Statistical Analysis of Financial Data in S-Plus

• Main Author: Carmona, René A. (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic
• Language: English
• Published: New York, NY : Springer New York, 2004.
• Series: Springer Texts in Statistics,
• Subjects: Business.; Business mathematics.; Economics, Mathematical.; Actuarial science.; Computer mathematics.; Statistics.; Business and Management.; Business Mathematics.; Actuarial Sciences.; Computational Mathematics and Numerical Analysis.; Statistics for Business/Economics/Mathematical Finance/Insurance.; Quantitative Finance.
• Online Access: View fulltext via EzAccess

Although there are many books on mathematical finance, few deal with the statistical aspects of modern data analysis as applied to financial problems. This book fills this gap by addressing some of the most challenging issues facing any financial engineer. It shows how sophisticated mathematics and...

Table of Contents:

• Data Exploration, Estimation and Simulation
• Univariate Exploratory Data Analysis
• Multivariate Data Exploration
• Regression
• Parametric Regression
• Local & Nonparametric Regression
• Time Series & State Space Models
• Time Series Models: AR, MA, ARMA, & All That
• Multivariate Time Series, Linear Systems and Kalman Filtering
• Nonlinear Time Series: Models and Simulation.