Overview
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.
Full Product Details
Author: Erik Lindström (Lund University, Sweden) ,
Henrik Madsen (Technical University of Denmark, Lyngby) ,
Jan Nygaard Nielsen (Netcompany, Denmark)
Publisher: Taylor & Francis Ltd
Imprint: Chapman & Hall/CRC
Weight: 0.453kg
ISBN: 9780367738372
ISBN 10: 0367738376
Pages: 384
Publication Date: 18 December 2020
Audience:
College/higher education
,
General/trade
,
Tertiary & Higher Education
,
General
Format: Paperback
Publisher's Status: Active
Availability: In Print
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Author Information
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.
