PublicationDate:November17,2010|ISBN-10:1441977864|ISBN-13:978-1441977861|Edition:2011Financialengineershaveaccesstoenormousquantitiesofdatabutneedpowerfulmethodsforextractingquantitativeinformation,particularlyaboutvolatilityandrisks.Keyfeaturesofthistextbookare:illustrationofconceptswithfinancialmarketsandeconomicdata,RLabswithreal-dataexercises,andintegrationofgraphicalandanalyticmethodsformodelinganddiagnosingmodelingerrors.Despitesomeoverlapwiththeauthor'sundergraduatetextbookStatisticsandFinance:AnIntroduction,thisbookdiffersfromthatearliervolumeinseveralimportantaspects:itisgraduate-level;computationsandgraphicsaredoneinR;andmanyadvancedtopicsarecovered,forexample,multivariatedistributions,copulas,Bayesiancomputations,VaRandexpectedshortfall,andcointegration.Theprerequisitesarebasicstatisticsandprobability,matricesandlinearalgebra,andcalculus.Someexposuretofinanceishelpful.
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