Coverart for item
The Resource Statistics and data analysis for financial engineering, David Ruppert

Statistics and data analysis for financial engineering, David Ruppert

Label
Statistics and data analysis for financial engineering
Title
Statistics and data analysis for financial engineering
Statement of responsibility
David Ruppert
Creator
Subject
Language
eng
Summary
Financial engineers have access to enormous quantities of data but need powerful methods for extracting quantitative information, particularly about volatility and risks. Key features of this textbook are: illustration of concepts with financial markets and economic data, R Labs with real-data exercises, and integration of graphical and analytic methods for modeling and diagnosing modeling errors. Despite some overlap with the author's undergraduate textbook Statistics and Finance: An Introduction, this book differs from that earlier volume in several important aspects: it is graduate-level; computations and graphics are done in R; and many advanced topics are covered, for example, multivariate distributions, copulas, Bayesian computations, VaR and expected shortfall, and cointegration. The prerequisites are basic statistics and probability, matrices and linear algebra, and calculus. Some exposure to finance is helpful. David Ruppert is Andrew Schultz, Jr., Professor of Engineering and Professor of Statistical Science, School of Operations Research and Information Engineering, Cornell University, where he teaches statistics and financial engineering and is a member of the Program in Financial Engineering. His research areas include asymptotic theory, semiparametric regression, functional data analysis, biostatistics, model calibration, measurement error, and astrostatistics. Professor Ruppert received his PhD in Statistics at Michigan State University. He is a Fellow of the American Statistical Association and the Institute of Mathematical Statistics and won the Wilcoxon prize. He is Editor of the Electronic Journal of Statistics, former Editor of the Institute of Mathematical Statistics's Lecture Notes--Monographs Series, and former Associate Editor of several major statistics journals. Professor Ruppert has published over 100 scientific papers and four books: Transformation and Weighting in Regression, Measurement Error in Nonlinear Models, Semiparametric Regression, and Statistics and Finance: An Introduction
Member of
Is part of
Cataloging source
GW5XE
http://library.link/vocab/creatorDate
1948-
http://library.link/vocab/creatorName
Ruppert, David
Dewey number
658.15
Illustrations
illustrations
Index
index present
LC call number
HG176.7
LC item number
.R87 2011
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
Series statement
Springer texts in statistics
http://library.link/vocab/subjectName
  • Financial engineering
  • Finance
  • Statistics
  • Statistics for Business/Economics/Mathematical Finance/Insurance
  • Finance
Label
Statistics and data analysis for financial engineering, David Ruppert
Instantiates
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Returns -- Fixed income securities -- Exploratory data analysis -- Modeling univariate distributions -- Resampling -- Multivariate statistical models -- Copulas -- Time series models : basics -- Time series models : further topics -- Portfolio theory -- Regression : basics -- Regression : troubleshooting -- Regression : advanced topics -- Cointegration -- The capital asset pricing model -- Factor models and principal components -- GARCH models -- Risk management -- Bayesian data analysis and MCMC -- Nonparametric regression and splines
Control code
695386854
Dimensions
unknown
Extent
1 online resource (xxii, 638 pages)
Form of item
online
Isbn
9781441977878
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-1-4419-7787-8
Other physical details
illustrations.
http://library.link/vocab/ext/overdrive/overdriveId
978-1-4419-7786-1
Specific material designation
remote
System control number
(OCoLC)695386854
Label
Statistics and data analysis for financial engineering, David Ruppert
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Returns -- Fixed income securities -- Exploratory data analysis -- Modeling univariate distributions -- Resampling -- Multivariate statistical models -- Copulas -- Time series models : basics -- Time series models : further topics -- Portfolio theory -- Regression : basics -- Regression : troubleshooting -- Regression : advanced topics -- Cointegration -- The capital asset pricing model -- Factor models and principal components -- GARCH models -- Risk management -- Bayesian data analysis and MCMC -- Nonparametric regression and splines
Control code
695386854
Dimensions
unknown
Extent
1 online resource (xxii, 638 pages)
Form of item
online
Isbn
9781441977878
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-1-4419-7787-8
Other physical details
illustrations.
http://library.link/vocab/ext/overdrive/overdriveId
978-1-4419-7786-1
Specific material designation
remote
System control number
(OCoLC)695386854

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