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Library,Documentation and Information Science Division

“A research journal serves that narrow

borderland which separates the known from the unknown”

-P.C.Mahalanobis


Statistical analysis of financial data in R / (Record no. 418913)

000 -LEADER
fixed length control field 03049cam a2200301 i 4500
001 - CONTROL NUMBER
control field 135861
003 - CONTROL NUMBER IDENTIFIER
control field ISI Library, Kolkata
005 - DATE AND TIME OF LATEST TRANSACTION
control field 20150617111840.0
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 130923s2014 nyua b 001 0 eng
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9781461487876 (hbk)
040 ## - CATALOGING SOURCE
Original cataloging agency ISI Library
082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER
Classification number 000SB:332
Edition number 23
Item number C287
100 1# - MAIN ENTRY--PERSONAL NAME
Personal name Carmona, Rene.
245 10 - TITLE STATEMENT
Title Statistical analysis of financial data in R /
Statement of responsibility, etc Rene Carmona.
250 ## - EDITION STATEMENT
Edition statement 2nd ed
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT)
Place of publication, distribution, etc New York :
Name of publisher, distributor, etc Springer,
Date of publication, distribution, etc 2014
300 ## - PHYSICAL DESCRIPTION
Extent xvii, 588 p. :
Other physical details illustrations ;
Dimensions 24 cm.
490 0# - SERIES STATEMENT
Series statement Springer texts in statistics.
504 ## - BIBLIOGRAPHY, ETC. NOTE
Bibliography, etc Includes bibliographical references and indexes.
505 0# - FORMATTED CONTENTS NOTE
Formatted contents note 1. Univariate Data Distributions --<br/>2. Heavy Tail Distributions --<br/>3. Dependence and Multivariate Data Exploration --<br/>4. Parametric Regression --<br/>5. Local and Nonparametric Regression --<br/>6. Time Series Models: AR, MA, ARMA & ALL THAT--<br/>7. Multivariate Time Series, Linear Systems and Kalman Filtering --<br/>8. Nonlinear Time Series: Models and Simulation --<br/>9. Appendices --<br/>References--<br/>Indices.
520 ## - SUMMARY, ETC.
Summary, etc 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 modern statistical techniques can be used in concrete financial problems. Concerns of risk management are addressed by the control of extreme values, the fitting of distributions with heavy tails, the computation of values at risk (VaR), and other measures of risk. Data description techniques such as principal component analysis (PCA), smoothing, and regression are applied to the construction of yield and forward curve. Nonparametric estimation and nonlinear filtering are used for option pricing and earnings prediction. The book is intended for undergraduate students majoring in financial engineering, or graduate students in a Master in finance or MBA program. Because it was designed as a teaching vehicle, it is sprinkled with practical examples using market data, and each chapter ends with exercises. Practical examples are solved in the computing environment of R. They illustrate problems occurring in the commodity and energy markets, the fixed income markets as well as the equity markets, and even some new emerging markets like the weather markets. The book can help quantitative analysts by guiding them through the details of statistical model estimation and implementation. It will also be of interest to researchers wishing to manipulate financial data, implement abstract concepts, and test mathematical theories, especially by addressing practical issues that are often neglected in the presentation of the theory.
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Finance
General subdivision Mathematical models.
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Finance
General subdivision Econometric models.
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element R (Computer program language).
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Business mathematics.
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Mathematical statistics.
942 ## - ADDED ENTRY ELEMENTS (KOHA)
Source of classification or shelving scheme
Koha item type Books
Holdings
Lost status Not for loan Permanent Location Current Location Date acquired Cost, normal purchase price Full call number Accession Number Koha item type
    ISI Library, Kolkata ISI Library, Kolkata 2015-03-31 4976.28 000SB:332 C287 135861 Books
Library, Documentation and Information Science Division, Indian Statistical Institute, 203 B T Road, Kolkata 700108, INDIA
Phone no. 91-33-2575 2100, Fax no. 91-33-2578 1412, ksatpathy@isical.ac.in


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