Coverart for item
The Resource Statistics for finance, Erik Lindström, Henrik Madsen, Jan Nygaard Nielsen

Statistics for finance, Erik Lindström, Henrik Madsen, Jan Nygaard Nielsen

Label
Statistics for finance
Title
Statistics for finance
Statement of responsibility
Erik Lindström, Henrik Madsen, Jan Nygaard Nielsen
Creator
Contributor
Author
Subject
Genre
Language
eng
Summary
Statistics for Finance develops students professional skills in statistics with applications in finance. Developed from the authors courses at the Technical University of Denmark and Lund University, the text bridges the gap between classical, rigorous treatments of financial mathematics that rarely connect concepts to data and books on econometrics and time series analysis that do not cover specific problems related to option valuation. The book discusses applications of financial derivatives pertaining to risk assessment and elimination. The authors cover various statistical and mathematical techniques, including linear and nonlinear time series analysis, stochastic calculus models, stochastic differential equations, It s formula, the Black Scholes model, the generalized method-of-moments, and the Kalman filter. They explain how these tools are used to price financial derivatives, identify interest rate models, value bonds, estimate parameters, and much more. This textbook will help students understand and manage empirical research in financial engineering. It includes examples of how the statistical tools can be used to improve value-at-risk calculations and other issues. In addition, end-of-chapter exercises develop students financial reasoning skills."
Member of
Cataloging source
UMI
http://library.link/vocab/creatorName
Lindström, Erik
Dewey number
332.015195
Illustrations
illustrations
Index
no index present
LC call number
HG176.5
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
  • Madsen, Henrik
  • Nielsen, Jan Nygaard
Series statement
Texts in Statistical Science
http://library.link/vocab/subjectName
  • Finance
  • Statistics
  • Finance
  • BUSINESS & ECONOMICS
  • Finance
  • Finance
  • Statistics
Label
Statistics for finance, Erik Lindström, Henrik Madsen, Jan Nygaard Nielsen
Instantiates
Publication
Copyright
Note
"A Chapman & Hall book."
Bibliography note
Includes bibliographical references (pages 345-259)
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Fundamentals -- Discrete time finance -- Linear time series models -- Nonlinear time series models -- Kernel estimators in time series analysis -- Stochastic calculus -- Stochastic differential equations -- Continuous-time security markets -- Stochastic interest rate models -- Term structure of interest rates -- Discrete time approximations -- Parameter estimation in discretely observed SDEs -- Inference in partially observed processes
Control code
910165516
Dimensions
unknown
Extent
1 online resource (1 volume)
Form of item
online
Isbn
9781482229004
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
  • 9781482228991
  • 10.1201/b18357
Other physical details
illustrations.
http://library.link/vocab/ext/overdrive/overdriveId
cl0500000595
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)910165516
Label
Statistics for finance, Erik Lindström, Henrik Madsen, Jan Nygaard Nielsen
Publication
Copyright
Note
"A Chapman & Hall book."
Bibliography note
Includes bibliographical references (pages 345-259)
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Fundamentals -- Discrete time finance -- Linear time series models -- Nonlinear time series models -- Kernel estimators in time series analysis -- Stochastic calculus -- Stochastic differential equations -- Continuous-time security markets -- Stochastic interest rate models -- Term structure of interest rates -- Discrete time approximations -- Parameter estimation in discretely observed SDEs -- Inference in partially observed processes
Control code
910165516
Dimensions
unknown
Extent
1 online resource (1 volume)
Form of item
online
Isbn
9781482229004
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
  • 9781482228991
  • 10.1201/b18357
Other physical details
illustrations.
http://library.link/vocab/ext/overdrive/overdriveId
cl0500000595
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)910165516

Library Locations

    • Ellis LibraryBorrow it
      1020 Lowry Street, Columbia, MO, 65201, US
      38.944491 -92.326012
    • Engineering Library & Technology CommonsBorrow it
      W2001 Lafferre Hall, Columbia, MO, 65211, US
      38.946102 -92.330125
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