Statistical Tools for Finance and Insurance

Editors: Cizek, Pavel, Härdle, Wolfgang Karl, Weron, Rafał (Eds.)

  • Offers insight into new methods and the applicability of the stochastic technology
  • Provides the tools, instruments and (online) algorithms for recent techniques in quantitative finance and modern treatments in insurance calculations
  • Presents extensive examples
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  • ISBN 978-3-642-18062-0
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  • Immediate eBook download after purchase
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  • ISBN 978-3-642-18061-3
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About this book

Statistical Tools for Finance and Insurance presents ready-to-use solutions, theoretical developments and method construction for many practical problems in quantitative finance and insurance. Written by practitioners and leading academics in the field, this book offers a unique combination of topics from which every market analyst and risk manager will benefit.

Features of the significantly enlarged and revised second edition:

  • Offers insight into new methods and the applicability of the stochastic technology
  • Provides the tools, instruments and (online) algorithms for recent techniques in quantitative finance and modern treatments in insurance calculations
  • Covers topics such as
    - expected shortfall for heavy tailed and mixture distributions*
    - pricing of variance swaps*
    - volatility smile calibration in FX markets
    - pricing of catastrophe bonds and temperature derivatives*
    - building loss models and ruin probability approximation
    - insurance pricing with GLM*
    - equity linked retirement plans*(new topics in the second edition marked with*)
  • Presents extensive examples

About the authors

Pavel Cížek is professor of econometrics and statistics at Tilburg University. He teaches various courses covering time-series, simulation-based, and semiparametric estimation methods. His research interests are methods of semiparametric and robust statistics and econometrics with applications primarily in microeconomics and quantitative finance.

Wolfgang Karl Härdle is professor of statistics at the Humboldt-Universität zu Berlin and director of C.A.S.E. – the Centre for Applied Statistics and Economics. He teaches quantitative finance and semiparametric statistical methods. His research focuses on dynamic factor models, multivariate statistics in finance and computational statistics. He is an elected ISI member and advisor to the Guanghua School of Management, Peking University.

Rafał Weron is professor of economics at Wrocław University of Technology (WUT). His research focuses on developing risk management and forecasting tools for the energy industry and computational statistics as applied to finance and insurance. He is periodically engaged as a consultant to energy (Tauron Polska Energia, Vattenfall) and financial (BRE Bank, Bank Millennium) companies. He teaches graduate level courses on energy and financial markets at NTNU (Trondheim) and WUT.

Reviews

From the reviews of the second edition:

“Individual papers in this book could easily be considered for publication in many fine journals of finance … . In all the papers, the documentation is well done, with a good deal of simulation studies to exemplify the processes under consideration. I would recommend this book for the library of serious researchers in field of the economic analysis of financial markets as well as those in statistical research in applied fields. Mathematical economists as well as statistical researchers will find the volume useful … .” (Jeffrey E. Jarrett, Technometrics, Vol. 54 (1), February, 2012)


Table of contents (13 chapters)

  • Models for heavy-tailed asset returns

    Borak, Szymon (et al.)

    Pages 21-55

  • Expected shortfall for distributions in finance

    Broda, Simon A. (et al.)

    Pages 57-99

  • Modelling conditional heteroscedasticity in nonstationary series

    Čížek, Pavel

    Pages 101-132

  • FX smile in the Heston model

    Janek, Agnieszka (et al.)

    Pages 133-162

  • Pricing of Asian temperature risk

    Benth, Fred Espen (et al.)

    Pages 163-199

Buy this book

eBook $139.00
price for USA (gross)
  • ISBN 978-3-642-18062-0
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $179.00
price for USA
  • ISBN 978-3-642-18061-3
  • 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 Tools for Finance and Insurance
Editors
  • Pavel Cizek
  • Wolfgang Karl Härdle
  • Rafał Weron
Copyright
2011
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-642-18062-0
DOI
10.1007/978-3-642-18062-0
Softcover ISBN
978-3-642-18061-3
Edition Number
2
Number of Pages
IV, 420
Number of Illustrations and Tables
8 illustrations in colour
Topics