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Statistical Tools for Finance and Insurance presents ready-to-use solutions, theoretical developments and method construction for many practical problems in quantitative finance and insurance. Written by practitioners and leading academics in the field, this book offers a unique combination of topics from which every market analyst and risk manager will benefit.
Features of the significantly enlarged and revised second edition:
- Offers insight into new methods and the applicability of the stochastic technology
- Provides the tools, instruments and (online) algorithms for recent techniques in quantitative finance and modern treatments in insurance calculations
- Covers topics such as
- expected shortfall for heavy tailed and mixture distributions*
- pricing of variance swaps*
- volatility smile calibration in FX markets
- pricing of catastrophe bonds and temperature derivatives*
- building loss models and ruin probability approximation
- insurance pricing with GLM*
- equity linked retirement plans*(new topics in the second edition marked with*) - Presents extensive examples
List of contents
I Finance: Models for heavy-tailed asset returns (Szymon Borak, Adam Misiorek, and Rafa l Weron).- Expected shortfall (Simon A. Broda and Marc S. Paolella).- Modelling conditional heteroscedasticity in nonstationary series (Pavel Cízek).- FX smile in the Heston model (Agnieszka Janek, Tino Kluge, Rafal Weron, and Uwe Wystup).- Pricing of Asian temperature risk (Fred Espen Benth, Wolfgang Karl Härdle, and Brenda Lopez Cabrera).- Variance swaps (Wolfgang Karl Härdle and Elena Silyakova).- Learning machines to help predict bankruptcy (Wolfgang Karl Härdle, Linda Hoffmann, and Rouslan Moro).- Distance matrix method for network structure analysis (Janusz Mískiewicz).- II Insurance: Building loss models (Krzysztof Burnecki, Joanna Janczura, and Rafal Weron).- Ruin probability in finite time (Krzysztof Burnecki and Marek Teuerle).- Property and casualty insurance pricing with GLMs (Jan Iwanik).- Pricing of catastrophe bonds (Krzysztof Burnecki, Grzegorz Kukla, and David Taylor).- Return distributions of equity-linked retirement plans (Nils Detering, Andreas Weber, and Uwe Wystup).- Index.
About the author
Wolfgang Karl Härdle is a Professor of Statistics at the Humboldt-Universität zu Berlin and the Director of CASE the Centre for Applied Statistics and Economics. He teaches quantitative finance and semi-parametric statistical methods. His research focuses on dynamic factor models, multivariate statistics in finance and computational statistics. He is an elected member of the ISI and an advisor to the Guanghua School of Management, Peking University and to National Central University, Taiwan.
Summary
Statistical Tools for Finance and Insurancepresents ready-to-use solutions, theoretical developments and method construction for many practical problems in quantitative finance and insurance. Written by practitioners and leading academics in the field, this book offers a unique combination of topics from which every market analyst and risk manager will benefit.
Features of the significantly enlarged and revised second edition:
- Offers insight into new methods and the applicability of the stochastic technology
- Provides the tools, instruments and (online) algorithms for recent techniques in quantitative finance and modern treatments in insurance calculations
- Covers topics such as
- expected shortfall for heavy tailed and mixture distributions*
- pricing of variance swaps*
- volatility smile calibration in FX markets
- pricing of catastrophe bonds and temperature derivatives*
- building loss models and ruin probability approximation
- insurance pricing with GLM*
- equity linked retirement plans*(new topics in the second edition marked with*) - Presents extensive examples
Additional text
From the reviews of the second edition:
“Individual papers in this book could easily be considered for publication in many fine journals of finance … . In all the papers, the documentation is well done, with a good deal of simulation studies to exemplify the processes under consideration. I would recommend this book for the library of serious researchers in field of the economic analysis of financial markets as well as those in statistical research in applied fields. Mathematical economists as well as statistical researchers will find the volume useful … .” (Jeffrey E. Jarrett, Technometrics, Vol. 54 (1), February, 2012)
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From the reviews of the second edition:
"Individual papers in this book could easily be considered for publication in many fine journals of finance ... . In all the papers, the documentation is well done, with a good deal of simulation studies to exemplify the processes under consideration. I would recommend this book for the library of serious researchers in field of the economic analysis of financial markets as well as those in statistical research in applied fields. Mathematical economists as well as statistical researchers will find the volume useful ... ." (Jeffrey E. Jarrett, Technometrics, Vol. 54 (1), February, 2012)
