Statistical Analysis of Financial Data: With Examples in R

ISBN-13: 9781032173467 / Angielski / Miękka / 2021 / 646 str.

James Gentle

Opis

The book is about financial data - security prices and prices of derivatives, and the statistical methods for analyzing such data. It covers statistical models of branching processes, linear discrete time series models, and continuous-time stochastic models, all at an intermediate level (advanced undergraduate or beginning graduate).

Spis treści

1. The Nature of Financial Data. 2. Sources of Financial Data and Software to Work with It. 3. Statistical Analysis of Financial Data. 4. Time Series Analysis. 5. Nonparametric Smoothing and Pattern Recognition. 6. Portfolios of Assets 7. Futures and Derivatives.