Financial econometrics, mathematics and statistics : theory, method and application /: theory, method and application. ([2019])

• Record Type: Book
• Further Information: Note: Cheng-Few Lee, Hong-Yi Chen, John Lee.
• Authors: Lee, Cheng F; Chen, Hong Yi; Lee, John
• Contents: Introduction to Financial Econometrics and Statistics -- Part A: Regression and Financial Econometrics -- Multiple Linear Regression -- Other Topics in Applied Regression Analysis.-Simultaneous Equation Models.-Econometric Approach to Financial Analysis, Planning, and Forecasting -- Fixed Effect vs Random Effect in Finance Research -- Alternative Methods to Deal with Measurement Error.-Three Alternative Errors-in-Variables Estimation Methods in Testing Capital Asset Pricing Model -- Spurious Regression and Data Mining in Conditional Asset Pricing Models.-Time-Series Analysis and Its Applications.-Time-Series: Analysis, Model, and Forecasting.-Hedge Ratio and Time-Series Analysis -- The Binomial, Multi-Nominal Distributions and Option Pricing Model -- Two Alternative Binomial Option Pricing Model Approaches to Derive Black-Scholes Option Pricing Model.-Normal, Lognormal Distribution, and Option Pricing Model.-Copula, Correlated Defaults, and Credit VaR.-Multivariate Analysis: Discriminant Analysis and Factor Analysis.-Stochastic Volatility Option Pricing Models -- Alternative Method to Estimate Implied Variance: Review and Comparison -- Numerical Valuation of Asian Options with Higher Moments in the Underlying Distribution.-Itô's Calculus: Derivation of the Black-Scholes Option Pricing Model.-Alternative Methods to Derive Option Pricing Models.-Constant Elasticity of Variance Option Pricing Model: Integration and Detailed Derivation -- Option Pricing and Hedging Performance under Stochastic Volatility and Stochastic Interest Rates.-Non-Parametric Method for European Option Bounds.
• Publisher Details: New York, NY : Springer
• Publication Date: 2019
• Extent: 1 online resource
• Subjects: 330.01/5195; Econometrics; Mathematical statistics; Finance; Statistics for Business, Management, Economics, Finance, Insurance; Econometrics; Quantitative Finance; Electronic books
• Languages: English
• ISBNs: 9781493994298; 1493994298
• Related ISBNs: 9781493994274
• Notes: Note: Includes bibliographical references and indexes.; Note: Description based on online resource; title from digital title page (viewed on July 18, 2019).
• 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.