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Author Klemelä, Jussi, 1965-
Title Nonparametric finance / by Jussi Sakari Klemela.
Imprint Hoboken, NJ : John Wiley & Sons, Inc., [2018]

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Series Wiley series in probability and statistics
Wiley series in probability and statistics.
Subject Finance -- Statistical methods.
Finance -- Mathematical models.
Description 1 online resource.
Bibliography Note Includes bibliographical references and index.
Contents Cover; Title Page; Copyright; Contents; Preface; Chapter 1 Introduction; 1.1 Statistical Finance; 1.2 Risk Management; 1.3 Portfolio Management; 1.4 Pricing of Securities; Part I Statistical Finance; Chapter 2 Financial Instruments; 2.1 Stocks; 2.1.1 Stock Indexes; Definition of a Stock Index; Uses of Stock Indexes; Examples of Stock Indexes; 2.1.2 Stock Prices and Returns; Initial Price Data; Sampling of Prices; Stock Returns; 2.2 Fixed Income Instruments; 2.2.1 Bonds; 2.2.2 Interest Rates; Definitions of Interest Rates. The Risk Free Rate2.2.3 Bond Prices and Returns; 2.3 Derivatives; 2.3.1 Forwards and Futures; Forwards; Futures; 2.3.2 Options; Calls and Puts; Applications of Options; Exotic Options; 2.4 Data Sets; 2.4.1 Daily S & P 500 Data; 2.4.2 Daily S & P 500 and Nasdaqa#x80;#x90;100 Data; 2.4.3 Monthly S & P 500, Bond, and Bill Data; 2.4.4 Daily US Treasury 10 Year Bond Data; 2.4.5 Daily S & P 500 Components Data; Chapter 3 Univariate Data Analysis; 3.1 Univariate Statistics; 3.1.1 The Center of a Distribution; The Mean and the Conditional Mean. The Median and the Conditional Median3.1.1.3 The Mode and the Conditional Mode; 3.1.2 The Variance and Moments; The Variance and the Conditional Variance; The Upper and Lower Partial Moments; The Upper and Lower Conditional Moments; 3.1.3 The Quantiles and the Expected Shortfalls; The Quantiles and the Conditional Quantiles; The Expected Shortfalls; 3.2 Univariate Graphical Tools; 3.2.1 Empirical Distribution Function Based Tools; The Empirical Distribution Function; The Tail Plots; Regression Plots of Tails. The Empirical Quantile Function3.2.2 Density Estimation Based Tools; The Histogram; The Kernel Density Estimator; 3.3 Univariate Parametric Models; 3.3.1 The Normal and Loga#x80;#x90;normal Models; The Normal and Loga#x80;#x90;normal Distributions; Modeling Stock Prices; 3.3.2 The Student Distributions; Properties of Student Distributions; Estimation of the Parameters of a Student Distribution; 3.4 Tail Modeling; 3.4.1 Modeling and Estimating Excess Distributions; Modeling Excess Distributions; Estimation.
3.4.2 Parametric Families for Excess Distributions3.4.2.1 The Exponential Distributions; The Pareto Distributions; The Gamma Distributions; The Generalized Pareto Distributions; The Weibull Distributions; A Three Parameter Family; 3.4.3 Fitting the Models to Return Data; S & P 500 Daily Returns: Maximum Likelihood; Tail Index Estimation for S & P 500 Components; 3.5 Asymptotic Distributions; 3.5.1 The Central Limit Theorems; Sums of Independent Random Variables; Sums of Independent and Identically Distributed Random Variables.
Note Print version record and CIP data provided by publisher; resource not viewed.
ISBN 9781119409137 (electronic bk.)
1119409136 (electronic bk.)
9781119409113 (electronic bk.)
111940911X (electronic bk.)
9781119409106 (cloth)
OCLC # 1004769900
Additional Format Print version: Klemela, Jussi, 1965- Nonparametric finance. Hoboken, NJ : John Wiley & Sons, Inc., [2018] 9781119409106 (DLC) 2017038242