This book emphasizes the applications of statistics and probability to finance. The basics of these subjects are reviewed and more advanced topics in statistics, such as regression, ARMA and GARCH models, the bootstrap, and nonparametric regression using splines, are introduced as needed. The book covers the classical methods of finance and it introduces the newer area of behavioral finance. Applications and use of MATLAB and SAS software are stressed. The book will serve as a text in courses aimed at advanced undergraduates and masters students. Those in the finance industry can use it for self-study.
This textbook emphasizes the applications of statistics and probability to finance. It reviews the basics and advanced topics are introduced, including behavioral finance. The book serves as a text in courses, and those in the finance industry can use it for self-study.
Introduction.- Probability and Statistical Models.- Returns.- Time Series Models.- Portfolio Theory.- Regression.- The Capital Asset Pricing Model.- Options Pricing.- Fixed Income Securities.- Resampling.- Value-at-Risk.- GARCH models.- Nonparametric Regression and Splines.- Behavioral Finance.
From the reviews:
The inherent interaction of statistical and financial modeling makes this book a very useful and motivating instrument with which to introduce students from engineering, mathematics, statistics and economics to study statistics and/or finance. Short Book Reviews of the International Statistical Institute, December 2004
This book will be on my list of study book sfor 2005. If you have any interest or involvement with statistics in financial applications, I recommend this book to you. Technometrics, May 2005
...The book is well-written and clear....the clear writing with illustrative examples and pictures strongly recommend the book l#/
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