شابک
شابک
9781461487876
شماره کتابشناسی ملی
کد کشور
IR
شماره
EN-50027
زبان اثر
زبان متن نوشتاري يا گفتاري و مانند آن
انگلیسی
کشور محل نشر یا تولید
کشور محل نشر
IR
عنوان و نام پديدآور
عنوان اصلي
Statistical analysis of financial data in R
نام عام مواد
[Book]
نام نخستين پديدآور
/ Rene Carmona
وضعیت ویراست
وضعيت ويراست
Second edition.
وضعیت نشر و پخش و غیره
محل نشرو پخش و غیره
New York, NY
نام ناشر، پخش کننده و غيره
: Springer,
تاریخ نشرو بخش و غیره
, 2014.
فروست
عنوان فروست
(Springer texts in statistics)
یادداشتهای مربوط به نشر، بخش و غیره
متن يادداشت
Print
یادداشتهای مربوط به مندرجات
متن يادداشت
Summary: Although there are many books on mathematical finance, few deal with the statistical aspects of modern data analysis as applied to financial problems. This book fills this gap by addressing some of the most challenging issues facing any financial engineer. It shows how sophisticated mathematics and modern statistical techniques can be used in concrete financial problems. Concerns of risk management are addressed by the control of extreme values, the fitting of distributions with heavy tails, the computation of values at risk (VaR), and other measures of risk. Data description techniques such as principal component analysis (PCA), smoothing, and regression are applied to the construction of yield and forward curve. Nonparametric estimation and nonlinear filtering are used for option pricing and earnings prediction. The book is intended for undergraduate students majoring in financial engineering, or graduate students in a Master in finance or MBA program. Because it was designed as a teaching vehicle, it is sprinkled with practical examples using market data, and each chapter ends with exercises. Practical examples are solved in the computing environment of R. They illustrate problems occurring in the commodity and energy markets, the fixed income markets as well as the equity markets, and even some new emerging markets like the weather markets. The book can help quantitative analysts by guiding them through the details of statistical model estimation and implementation. It will also be of interest to researchers wishing to manipulate financial data, implement abstract concepts, and test mathematical theories, especially by addressing practical issues that are often neglected in the presentation of the theory.
متن يادداشت
Univariate Data Distributions -- Heavy Tail Distributions -- Dependence and Multivariate Data Exploration -- Parametric Regression -- Local and Nonparametric Regression -- Time Series Models -- Multivariate Time Series, Linear Systems and Kalman Filtering -- Nonlinear Time Series: Models and Simulation -- Appendices -- Indices.
فروست (داده ارتباطی)
عنوان
Springer texts in statistics
موضوع (اسم عام یاعبارت اسمی عام)
موضوع مستند نشده
Business mathematics
موضوع مستند نشده
R (Computer program language)
موضوع مستند نشده
Mathematical statistics
موضوع مستند نشده
Statistics
موضوع مستند نشده
Statistics for Business/Economics/Mathematical Finance/Insurance
موضوع مستند نشده
Statistical Theory and Methods
موضوع مستند نشده
Quantitative Finance
رده بندی کنگره
شماره رده
E-BOOK
نام شخص - ( مسئولیت معنوی درجه دوم )
مستند نام اشخاص تاييد نشده
Carmona, R.Carmona, Rene
مبدا اصلی
کشور
ایران
دسترسی و محل الکترونیکی
نام ميزبان
9781461487876.pdf
شماره دسترسي
عادی
اطلاعات مختصر
عادی
تاريخ و ساعت مذاکره و دسترسي
9781461487876.pdf
نوع فرمت الکترونيکي
متن
وضعیت فهرست نویسی
وضعیت فهرست نویسی
old catalog
وضعیت انتشار
فرمت انتشار
p
اطلاعات رکورد کتابشناسی
نوع ماده
BL
پیشوند ISBD اعمال شده است
1
اطلاعات دسترسی رکورد
سطح دسترسي
a
تكميل شده
Y
