Optimal statistical inference in financial engineering:
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Boca Raton [u.a.]
Chapman & Hall/CRC
2008
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Includes bibliographical references and index |
| Physical Description: | XII, 366 S. graph. Darst. |
| ISBN: | 9781584885917 |
Staff View
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| 264 | 1 | |a Boca Raton [u.a.] |b Chapman & Hall/CRC |c 2008 | |
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Record in the Search Index
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| adam_text | OPTIMAL STATISTICAL INFERENCE IN FINANCIAL ENGINEERING MASANOBU
TANIGUCHI JUNICHI HLRUKAWA KENICHIRO TAMAKI CHAPMAN & HALL/CRC TAYLOR &
FRANCIS GROUP BOCA RATON LONDON NEW YORK CHAPMAN & HALL/CRC IS AN
IMPRINT OF THE TAYLOR & FRANCIS GROUP, AN INFORMA BUSINESS CONTENTS
PREFACE XI 1 INTRODUCTION 1 2 ELEMENTS OF PROBABILITY 7 2.1 PROBABILITY
AND PROBABILITY DISTRIBUTION 7 2.2 VECTOR RANDOM VARIABLE AND
INDEPENDENCE 17 2.3 EXPECTATION AND CONDITIONAL DISTRIBUTION 19 2.4
CONVERGENCE AND CENTRAL LIMIT THEOREMS 26 EXERCISES 30 3 STATISTICAL
INFERENCE 33 3.1 SUFFICIENT STATISTICS 33 3.2 UNBIASED ESTIMATORS 38 3.3
EFFICIENT ESTIMATORS 41 3.4 ASYMPTOTICALLY EFFICIENT ESTIMATORS 48
EXERCISES 53 4 VARIOUS STATISTICAL METHODS 55 4.1 INTERVAL ESTIMATION *
55 4.2 MOST POWERFUL TEST 59 4.3 VARIOUS TESTS 66 4.4 DISCRIMINANT
ANALYSIS 69 EXERCISES , 75 VLLL 5 STOCHASTIC PROCESSES 5.1 ELEMENTS OF
STOCHASTIC PROCESSES 5.2 SPECTRAL ANALYSIS 5.3 ERGODICITY, MIXING AND
MARTINGALE 5.4 LIMIT THEOREMS FOR STOCHASTIC PROCESSES EXERCISES 6 TIME
SERIES ANALYSIS 6.1 TIME SERIES MODEL 6.2 ESTIMATION OF TIME SERIES
MODELS 6.3 MODEL SELECTION PROBLEMS 6.4 NONPARAMETRIC ESTIMATION 6.5
PREDICTION OF TIME SERIES 6.6 REGRESSION FOR TIME SERIES 6.7 LONG MEMORY
PROCESSES 6.8 LOCAL WHITTLE LIKELIHOOD APPROACH 6.9 NONSTATIONARY
PROCESSES 6.10 SEMIPARAMETRIC ESTIMATION 6.11 DISCRIMINANT ANALYSIS FOR
TIME SERIES EXERCISES 7 INTRODUCTION TO STATISTICAL FINANCIAL
ENGINEERING 7.1 OPTION PRICING THEORV CONTENTS 77 77 81 89 93 95 97 98
109 132 141 154 161 166 175 191 210 228 249 251 251 7.2 HIGHER ORDER
ASYMPTOTIC OPTION VALUATION FOR NON-GAUSSIAN DEPENDENT RETURNS 258 7.3
ESTIMATION OF PORTFOLIO 276 7.4 VAR PROBLEMS 290 EXERCISES 302 8 TERM
STRUCTURE 305 8.1 SPOT RATES AND DISCOUNT BONDS 305 8.2 ESTIMATION
PROCEDURES FOR TERM STRUCTURE 310 EXERCISES 316 CONTENTS IX 9 CREDIT
RATING 317 9.1 PARAMETRIC CLUSTERING FOR FINANCIAL TIME SERIES 317 9.2
NONPARAMETRIC CLUSTERING FOR FINANCIAL TIME SERIES 325 9.3 CREDIT RATING
BASED ON FINANCIAL TIME SERIES 339 EXERCISES 344 APPENDIX 345 REFERENCES
355 INDEX 363
|
| adam_txt |
OPTIMAL STATISTICAL INFERENCE IN FINANCIAL ENGINEERING MASANOBU
TANIGUCHI JUNICHI HLRUKAWA KENICHIRO TAMAKI CHAPMAN & HALL/CRC TAYLOR &
FRANCIS GROUP BOCA RATON LONDON NEW YORK CHAPMAN & HALL/CRC IS AN
IMPRINT OF THE TAYLOR & FRANCIS GROUP, AN INFORMA BUSINESS CONTENTS
PREFACE XI 1 INTRODUCTION 1 2 ELEMENTS OF PROBABILITY 7 2.1 PROBABILITY
AND PROBABILITY DISTRIBUTION 7 2.2 VECTOR RANDOM VARIABLE AND
INDEPENDENCE 17 2.3 EXPECTATION AND CONDITIONAL DISTRIBUTION 19 2.4
CONVERGENCE AND CENTRAL LIMIT THEOREMS 26 EXERCISES 30 3 STATISTICAL
INFERENCE 33 3.1 SUFFICIENT STATISTICS 33 3.2 UNBIASED ESTIMATORS 38 3.3
EFFICIENT ESTIMATORS 41 3.4 ASYMPTOTICALLY EFFICIENT ESTIMATORS 48
EXERCISES 53 4 VARIOUS STATISTICAL METHODS 55 4.1 INTERVAL ESTIMATION *
55 4.2 MOST POWERFUL TEST 59 4.3 VARIOUS TESTS 66 4.4 DISCRIMINANT
ANALYSIS 69 EXERCISES , 75 VLLL 5 STOCHASTIC PROCESSES 5.1 ELEMENTS OF
STOCHASTIC PROCESSES 5.2 SPECTRAL ANALYSIS 5.3 ERGODICITY, MIXING AND
MARTINGALE 5.4 LIMIT THEOREMS FOR STOCHASTIC PROCESSES EXERCISES 6 TIME
SERIES ANALYSIS 6.1 TIME SERIES MODEL 6.2 ESTIMATION OF TIME SERIES
MODELS 6.3 MODEL SELECTION PROBLEMS 6.4 NONPARAMETRIC ESTIMATION 6.5
PREDICTION OF TIME SERIES 6.6 REGRESSION FOR TIME SERIES 6.7 LONG MEMORY
PROCESSES 6.8 LOCAL WHITTLE LIKELIHOOD APPROACH 6.9 NONSTATIONARY
PROCESSES 6.10 SEMIPARAMETRIC ESTIMATION 6.11 DISCRIMINANT ANALYSIS FOR
TIME SERIES EXERCISES 7 INTRODUCTION TO STATISTICAL FINANCIAL
ENGINEERING 7.1 OPTION PRICING THEORV CONTENTS 77 77 81 89 93 95 97 98
109 132 141 154 161 166 175 191 210 228 249 251 251 7.2 HIGHER ORDER
ASYMPTOTIC OPTION VALUATION FOR NON-GAUSSIAN DEPENDENT RETURNS 258 7.3
ESTIMATION OF PORTFOLIO 276 7.4 VAR PROBLEMS 290 EXERCISES 302 8 TERM
STRUCTURE 305 8.1 SPOT RATES AND DISCOUNT BONDS 305 8.2 ESTIMATION
PROCEDURES FOR TERM STRUCTURE 310 EXERCISES 316 CONTENTS IX 9 CREDIT
RATING 317 9.1 PARAMETRIC CLUSTERING FOR FINANCIAL TIME SERIES 317 9.2
NONPARAMETRIC CLUSTERING FOR FINANCIAL TIME SERIES 325 9.3 CREDIT RATING
BASED ON FINANCIAL TIME SERIES 339 EXERCISES 344 APPENDIX 345 REFERENCES
355 INDEX 363 |
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| author | Taniguchi, Masanobu Hirukawa, Junichi Tamaki, Kenichiro |
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| dewey-full | 332.01/51923 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
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| dewey-search | 332.01/51923 |
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| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
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| index_date | 2024-07-02T18:49:29Z |
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| isbn | 9781584885917 |
| language | English |
| lccn | 2007027986 |
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| physical | XII, 366 S. graph. Darst. |
| publishDate | 2008 |
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| publisher | Chapman & Hall/CRC |
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| spelling | Taniguchi, Masanobu Verfasser aut Optimal statistical inference in financial engineering Masanobu Taniguchi ; Junichi Hirukawa ; Kenichiro Tamaki Boca Raton [u.a.] Chapman & Hall/CRC 2008 XII, 366 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Includes bibliographical references and index Mathematical statistics Financial engineering Finance Statistical methods Financial Engineering (DE-588)4208404-0 gnd rswk-swf Statistische Entscheidungstheorie (DE-588)4077850-2 gnd rswk-swf Statistische Entscheidungstheorie (DE-588)4077850-2 s Financial Engineering (DE-588)4208404-0 s DE-604 Hirukawa, Junichi Verfasser aut Tamaki, Kenichiro Verfasser aut Erscheint auch als Online-Ausgabe 978-1-4200-1103-6 GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016082814&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Taniguchi, Masanobu Hirukawa, Junichi Tamaki, Kenichiro Optimal statistical inference in financial engineering Mathematical statistics Financial engineering Finance Statistical methods Financial Engineering (DE-588)4208404-0 gnd Statistische Entscheidungstheorie (DE-588)4077850-2 gnd |
| subject_GND | (DE-588)4208404-0 (DE-588)4077850-2 |
| title | Optimal statistical inference in financial engineering |
| title_auth | Optimal statistical inference in financial engineering |
| title_exact_search | Optimal statistical inference in financial engineering |
| title_exact_search_txtP | Optimal statistical inference in financial engineering |
| title_full | Optimal statistical inference in financial engineering Masanobu Taniguchi ; Junichi Hirukawa ; Kenichiro Tamaki |
| title_fullStr | Optimal statistical inference in financial engineering Masanobu Taniguchi ; Junichi Hirukawa ; Kenichiro Tamaki |
| title_full_unstemmed | Optimal statistical inference in financial engineering Masanobu Taniguchi ; Junichi Hirukawa ; Kenichiro Tamaki |
| title_short | Optimal statistical inference in financial engineering |
| title_sort | optimal statistical inference in financial engineering |
| topic | Mathematical statistics Financial engineering Finance Statistical methods Financial Engineering (DE-588)4208404-0 gnd Statistische Entscheidungstheorie (DE-588)4077850-2 gnd |
| topic_facet | Mathematical statistics Financial engineering Finance Statistical methods Financial Engineering Statistische Entscheidungstheorie |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016082814&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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