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Springer Texts in Statistics

Statistical Analysis of Financial Data in R

Authors: Carmona, René

  • Fully revised new edition featuring R instead of S-Plus
  • One of the few books to deal with statistical aspects of modern data analysis as applied to financial problems
  • May be used as textbook in advanced undergraduate or graduate courses
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eBook $69.99
price for Mexico (gross)
  • ISBN 978-1-4614-8788-3
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $89.99
price for Mexico
  • ISBN 978-1-4614-8787-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $89.99
price for Mexico
  • ISBN 978-1-4939-3835-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
About this Textbook

Although there are many books on mathematical finance, few deal with the statistical aspects of modern data analysis as applied to financial problems. This textbook fills this gap by addressing some of the most challenging issues facing financial engineers. It shows how sophisticated mathematics and modern statistical techniques can be used in the solutions of concrete financial problems. Concerns of risk management are addressed by the study of extreme values, the fitting of distributions with heavy tails, the computation of values at risk (VaR), and other measures of risk. Principal component analysis (PCA), smoothing, and regression techniques are applied to the construction of yield and forward curves. Time series analysis is applied to the study of temperature options and nonparametric estimation. Nonlinear filtering is applied to Monte Carlo simulations, option pricing and earnings prediction. This textbook is intended for undergraduate students majoring in financial engineering, or graduate students in a Master in finance or MBA program. It is sprinkled with practical examples using market data, and each chapter ends with exercises. Practical examples are solved in the R computing environment. They illustrate problems occurring in the commodity, energy and weather markets, as well as the fixed income, equity and credit markets. The examples, experiments and problem sets are based on the library Rsafd developed for the purpose of the text. The book should help quantitative analysts learn and implement advanced statistical concepts. Also, it will be valuable for researchers wishing to gain experience with financial data, implement and test mathematical theories, and address practical issues that are often ignored or underestimated in academic curricula.

This is the new, fully-revised edition to the book Statistical Analysis of Financial Data in S-Plus.

René Carmona is the Paul M. Wythes '55 Professor of Engineering and Finance at Princeton University in the department of Operations Research and Financial Engineering, and Director of Graduate Studies of the Bendheim Center for Finance. His publications include over one hundred articles and eight books in probability and statistics. He was elected Fellow of the Institute of Mathematical Statistics in 1984, and of the Society for Industrial and Applied Mathematics in 2010. He is on the editorial board of several peer-reviewed journals and book series. Professor Carmona has developed computer programs for teaching statistics and research in signal analysis and financial engineering. He has worked for many years on energy, the commodity markets and more recently in environmental economics, and he is recognized as a leading researcher and expert in these areas.

About the authors

René Carmona is the Paul M. Wythes '55 Professor of Engineering and Finance at Princeton University in the department of Operations Research and Financial Engineering, and Director of Graduate Studies of the Bendheim Center for Finance. His publications include over one hundred articles and eight books in probability and statistics. He was elected Fellow of the Institute of Mathematical Statistics in 1984, and of the Society for Industrial and Applied Mathematics in 2010. He is on the editorial board of several peer-reviewed journals and book series. Professor Carmona has developed computer programs for teaching statistics and research in signal analysis and financial engineering. He has worked for many years on energy, the commodity markets and more recently in environmental economics, and he is recognized as a leading researcher and expert in these areas.

Table of contents (9 chapters)

Buy this book

eBook $69.99
price for Mexico (gross)
  • ISBN 978-1-4614-8788-3
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $89.99
price for Mexico
  • ISBN 978-1-4614-8787-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $89.99
price for Mexico
  • ISBN 978-1-4939-3835-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
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Bibliographic Information

Bibliographic Information
Book Title
Statistical Analysis of Financial Data in R
Authors
Series Title
Springer Texts in Statistics
Copyright
2014
Publisher
Springer-Verlag New York
Copyright Holder
Springer Science+Business Media New York
Distribution Rights
Distribution rights for India: Delhi Book Store, New Delhi, India
eBook ISBN
978-1-4614-8788-3
DOI
10.1007/978-1-4614-8788-3
Hardcover ISBN
978-1-4614-8787-6
Softcover ISBN
978-1-4939-3835-3
Series ISSN
1431-875X
Edition Number
2
Number of Pages
XVII, 588
Number of Illustrations and Tables
150 b/w illustrations, 37 illustrations in colour
Topics