This book presents statistical methods and models of importance to quantitative finance and links finance theory to market practice via statistical modeling and decision making. Part I provides basic background in statistics, which includes linear regression and extensions to generalized linear models and nonlinear regression, multivariate analysis, likelihood inference and Bayesian methods, and time series analysis. It also describes applications of these methods to portfolio theory and dynamic models of asset returns and their volatilities. Part II presents advanced topics in quantitative finance and introduces a substantive-empirical modeling approach to address the discrepancy between finance theory and market data. It describes applications to option pricing, interest rate markets, statistical trading strategies, and risk management. INDICE: Linear regression models.- Multivariate analysis and likelihood inference.- Basic investment models and their statistical analysis.- Parametric models and bayesian methods.- Time series modeling forecasting.- Dynamic models of asset return and their volatilities.- Nonparametric regression and substantive-empirical modeling.- Option pricing and market data.- Advanced multivariate and time series methods in financial econometrics.- Interest rate markets.- Statistical trading strategies.- Statistical methods in risk management.- Appendix A.- Appendix B.- Appendix C.- References.- Index.
- ISBN: 978-0-387-77826-6
- Editorial: Springer
- Encuadernacion: Cartoné
- Páginas: 356
- Fecha Publicación: 01/06/2008
- Nº Volúmenes: 1
- Idioma: Inglés