developed and are considered to be powerful tools for analyzing the financial data, establishing a new bridge between time series and financial engineering. This book is well suited as a professional reference book on finance, statistics and statistical financial engineering. Readers are expected to have an undergraduate-level knowledge of statistics.
Optimal Statistical Inference In Financial Engineering
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Author : Masanobu Taniguchi
language : en
Publisher: CRC Press
Release Date : 2007-11-26
Optimal Statistical Inference In Financial Engineering written by Masanobu Taniguchi and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-11-26 with Business & Economics categories.
Until now, few systematic studies of optimal statistical inference for stochastic processes had existed in the financial engineering literature, even though this idea is fundamental to the field. Balancing statistical theory with data analysis, Optimal Statistical Inference in Financial Engineering examines how stochastic models can effectively des
Financial Engineering
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Author : Mohit Chatterjee
language : en
Publisher: Educohack Press
Release Date : 2025-02-20
Financial Engineering written by Mohit Chatterjee and has been published by Educohack Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-02-20 with Science categories.
"Financial Engineering: Statistics and Data Analysis" is a comprehensive guide tailored for professionals and students navigating the dynamic landscape of finance. We encapsulate the pivotal role of statistics and data analysis in the modern financial industry, where data-driven insights are essential for informed decision-making and risk management. Through a meticulous blend of theoretical foundations and practical applications, this book equips readers with the analytical tools necessary to tackle complex financial challenges with confidence. From understanding key statistical concepts to leveraging advanced data analysis techniques, each chapter deepens the reader's proficiency in analyzing financial data and extracting actionable insights. Whether exploring risk management strategies, portfolio optimization techniques, or financial modeling methodologies, this book serves as a trusted companion for mastering financial analysis intricacies. With real-world examples, case studies, and hands-on exercises, readers are empowered to apply theoretical concepts to real-world scenarios, enhancing their ability to navigate today's financial markets. "Financial Engineering: Statistics and Data Analysis" is not just a textbook; it's a roadmap for success in financial engineering, offering invaluable insights for professionals and students alike.
Statistical Methods For Financial Engineering
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Author : Bruno Remillard
language : en
Publisher: CRC Press
Release Date : 2016-04-19
Statistical Methods For Financial Engineering written by Bruno Remillard and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-19 with Business & Economics categories.
While many financial engineering books are available, the statistical aspects behind the implementation of stochastic models used in the field are often overlooked or restricted to a few well-known cases. Statistical Methods for Financial Engineering guides current and future practitioners on implementing the most useful stochastic models used in f
Statistical Models And Methods For Financial Markets
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Author : Tze Leung Lai
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-09-08
Statistical Models And Methods For Financial Markets written by Tze Leung Lai and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-09-08 with Business & Economics categories.
The idea of writing this bookarosein 2000when the ?rst author wasassigned to teach the required course STATS 240 (Statistical Methods in Finance) in the new M. S. program in ?nancial mathematics at Stanford, which is an interdisciplinary program that aims to provide a master’s-level education in applied mathematics, statistics, computing, ?nance, and economics. Students in the programhad di?erent backgroundsin statistics. Some had only taken a basic course in statistical inference, while others had taken a broad spectrum of M. S. - and Ph. D. -level statistics courses. On the other hand, all of them had already taken required core courses in investment theory and derivative pricing, and STATS 240 was supposed to link the theory and pricing formulas to real-world data and pricing or investment strategies. Besides students in theprogram,thecoursealso attractedmanystudentsfromother departments in the university, further increasing the heterogeneity of students, as many of them had a strong background in mathematical and statistical modeling from the mathematical, physical, and engineering sciences but no previous experience in ?nance. To address the diversity in background but common strong interest in the subject and in a potential career as a “quant” in the ?nancialindustry,thecoursematerialwascarefullychosennotonlytopresent basic statistical methods of importance to quantitative ?nance but also to summarize domain knowledge in ?nance and show how it can be combined with statistical modeling in ?nancial analysis and decision making. The course material evolved over the years, especially after the second author helped as the head TA during the years 2004 and 2005.
Statistics And Data Analysis For Financial Engineering
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Author : David Ruppert
language : en
Publisher: Springer Science & Business Media
Release Date : 2010-11-08
Statistics And Data Analysis For Financial Engineering written by David Ruppert and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-11-08 with Business & Economics categories.
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.
Heavy Tail Phenomena
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Author : Sidney I. Resnick
language : en
Publisher: Springer Science & Business Media
Release Date : 2007
Heavy Tail Phenomena written by Sidney I. Resnick and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Business & Economics categories.
This comprehensive text gives an interesting and useful blend of the mathematical, probabilistic and statistical tools used in heavy-tail analysis. It is uniquely devoted to heavy-tails and emphasizes both probability modeling and statistical methods for fitting models. Prerequisites for the reader include a prior course in stochastic processes and probability, some statistical background, some familiarity with time series analysis, and ability to use a statistics package. This work will serve second-year graduate students and researchers in the areas of applied mathematics, statistics, operations research, electrical engineering, and economics.
Introductory Statistical Inference
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Author : Nitis Mukhopadhyay
language : en
Publisher: CRC Press
Release Date : 2006-02-07
Introductory Statistical Inference written by Nitis Mukhopadhyay and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-02-07 with Mathematics categories.
Introductory Statistical Inference develops the concepts and intricacies of statistical inference. With a review of probability concepts, this book discusses topics such as sufficiency, ancillarity, point estimation, minimum variance estimation, confidence intervals, multiple comparisons, and large-sample inference. It introduces techniques of two-stage sampling, fitting a straight line to data, tests of hypotheses, nonparametric methods, and the bootstrap method. It also features worked examples of statistical principles as well as exercises with hints. This text is suited for courses in probability and statistical inference at the upper-level undergraduate and graduate levels.
Research Papers In Statistical Inference For Time Series And Related Models
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Author : Yan Liu
language : en
Publisher: Springer Nature
Release Date : 2023-05-31
Research Papers In Statistical Inference For Time Series And Related Models written by Yan Liu and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-05-31 with Mathematics categories.
This book compiles theoretical developments on statistical inference for time series and related models in honor of Masanobu Taniguchi's 70th birthday. It covers models such as long-range dependence models, nonlinear conditionally heteroscedastic time series, locally stationary processes, integer-valued time series, Lévy Processes, complex-valued time series, categorical time series, exclusive topic models, and copula models. Many cutting-edge methods such as empirical likelihood methods, quantile regression, portmanteau tests, rank-based inference, change-point detection, testing for the goodness-of-fit, higher-order asymptotic expansion, minimum contrast estimation, optimal transportation, and topological methods are proposed, considered, or applied to complex data based on the statistical inference for stochastic processes. The performances of these methods are illustrated by a variety of data analyses. This collection of original papers provides the reader with comprehensive and state-of-the-art theoretical works on time series and related models. It contains deep and profound treatments of the asymptotic theory of statistical inference. In addition, many specialized methodologies based on the asymptotic theory are presented in a simple way for a wide variety of statistical models. This Festschrift finds its core audiences in statistics, signal processing, and econometrics.
Financial Engineering With Copulas Explained
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Author : J. Mai
language : en
Publisher: Springer
Release Date : 2014-10-02
Financial Engineering With Copulas Explained written by J. Mai and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-10-02 with Business & Economics categories.
This is a succinct guide to the application and modelling of dependence models or copulas in the financial markets. First applied to credit risk modelling, copulas are now widely used across a range of derivatives transactions, asset pricing techniques and risk models and are a core part of the financial engineer's toolkit.