Statistics of Financial Markets

Author: Jacek Fabian

Publisher: N.A

ISBN: 9781681176475

Category:

Page: 288

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Statistics is used every day in business. It can be used for quality assurance, financial analysis, production and operations, and many other business areas. Until about the 1970s, financial mathematics has been rather modest compared with other mathematical disciplines. This changed rapidly after the path-breaking works of F. Black, M. Scholes, and R. Merton on derivative pricing, for which they received the Nobel prize of economics in 1997. Since 1973, the publication year of the famous Black and Scholes article, the importance of derivative instruments in financial markets has not ceased to grow. Higher risks associated with, for example, flexible instead of fixed exchange rates after the fall of the Bretton Woods system required a risk management and the use of hedging instruments for internationally active companies. More recently, globalization and the increasingly complex dependence of financial markets are reasons for using sophisticated mathematical and statistical methods and models to evaluate risks. As a result, there is an increasing demand for experts in financial engineering, who control risks internally, search for profitable investment opportunities and guarantee the obligations of legislation. In the future, such risk management is likely to become obligatory for other, deregulated markets such as telecommunication and energy markets. Being aware of the increasing price, volume, and credit risks in these markets, large companies usually have already created new departments dealing with asset and liability management as well as risk management. Statistics of Financial Markets offers a vivid yet concise introduction to the growing field of statistical applications in finance. The focus is both on fundamentals of mathematical finance and financial time series analysis and on applications to given problems of financial markets, making the book the ideal basis for lectures, researchers, and practitioners.
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Statistics of Financial Markets

Exercises and Solutions

Author: Szymon Borak,Wolfgang Karl Härdle,Brenda López-Cabrera

Publisher: Springer Science & Business Media

ISBN: 9783642111341

Category: Mathematics

Page: 229

View: 2870

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Practice makes perfect. Therefore the best method of mastering models is working with them. In this book we present a collection of exercises and solutions which can be helpful in the comprehension of Statistics of Financial Markets. The exercises illustrate the theory by discussing practical examples in detail. We provide computational solutions for the problems, which are all calculated using R and Matlab. The corresponding Quantlets - a name we give to these program codes - are provided in this book. They follow the name scheme SFSxyz123 and can be downloaded from the Springer homepage. We have sought to strike a balance between theoretical presentation and practical challenges. The book is divided into three main parts, in which we discuss option pricing, time series analysis and advanced quantitative statistical techniques in finance.
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Statistics and Data Analysis for Financial Engineering

Author: David Ruppert

Publisher: Springer Science & Business Media

ISBN: 9781441977878

Category: Business & Economics

Page: 638

View: 4539

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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.
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The Statistical Mechanics of Financial Markets

Author: Johannes Voit

Publisher: Springer Science & Business Media

ISBN: 3662051257

Category: Mathematics

Page: 290

View: 9320

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This textbook describes parallels between statistical physics and finance - both those established in the 100-year-long interaction between these disciplines, as well as new research results on capital markets. The random walk, well known in physics, is also the basic model in finance, upon which are built, for example, the Black--Scholes theory of option pricing and hedging, or methods of risk control using diversification. Here the underlying assumptions are discussed using empirical financial data and analogies to physical models such as fluid flows, turbulence, or superdiffusion. On this basis, new theories of derivative pricing and risk control can be formulated. Computer simulations of interacting agent models of financial markets provide insights into the origins of asset price fluctuations. Stock exchange crashes can be modelled in ways analogous to phase transitions and earthquakes. These models allow for predictions. This study edition has been updated with a presentation of several new and significant developments, e.g. the dynamics of volatility smiles and implied volatility surfaces, path integral approaches to option pricing, a new and accurate simulation scheme for options, multifractals, the application of nonextensive statistical mechanics to financial markets, and the minority game. Moreover, the book was scanned for and corrected from errors, both typographical and in presentation.
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Statistics for Finance

Author: Erik Lindström,Henrik Madsen,Jan Nygaard Nielsen

Publisher: CRC Press

ISBN: 1315360217

Category: Business & Economics

Page: 384

View: 1446

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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.
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Historical statistics of the United States, colonial times to 1970

Author: United States. Bureau of the Census

Publisher: N.A

ISBN: N.A

Category: Electronic books

Page: 1232

View: 7380

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Contains annual, time-series data with national coverage on almost any aspect of United States economics, population or infrastructure since the government began recording statistics. Part 1 covers: Population. Vital statistics and health and medical care. Migration. Labor. Prices and price indexes. National income and wealth. Consumer income and expenditures. Social statistics. Land, water, and climate. Agriculture. Forestry and fisheries. Minerals. Part 2 covers: Construction and housing. Manufactures. Transportation. Communications. Energy. Distribution and services. International transactions and foreign commerce. Business enterprise. Productivity and technological development. Financial markets and institutions.
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Statistics for Business and Financial Economics

Author: Cheng F. Lee,John C. Lee,Alice C. Lee

Publisher: World Scientific

ISBN: 9789810234850

Category: Business & Economics

Page: 1077

View: 2536

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This text integrates various statistical techniques with concepts from business, economics and finance, and demonstrates the power of statistical methods in the real world of business. This edition places more emphasis on finance, economics and accounting concepts with updated sample data.
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Methods and Applications of Statistics in Business, Finance, and Management Science

Author: N. Balakrishnan

Publisher: John Wiley & Sons

ISBN: 0470405104

Category: Mathematics

Page: 711

View: 8457

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Inspired by the Encyclopedia of Statistical Sciences, Second Edition (ESS2e), this volume presents a concise, well-rounded focus on the statistical concepts and applications that are essential for understanding gathered data in the study of business, finance, and management science. The book successfully upholds the goals of ESS2e by combining both previously-published and newly developed contributions written by over 100 leading academics, researchers, and practitioner in a comprehensive, approachable format. The result is a succinct reference that unveils modern, cutting-edge approaches to acquiring and analyzing data across diverse subject areas within these three disciplines, including risk management, mathematical finance, economics, supply chain management, derivative pricing, and resource allocation. In addition, techniques related to survey methodology, computational statistics, and operations research are discussed, where applicable. Topics of coverage include: Logistics Decision analysis Optimization Simulation Forecasting Mathematical modeling Data mining
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