LEADER 05047nam 22007335 450 001 9910299961203321 005 20220627194927.0 010 $a1-4614-8788-9 024 7 $a10.1007/978-1-4614-8788-3 035 $a(CKB)3710000000078714 035 $a(Springer)9781461487883 035 $a(MH)013884411-9 035 $a(SSID)ssj0001091963 035 $a(PQKBManifestationID)11655222 035 $a(PQKBTitleCode)TC0001091963 035 $a(PQKBWorkID)11029940 035 $a(PQKB)11788204 035 $a(DE-He213)978-1-4614-8788-3 035 $a(MiAaPQ)EBC6315881 035 $a(MiAaPQ)EBC1591898 035 $a(Au-PeEL)EBL1591898 035 $a(CaPaEBR)ebr10983466 035 $a(OCoLC)872108722 035 $a(PPN)176099689 035 $a(EXLCZ)993710000000078714 100 $a20131213d2014 u| 0 101 0 $aeng 135 $aurnn#008mamaa 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aStatistical Analysis of Financial Data in R /$fby René Carmona 205 $a2nd ed. 2014. 210 1$aNew York, NY :$cSpringer New York :$cImprint: Springer,$d2014. 215 $a1 online resource (XVII, 588 p. 187 illus., 37 illus. in color.)$conline resource 225 1 $aSpringer Texts in Statistics,$x1431-875X 300 $aRevised edition of the author's Statistical analysis of financial data in S-PLUS, published in 2004. 311 $a1-4614-8787-0 320 $aIncludes bibliographical references and indexes. 327 $aUnivariate 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. 330 $aAlthough there are many books on mathematical finance, few deal with the statistical aspects of modern data analysis as applied to financial problems. This book fills this gap by addressing some of the most challenging issues facing any financial engineer. It shows how sophisticated mathematics and modern statistical techniques can be used in concrete financial problems. Concerns of risk management are addressed by the control of extreme values, the fitting of distributions with heavy tails, the computation of values at risk (VaR), and other measures of risk. Data description techniques such as principal component analysis (PCA), smoothing, and regression are applied to the construction of yield and forward curve. Nonparametric estimation and nonlinear filtering are used for option pricing and earnings prediction. The book is intended for undergraduate students majoring in financial engineering, or graduate students in a Master in finance or MBA program. Because it was designed as a teaching vehicle, it is sprinkled with practical examples using market data, and each chapter ends with exercises. Practical examples are solved in the computing environment of R. They illustrate problems occurring in the commodity and energy markets, the fixed income markets as well as the equity markets, and even some new emerging markets like the weather markets. The book can help quantitative analysts by guiding them through the details of statistical model estimation and implementation. It will also be of interest to researchers wishing to manipulate financial data, implement abstract concepts, and test mathematical theories, especially by addressing practical issues that are often neglected in the presentation of the theory. 410 0$aSpringer Texts in Statistics,$x1431-875X 606 $aStatistics  606 $aEconomics, Mathematical  606 $aR (Computer program language) 606 $aStatistics for Business, Management, Economics, Finance, Insurance$3https://scigraph.springernature.com/ontologies/product-market-codes/S17010 606 $aStatistical Theory and Methods$3https://scigraph.springernature.com/ontologies/product-market-codes/S11001 606 $aQuantitative Finance$3https://scigraph.springernature.com/ontologies/product-market-codes/M13062 615 0$aStatistics . 615 0$aEconomics, Mathematical . 615 0$aR (Computer program language). 615 14$aStatistics for Business, Management, Economics, Finance, Insurance. 615 24$aStatistical Theory and Methods. 615 24$aQuantitative Finance. 676 $a332.015195 700 $aCarmona$b René$4aut$4http://id.loc.gov/vocabulary/relators/aut$0149642 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910299961203321 996 $aStatistical analysis of financial data in S-plus$91129925 997 $aUNINA 999 $aThis Record contains information from the Harvard Library Bibliographic Dataset, which is provided by the Harvard Library under its Bibliographic Dataset Use Terms and includes data made available by, among others the Library of Congress