Statistical Models and Methods for Financial Markets
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 mode...
محفوظ في:
| المؤلفون الرئيسيون: | , |
|---|---|
| التنسيق: | Livre numérique |
| اللغة: | Anglais |
| منشور في: |
New York, NY :
Springer New York
[20..].
Cham : Springer Nature |
| الطبعة: | 1st ed. 2008. |
| سلاسل: | Springer Texts in Statistics
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| الموضوعات: | |
| الوصول للمادة أونلاين: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| ملاحظة: |
L'impression du document génère 362 p. Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Statistical models and methods for financial markets, Tze Leung Lai, Haipeng Xing., New York, NY, Springer, 2008, 1 vol. (xx-354 p.), Springer Texts in Statistics, 978-0-387-77826-6 • Bivalve filter feeders in estuarine and coastal ecosystem processes, [proceedings of the NATO Advanced Research Workshop on the Role of Bivalve Filter Feeders in Marine Ecosystem Processes, held at Renesse, The Netherlands, November 30 to December 4, 1992], ed. by Richard F. Dame, Berlin, Springer-Verlag, 1993, vi, 578 p, NATO ASI series. Advanced science institutes series. Series G, Ecological sciences, 0-387-56952-9 • Statistical Models and Methods for Financial Markets, Texte imprimé, 9781441926685 • Statistical models and methods for financial markets, Tze Leung Lai, Haipeng Xing., New York, NY, Springer, 2008, 1 vol. (xx-354 p.), Springer Texts in Statistics, 978-0-387-77826-6 |
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| 100 | 1 | |a Lai, Tze Leung, |d 19..- | |
| 245 | 1 | 0 | |a Statistical Models and Methods for Financial Markets |c Tze Leung Lai, Haipeng Xing. |
| 250 | |a 1st ed. 2008. | ||
| 260 | |a New York, NY : |b Springer New York. | ||
| 260 | |a Cham : |b Springer Nature, |c [20..]. | ||
| 490 | 0 | |a Springer Texts in Statistics |x 2197-4136 | |
| 500 | |a L'impression du document génère 362 p. | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 504 | |a Bibliogr. Index | ||
| 505 | | | |a Contient des exercices | |
| 506 | |a Accès en ligne pour les établissements français bénéficiaires des licences nationales | ||
| 506 | |a Accès soumis à abonnement pour tout autre établissement | ||
| 506 | |a Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 | ||
| 520 | |a 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. Nonparametric regression, advanced multivariate and time series methods in financial econometrics, and statistical models for high-frequency transactions data are also introduced in this connection. The book has been developed as a textbook for courses on statistical modeling in quantitative finance in master's level financial mathematics (or engineering) and computational (or mathematical) finance programs. It is also designed for self-study by quantitative analysts in the financial industry who want to learn more about the background and details of the statistical methods used by the industry. It can also be used as a reference for graduate statistics and econometrics courses on regression, multivariate analysis, likelihood and Bayesian inference, nonparametrics, and time series, providing concrete examples and data from financial markets to illustrate the statistical methods. Tze Leung Lai is Professor of Statistics and Director of Financial Mathematics at Stanford University. He received the Ph.D. degree in 1971 from Columbia University, where he remained on the faculty until moving to Stanford University in 1987. He received the Committee of Presidents of Statistical Societies Award in 1983 and is an elected member of Academia Sinica and the International Statistical Institute. His research interests include quantitative finance and risk management, sequential statistical methodology, stochastic optimization and adaptive control, probability theory and stochastic processes, econometrics, and biostatistics. Haipeng Xing is Assistant Professor of Statistics at Columbia University. He received the Ph.D. degree in 2005 from Stanford University. His research interests include financial econometrics and engineering, time series modeling and adaptive control, fault detection, and change-point problems | ||
| 650 | |a Marché financier |x Méthodes statistiques | ||
| 650 | |a Finances |x Modèles mathématiques | ||
| 650 | |a Finances |x Statistiques | ||
| 700 | 1 | |a Xing, Haipeng. |4 aut | |
| 776 | 0 | |0 135361729 |t Statistical models and methods for financial markets |f Tze Leung Lai, Haipeng Xing. |c New York, NY |n Springer |d 2008 |p 1 vol. (xx-354 p.) |s Springer Texts in Statistics |z 978-0-387-77826-6 | |
| 776 | 0 | |0 005412129 |t Bivalve filter feeders in estuarine and coastal ecosystem processes |o [proceedings of the NATO Advanced Research Workshop on the Role of Bivalve Filter Feeders in Marine Ecosystem Processes, held at Renesse, The Netherlands, November 30 to December 4, 1992] |f ed. by Richard F. Dame |c Berlin |n Springer-Verlag |d 1993 |p vi, 578 p |s NATO ASI series. Advanced science institutes series. Series G, Ecological sciences |z 0-387-56952-9 | |
| 776 | 0 | |t Statistical Models and Methods for Financial Markets |b Texte imprimé |z 9781441926685 | |
| 776 | 0 | |0 135361729 |t Statistical models and methods for financial markets |f Tze Leung Lai, Haipeng Xing. |c New York, NY |n Springer |d 2008 |p 1 vol. (xx-354 p.) |s Springer Texts in Statistics |z 978-0-387-77826-6 | |
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| 856 | 4 | |5 180339901:750874473 |u https://ezproxy.insa-cvl.fr/login?qurl=https://dx.doi.org/10.1007/978-0-387-77827-3 |z Accès INSA CVL | |
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