Statistics in finance:
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
London [u.a.]
Arnold
1998
|
| Ausgabe: | 1. publ. |
| Schriftenreihe: | Arnold applications of statistics series
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | X, 340 S. graph. Darst. |
| ISBN: | 0340677198 |
Internformat
MARC
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| 245 | 1 | 0 | |a Statistics in finance |c ed. by David J. Hand ... |
| 250 | |a 1. publ. | ||
| 264 | 1 | |a London [u.a.] |b Arnold |c 1998 | |
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Datensatz im Suchindex
| _version_ | 1804126321221042176 |
|---|---|
| adam_text | Contents
List of contributors IX
Preface **
1. Introduction
David J. Hand and Saul D. Jacka
PART I: ACTUARIAL MATHEMATICS
2. The Relationship Between Finance and Actuarial Science 7
Philip Booth and Paul King
2.1 Actuaries and investment
2.2 Introduction :
2.3 Mean variance models in finance *
2.4 The capital asset pricing model * °
2.5 Risk adjusted discount rates ff
2.6 Insights and limitations of portfolio selection models 21
2.7 Principles of asset allocation
2.8 Developing mean variance models: the inclusion ol
liabilities 97
2.9 Generalising mean variance models L
2.10 Immunisation ~?
2.11 Stochastic asset liability modelling ^
2.12 Conclusions
3. Actuarial Applications of Generalised Linear Models 41
Steven Haberman and Arthur E. Renshaw
3.1 Introduction 41
3.2 Introduction to generalised linear models
vi Contents
3.3 Generalised linear models 42
3.4 Survival modelling and graduation 44
3.5 Multiple state models 53
3.6 Risk classification 56
3.7 Premium rating 58
3.8 Claims reserving in non life insurance 61
3.9 Conclusions 63
PART II: CREDIT
4. Consumer Credit and Statistics 69
David J. Hand
4.1 Introduction 69
4.2 The judgemental approach to granting credit 70
4.3 What scoring can be used for 71
4.4 What is a scorecard and how to construct one 72
4.5 The data 73
4.6 Reject inference 75
4.7 Population drift 75
4.8 Reject option 76
4.9 Assessing performance 77
4.10 Legal issues 78
4.11 Consumer versus corporate loan 79
4.12 Conclusions 79
5. Methodologies for Classifying Applicants for Credit 83
Lyn C. Thomas
5.1 History of credit scoring 83
5.2 Credit scoring: the art and the objective 84
5.3 Regression and logistic regression approaches 89
5.4 Other statistical approaches 92
5.5 Mathematical programming 94
5.6 Neural networks and expert systems 96
5.7 Genetic algorithms 99
5.8 Conclusions 100
6. Credit Scoring and Quality Management 105
Kevin J. Leonard
6.1 Risk management 105
6.2 What is credit scoring? 106
6.3 Using the scorecards 113
6.4 Examination of detailed reports 116
6.5 Total quality management in information systems
(TQMIS) 121
6.6 The need for change in continuous improvement 123
Contents vii
7. Consumer Credit and Business Cycles 127
Jonathan Crook
7.1 Introduction and summary 127
7.2 Descriptive trends 129
7.3 Credit and business cycle theories 136
7.4 Microeconomic models of consumer credit 156
7.5 Summary 165
Acknowledgements 167
Appendix 7.1: Real business cycle models 167
PART III: FINANCIAL MARKETS
8. Probability in Finance: an Introduction 175
Saul D. Jacka
8.1 A brief survey 175
8.2 Some reminders on stochastic calculus 175
8.3 The Black Scholes framework 177
8.4 Arbitrage and option pricing in a general securities market 179
8.5 Changes of measure 181
8.6 American options 183
8.7 Some final remarks 184
9. Introduction to Financial Economics 187
Stewart D. Hodges
9.1 Introduction 187
9.2 The role of the capital market 187
9.3 The state preference framework 190
9.4 The expected utility paradigm 195
9.5 Summary 201
10. American Options 205
Damien Lamberton
10.1 Optimal stopping: discrete time 205
10.2 Optimal stopping: continuous time 209
10.3 The value function of an American option 215
10.4 Numerical methods 223
Appendix 10.1: Proofs 224
11 • Notes on Term Structure Models 231
Saul D. Jacka
11.1 Introduction 231
11.2 Spot rate models 232
11.3 Forward rate models 233
11.4 Affine jump models 234
11.5 Pricing formulae 236
viii Contents
12. Default Risk 239
Dilip Madan
12.1 Introduction 239
12.2 A general perspective on the modelling of default risk 241
12.3 The European option theoretic approach 243
12.4 The barrier option theoretic approach 245
12.5 Inaccessible default times 248
12.6 Adjusting discount rates for default exposure 252
12.7 The defaultable HJM model 257
12.8 Conclusions 259
13. Non parametric Methods and Option Pricing 261
Eric Ghysels, Eric Renault, Olivier Torres and Valentin Patilea
13.1 Introduction 261
13.2 Non parametric model free option pricing 263
13.3 Non parametric specification of equivalent martingale
measures 268
13.4 Extended Black and Scholes models and objective driven
inference 277
Acknowledgements 280
14. Stochastic Volatility 283
David G. Hobson
14.1 Volatility and the need for stochastic volatility models 283
14.2 Non constant volatility models 290
14.3 Option pricing for stochastic volatility models 295
14.4 Discrete time models 299
14.5 Conclusions 302
15. Market Time and Asset Price Movements: Theory and Estimation 307
Eric Ghysels, Christian Gourieroux and Joanna Jasiak
15.1 Introduction 307
15.2 Study of mean and covariance functions 308
15.3 Examples 313
15.4 Statistical inference for subordinated stochastic
processes 320
15.5 Testing the hypothesis of time deformation 327
Acknowledgement 329
Appendix 15.1: Gamma time deformation 329
Index 333
|
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| discipline | Mathematik Wirtschaftswissenschaften |
| edition | 1. publ. |
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| spelling | Statistics in finance ed. by David J. Hand ... 1. publ. London [u.a.] Arnold 1998 X, 340 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Arnold applications of statistics series Actuariële wetenschappen gtt Finances - Méthodes statistiques Financiering gtt Kredietwaardigheid gtt Statistische analyse gtt Finance Statistical methods Finanzierung (DE-588)4017182-6 gnd rswk-swf Statistik (DE-588)4056995-0 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Finanzmathematik (DE-588)4017195-4 s DE-604 Finanzierung (DE-588)4017182-6 s Statistik (DE-588)4056995-0 s Hand, D. J. 1950- Sonstige (DE-588)123535492 oth HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007948843&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Statistics in finance Actuariële wetenschappen gtt Finances - Méthodes statistiques Financiering gtt Kredietwaardigheid gtt Statistische analyse gtt Finance Statistical methods Finanzierung (DE-588)4017182-6 gnd Statistik (DE-588)4056995-0 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| subject_GND | (DE-588)4017182-6 (DE-588)4056995-0 (DE-588)4017195-4 (DE-588)4143413-4 |
| title | Statistics in finance |
| title_auth | Statistics in finance |
| title_exact_search | Statistics in finance |
| title_full | Statistics in finance ed. by David J. Hand ... |
| title_fullStr | Statistics in finance ed. by David J. Hand ... |
| title_full_unstemmed | Statistics in finance ed. by David J. Hand ... |
| title_short | Statistics in finance |
| title_sort | statistics in finance |
| topic | Actuariële wetenschappen gtt Finances - Méthodes statistiques Financiering gtt Kredietwaardigheid gtt Statistische analyse gtt Finance Statistical methods Finanzierung (DE-588)4017182-6 gnd Statistik (DE-588)4056995-0 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| topic_facet | Actuariële wetenschappen Finances - Méthodes statistiques Financiering Kredietwaardigheid Statistische analyse Finance Statistical methods Finanzierung Statistik Finanzmathematik Aufsatzsammlung |
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