Optimal statistical inference in financial engineering. (©2008)

• Record Type: Book
• Further Information: Note: Masanobu Taniguchi, Junichi Hirukawa, Kenichiro Tamaki.
• Other Names: Taniguchi, Masanobu; Hirukawa, Junichi; Tamaki, Kenichiro
• Contents: PREFACE; ; INTRODUCTION; ; ELEMENTS OF PROBABILITY; Probability and Probability Distribution; Vector Random Variable and Independence; Expectation and Conditional Distribution; Convergence and Central Limit Theorems; ; STATISTICAL INFERENCE; Sufficient Statistics; Unbiased Estimators; Efficient Estimators; Asymptotically Efficient Estimators; ; VARIOUS STATISTICAL METHODS; Interval Estimation; Most Powerful Test; Various Tests; Discriminant Analysis; ; STOCHASTIC PROCESSES; Elements of Stochastic Processes; Spectral Analysis; Ergodicity, Mixing, and Martingale; Limit Theorems for Stochastic Processes; Exercise; ; TIME SERIES ANALYSIS; Time Series Model; Estimation of Time Series Models; Model Selection Problems; Nonparametric Estimation; Prediction of Time Series; Regression for Time Series; Long Memory Processes; Local Whittle Likelihood Approach; Nonstationary Processes; Semiparametric Estimation; Discriminant Analysis for Time Series; ; INTRODUCTION TO STATISTICAL FINANCIAL ENGINEERING; Option Pricing Theory; Higher Order Asymptotic Option Valuation for Non-Gaussian Dependent Returns; Estimation of Portfolio; Value-at-Risk (VaR) Problems; ; TERM STRUCTURE; Spot Rates and Discount Bonds; Estimation Procedures for Term Structure; ; CREDIT RATING; Parametric Clustering for Financial Time Series; Nonparametric Clustering for Financial Time Series; Credit Rating Based on Financial Time Series; ; APPENDIX; REFERENCES; INDEX
• Publisher Details: Boca Raton : Chapman & Hall/CRC
• Publication Date: 2008
• Copyright Date: 2008
• Extent: 1 online resource (xii, 366 pages), illustrations
• Subjects: 332.01/51923; Mathematical statistics; Financial engineering; Finance -- Statistical methods; BUSINESS & ECONOMICS -- Finance; Finance -- Statistical methods; Financial engineering; Mathematical statistics; Statistische modellen; Stochastische processen; Financieel management; Reorganisatie; Electronic books
• Languages: English
• ISBNs: 9781584885917; 1584885912; 9781420011036; 1420011030
• Notes: Note: Includes bibliographical references (pages 355-362) and index.; Note: Print version record.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.