Lai T.Z., Xing H. Statistical Models and Methods for Financial Markets

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размер 7.1 МБ
добавлен 20 сентября 2011 г.

N.-Y., Springer Science+Business Media, LLC, 2008. - 362p.

Курс методов математической статистики, находящих применение в финансовой математике. В первой части рассмотрены регрессионный анализ, методы многомерного анализа данных, статистические методы управления портфелем, байесовский анализ, анализ временных рядов, включая авторегрессию и GARCH. Вторая часть посвящена конкретным аспектам применения статистических методов в различных областях финансов, в том числе непараметрическому сглаживанию на примере кривой доходности фьючерсов, ценообразованию опционов, многомерному статистическому анализу в эконометрике, анализу рынков процентных ставок, конструированию и тестированию торговых стратегий с использованием статистических методов и риск-менеджменту. Предназначена для студентов, аспирантов и преподавателей, как учебное пособие по курсу финансовой математики, а также для научных работников соответствующих отраслей.

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