Statistical Models and Methods for Financial Markets (Record no. 38519)
[ view plain ]
| 000 -LEADER | |
|---|---|
| fixed length control field | 04961n a2200421#a 4500 |
| 001 - CONTROL NUMBER | |
| control field | 5000094 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | DE-He213 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20221213140638.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr|||||||||||| |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 100301s2008 xxu| s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9780387778273 |
| 024 7# - OTHER STANDARD IDENTIFIER | |
| Standard number or code | 10.1007/978-0-387-77827-3 |
| Source of number or code | doi |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | 978-0-387-77827-3 |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | PBT |
| Source | bicssc |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | K |
| Source | bicssc |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | BUS061000 |
| Source | bisacsh |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 330.015195 |
| 090 ## - IMPA CODE FOR CLASSIFICATION SHELVES | |
| IMPA CODE FOR CLASSIFICATION SHELVES | Matemáticas Gerais-(inclusive alguns textos elementares sobre assuntos específicos) |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Lai, Tze-Leung. |
| 9 (RLIN) | 3615 |
| 245 10 - TITLE STATEMENT | |
| Title | Statistical Models and Methods for Financial Markets |
| Medium | [electronic resource]/ |
| Statement of responsibility, etc. | by Tze Leung Lai, Haipeng Xing. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Place of publication, distribution, etc. | New York: |
| Name of publisher, distributor, etc. | Springer New York, |
| Date of publication, distribution, etc. | 2008. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | XX, 354p. 74 illus., 4 illus. in color. |
| Other physical details | digital. |
| 490 0# - SERIES STATEMENT | |
| Series statement | Springer Texts in Statistics, |
| International Standard Serial Number | 1431-875X |
| 505 0# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | Linear regression models -- Multivariate analysis and likelihood inference -- Basic investment models and their statistical analysis -- Parametric models and bayesian methods -- Time series modeling forecasting -- Dynamic models of asset return and their volatilities -- Nonparametric regression and substantive-empirical modeling -- Option pricing and market data -- Advanced multivariate and time series methods in financial econometrics -- Interest rate markets -- Statistical trading strategies -- Statistical methods in risk management -- Appendix A -- Appendix B -- Appendix C -- References -- Index . |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | This book presents statistical methods and models of importance to quantitative finance and links finance theory to market practice via statistical modeling and decision making. Part I provides basic background in statistics, which includes linear regression and extensions to generalized linear models and nonlinear regression, multivariate analysis, likelihood inference and Bayesian methods, and time series analysis. It also describes applications of these methods to portfolio theory and dynamic models of asset returns and their volatilities. Part II presents advanced topics in quantitative finance and introduces a substantive-empirical modeling approach to address the discrepancy between finance theory and market data. It describes applications to option pricing, interest rate markets, statistical trading strategies, and risk management. Nonparametric regression, advanced multivariate and time series methods in financial econometrics, and statistical models for high-frequency transactions data are also introduced in this connection. The book has been developed as a textbook for courses on statistical modeling in quantitative finance in master's level financial mathematics (or engineering) and computational (or mathematical) finance programs. It is also designed for self-study by quantitative analysts in the financial industry who want to learn more about the background and details of the statistical methods used by the industry. It can also be used as a reference for graduate statistics and econometrics courses on regression, multivariate analysis, likelihood and Bayesian inference, nonparametrics, and time series, providing concrete examples and data from financial markets to illustrate the statistical methods. Tze Leung Lai is Professor of Statistics and Director of Financial Mathematics at Stanford University. He received the Ph.D. degree in 1971 from Columbia University, where he remained on the faculty until moving to Stanford University in 1987. He received the Committee of Presidents of Statistical Societies Award in 1983 and is an elected member of Academia Sinica and the International Statistical Institute. His research interests include quantitative finance and risk management, sequential statistical methodology, stochastic optimization and adaptive control, probability theory and stochastic processes, econometrics, and biostatistics. Haipeng Xing is Assistant Professor of Statistics at Columbia University. He received the Ph.D. degree in 2005 from Stanford University. His research interests include financial econometrics and engineering, time series modeling and adaptive control, fault detection, and change-point problems . |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Statistics. |
| 9 (RLIN) | 43790 |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Finance. |
| 9 (RLIN) | 16563 |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Economics |
| General subdivision | Statistics |
| 9 (RLIN) | 9103 |
| 697 ## - LOCAL SUBJECT | |
| Local Subject | Matemáticas Gerais- |
| Description subdivision | (inclusive alguns textos elementares sobre assuntos específicos) |
| Linkage | 23752 |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Xing, Haipeng |
| 9 (RLIN) | 9195 |
| 710 1# - ADDED ENTRY--CORPORATE NAME | |
| Corporate name or jurisdiction name as entry element | SpringerLink (Online service). |
| 9 (RLIN) | 8857 |
| 773 0# - HOST ITEM ENTRY | |
| Title | Springer eBooks |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Relationship information | Printed edition: |
| International Standard Book Number | 9780387778266 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | Springer texts in statistics |
| 9 (RLIN) | 41182 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="http://dx.doi.org/10.1007/978-0-387-77827-3">http://dx.doi.org/10.1007/978-0-387-77827-3</a> |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Instituto de Matemática Pura e Aplicada |
| Koha item type | E-Book |
No items available.