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(More customer reviews)This book is an ambitious and unique combination of stat and finance - and because of the very close relationship of the two areas, this book is excellent and useful for 1) statisticians who want to learn financial modeling; and 2) financial analysts who need to understand the underlying stat concepts at a relatively advanced level. It is generally well-written and the author provides clear explanation on many finance theories.
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This textbook emphasizes the applications of statistics and probability to finance.Students are assumed to have had a prior course in statistics, but no background in finance or economics.The basics of probability and statistics are reviewed and more advanced topics in statistics, such as regression, ARMA and GARCH models, the bootstrap, and nonparametric regression using splines, are introduced as needed.The classical methods of finance such as portfolio theory, CAPM, and the Black-Scholes formula are covered, and there is an introduction to the somewhat newer area of behavioral finance.Applications and use of MATLAB and SAS software are stressed.The book course serve as a text in courses aimed at advanced undergraduates and masters students in statistics, engineering, and applied mathematics as well as quantitatively oriented MBA students.It could also be used for self-study by those in the finance industry wishing to know more statistics.
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