Statistics and Finance - An Introduction

This book emphasizes the applications of statistics and probability to finance. The basics of these subjects are reviewed and more advanced topics in statistics, such as regression, ARMA and GARCH models, the bootstrap, and nonparametric regression using splines, are introduced as needed. The book covers the classical methods of finance and it introduces the newer area of behavioral finance. Applications and use of MATLAB and SAS software are stressed. The book will serve as a text in courses aimed at advanced undergraduates and masters students. Those in the finance industry can use it for self-study.

List of contents

Introduction.- Probability and Statistical Models.- Returns.- Time Series Models.- Portfolio Theory.- Regression.- The Capital Asset Pricing Model.- Options Pricing.- Fixed Income Securities.- Resampling.- Value-at-Risk.- GARCH models.- Nonparametric Regression and Splines.- Behavioral Finance.

About the author

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' Lecture Notes Monographs Series , and former Associate Editor of several major statistics journals. Professor Ruppert has published over 100 scientific papers and several books.

Report

From the reviews:
"The inherent interaction of statistical and financial modeling makes this book a very useful and motivating instrument with which to introduce students from engineering, mathematics, statistics and economics to study statistics and/or finance." Short Book Reviews of the International Statistical Institute, December 2004
" This book will be on my list of study book sfor 2005. If you have any interest or involvement with statistics in financial applications, I recommend this book to you." Technometrics, May 2005
"...The book is well-written and clear....the clear writing with illustrative examples and pictures strongly recommend the book as a basis for finance-motivated statistics classes at the undergraduate level." SIAM Review, Vol. 47, No. 2
"David Ruppert s discusses computation in SAS and MATLAB. the book is very well written and clear. the clear writing and illustrative examples and pictures strongly recommend the book as a basis for finance-motivated statistics classes at the undergraduate level." (Ronnie Sircar, SIAM Review, Vol. 47 (2), 2005)
"That statistical methods are becoming more important in finance is further evidenced by this book from a statistician who has written some excellent . For the statistician, this is a very good book to peruse, because it presumes no background in finance. Here the financial concepts are fully explained . book with a considerable statistical content. will be on my list of study books for 2005. If you have any interest in or involvement with statistics in financial applications, I recommend this book to you." (Technometrics, Vol. 47 (2), May, 2005)
"This book emphasizes the application of probability and statistics to finance by studying statistical models of financial markets . The emphasis is on concepts rather than mathematics, and several examples are given as illustration. . This book should be a valuable resource for those who are interested in the applications of probability and statistics to finance, and I believe that it will be a very useful addition to any scholarly library." (Theofanis Sapatinas, Journal of the Royal Statistical Society Series A, Vol. 168 (2), 2005)
"The inherent interaction of statistical and financial modeling makes this book a very useful and motivating instrument with which to introduce students from engineering, mathematics, statistics and economics to study statistics and/or finance. the manuscript succeeds in covering relatively recent topics from statistics and finance, like the bootstrap, penalized splines, some VaR estimation models and behavioural finance. Students having gained confidence with the material of this book can also be expected to be ready for advanced topics ." (F. Trojani, Short Book Reviews International Statistical Institute, Vol. 24 (3), 2004)
"...Ruppert's book succeeds at presenting this classic material in a concises, readable way that is suitable for a wide audience including undergraduate business, economics, and statistics majors, MBA students, and master's level engineering students." Journal of the American Statistical Association, June 2006
"The book under review is about statistical concepts as applied to financial theory. The book provides a coherent introduction of how to handle financial data by means of statistics. Due to a very nontechnical language and a lot of examples using SAS or MATLAB the book is suitable for undergraduates and master students in statistics, applied mathematics and finance. But it can also be used for self-study." (Karsten Webel, Statistical Papers, Vol. 47, 2006)
"As the title indicates, this is a textbook on Statistics and its application in Finance. The book is well written . It is suited as a text for an introduction to Statistics and Finance in a more applied department, e.g. Industrial Engineering or Operations Research. it is a well written book, that nicely illustrates the interplay between Statistics and Finance. It is also useful as a source for a

Product details

• Authors: David Ruppert
• Publisher: Springer, Berlin
• Languages: English
• Product format: Paperback / Softback
• Released: 22.04.2014
• EAN: 9781475765847
• ISBN: 978-1-4757-6584-7
• No. of pages: 474
• Dimensions: 168 mm x 237 mm x 27 mm
• Weight: 759 g
• Illustrations: 5 SW-Abb.,
• Series: Springer Texts in Statistics; Springer Texts in Statistics
• Subject: Social sciences, law, business > Business