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OSt |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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20140310151445.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION |
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cr nn 008mamaa |
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101109s2011 xxu| s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
|---|
| International Standard Book Number |
9781441977878 |
|
978-1-4419-7787-8 |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER |
|---|
| Classification number |
QA276-280 |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
|---|
| Classification number |
330.015195 |
| Edition number |
23 |
| 264 #1 - |
|---|
| -- |
New York, NY : |
| -- |
Springer New York, |
| -- |
2011. |
| 912 ## - |
|---|
| -- |
ZDB-2-SMA |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Ruppert, David. |
| Relator term |
author. |
| 245 10 - IMMEDIATE SOURCE OF ACQUISITION NOTE |
|---|
| Title |
Statistics and Data Analysis for Financial Engineering |
| Medium |
[electronic resource] / |
| Statement of responsibility, etc |
by David Ruppert. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
XXII, 638 p. |
| Other physical details |
online resource. |
| 440 1# - SERIES STATEMENT/ADDED ENTRY--TITLE |
|---|
| Title |
Springer Texts in Statistics, |
| International Standard Serial Number |
1431-875X |
| 505 0# - FORMATTED CONTENTS NOTE |
|---|
| Formatted contents note |
Introduction -- Returns -- Fixed income securities -- Exploratory data analysis -- Modeling univariate distributions -- Resampling -- Multivariate statistical models -- Copulas -- Time series models: basics -- Time series models: further topics -- Portfolio theory -- Regression: basics -- Regression: troubleshooting -- Regression: advanced topics -- Cointegration -- The capital asset pricing model -- Factor models and principal components -- GARCH models -- Risk management -- Bayesian data analysis and MCMC -- Nonparametric regression and splines. |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc |
Financial engineers have access to enormous quantities of data but need powerful methods for extracting quantitative information, particularly about volatility and risks. Key features of this textbook are: illustration of concepts with financial markets and economic data, R Labs with real-data exercises, and integration of graphical and analytic methods for modeling and diagnosing modeling errors. Despite some overlap with the author's undergraduate textbook Statistics and Finance: An Introduction, this book differs from that earlier volume in several important aspects: it is graduate-level; computations and graphics are done in R; and many advanced topics are covered, for example, multivariate distributions, copulas, Bayesian computations, VaR and expected shortfall, and cointegration. The prerequisites are basic statistics and probability, matrices and linear algebra, and calculus. Some exposure to finance is helpful. David Ruppert is Andrew Schultz, Jr., Professor of Engineering and Professor of Statistical Science, School of Operations Research and Information Engineering, Cornell University, where he teaches statistics and financial engineering and is a member of the Program in Financial Engineering. His research areas include asymptotic theory, semiparametric regression, functional data analysis, biostatistics, model calibration, measurement error, and astrostatistics. Professor Ruppert received his PhD in Statistics at Michigan State University. He is a Fellow of the American Statistical Association and the Institute of Mathematical Statistics and won the Wilcoxon prize. He is Editor of the Electronic Journal of Statistics, former Editor of the Institute of Mathematical Statistics's Lecture Notes--Monographs Series, and former Associate Editor of several major statistics journals. Professor Ruppert has published over 100 scientific papers and four books: Transformation and Weighting in Regression, Measurement Error in Nonlinear Models, Semiparametric Regression, and Statistics and Finance: An Introduction. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Statistics. |
|
|---|
| Topical term or geographic name as entry element |
Economics |
| General subdivision |
Statistics. |
|
|---|
| Topical term or geographic name as entry element |
Statistics. |
|
|---|
| Topical term or geographic name as entry element |
Statistics for Business/Economics/Mathematical Finance/Insurance. |
| 710 2# - ADDED ENTRY--CORPORATE NAME |
|---|
| Corporate name or jurisdiction name as entry element |
SpringerLink (Online service) |
| 773 0# - HOST ITEM ENTRY |
|---|
| Title |
Springer eBooks |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY |
|---|
| Display text |
Printed edition: |
| International Standard Book Number |
9781441977861 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
|---|
| Uniform Resource Identifier |
http://dx.doi.org/10.1007/978-1-4419-7787-8 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
|
| Item type |
E-Book |
