Statistics for Finance
暫譯: 金融統計學

Lindström, Erik, Madsen, Henrik, Nielsen, Jan Nygaard

Statistics for Finance
  • 出版商: CRC
  • 出版日期: 2020-12-18
  • 售價: $2,400
  • 貴賓價: 9.5 折 $2,280
  • 語言: 英文
  • 頁數: 384
  • 裝訂: Quality Paper - also called trade paper
  • ISBN: 0367738376
  • ISBN-13: 9780367738372
  • 相關分類: 機率統計學 Probability-and-statistics

    • 海外代購書籍(需單獨結帳)

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商品描述

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, Itō'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.

商品描述(中文翻譯)

《金融統計》培養學生在金融應用中的統計專業技能。該書源自作者在丹麥技術大學和隆德大學的課程，填補了經典的、嚴謹的金融數學處理與數據之間的鴻溝，並且與不涵蓋與選擇權評價相關的具體問題的計量經濟學和時間序列分析書籍形成對比。

本書討論了與風險評估和消除相關的金融衍生品應用。作者涵蓋了各種統計和數學技術，包括線性和非線性時間序列分析、隨機微積分模型、隨機微分方程、伊藤公式（Itō's formula）、布萊克-斯科爾斯模型（Black-Scholes model）、廣義矩方法（generalized method-of-moments）和卡爾曼濾波器（Kalman filter）。他們解釋了這些工具如何用於定價金融衍生品、識別利率模型、評價債券、估計參數等。

這本教科書將幫助學生理解和管理金融工程中的實證研究。它包括了如何使用統計工具來改善風險價值計算和其他問題的示例。此外，章末練習題有助於培養學生的金融推理能力。

作者簡介

Erik Lindström is an associate professor in the Centre for Mathematical Sciences at Lund University. His research ranges from statistical methodology (primarily time series analysis in discrete and continuous time) to financial mathematics as well as problems related to energy markets. He earned a PhD in mathematical statistics from Lund Institute of Technology/Lund University.



Henrik Madsen is a professor and head of the Section for Dynamical Systems in the Department for Applied Mathematics and Computer Sciences at the Technical University of Denmark. An elected member of the ISI and IEEE, he has authored or co-authored 480 papers and 11 books in areas including mathematical statistics, time series analysis, and the integration of renewables in electricity markets. He earned a PhD in statistics from the Technical University of Denmark.



Jan Nygaard Nielsen is a principal architect at Netcompany, a Danish IT and business consulting firm. He earned a PhD from the Technical University of Denmark.

作者簡介(中文翻譯)

Erik Lindström 是隆德大學數學科學中心的副教授。他的研究範圍包括統計方法（主要是離散和連續時間的時間序列分析）、金融數學以及與能源市場相關的問題。他在隆德科技大學/隆德大學獲得數學統計的博士學位。

Henrik Madsen 是丹麥技術大學應用數學與計算機科學系動態系統組的教授及負責人。他是國際統計學會（ISI）和電氣電子工程師學會（IEEE）的當選成員，已發表或共同發表480篇論文和11本書，涵蓋數學統計、時間序列分析以及可再生能源在電力市場中的整合等領域。他在丹麥技術大學獲得統計學的博士學位。

Jan Nygaard Nielsen 是丹麥IT和商業諮詢公司Netcompany的首席架構師。他在丹麥技術大學獲得博士學位。

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