Optimal Statistical Inference in Financial Engineering

2 avg rating
( 1 ratings by Goodreads )
 
9781584885917: Optimal Statistical Inference in Financial Engineering
View all copies of this ISBN edition:
 
 

Until now, few systematic studies of optimal statistical inference for stochastic processes had existed in the financial engineering literature, even though this idea is fundamental to the field. Balancing statistical theory with data analysis, Optimal Statistical Inference in Financial Engineering examines how stochastic models can effectively describe actual financial data and illustrates how to properly estimate the proposed models.

After explaining the elements of probability and statistical inference for independent observations, the book discusses the testing hypothesis and discriminant analysis for independent observations. It then explores stochastic processes, many famous time series models, their asymptotically optimal inference, and the problem of prediction, followed by a chapter on statistical financial engineering that addresses option pricing theory, the statistical estimation for portfolio coefficients, and value-at-risk (VaR) problems via residual empirical return processes. The final chapters present some models for interest rates and discount bonds, discuss their no-arbitrage pricing theory, investigate problems of credit rating, and illustrate the clustering of stock returns in both the New York and Tokyo Stock Exchanges.

Basing results on a modern, unified optimal inference approach for various time series models, this reference underlines the importance of stochastic models in the area of financial engineering.

"synopsis" may belong to another edition of this title.

About the Author:

Waseda University, Shinjuku-Ku, Tokyo, Japan Niigata University, Japan Waseda University, Shinjuku-ku, Tokyo, Japan

Review:

This book can be recommended to scholars and PhD students interested in finance and time series.
Journal of Times Series Analysis, April 2010

"About this title" may belong to another edition of this title.

Top Search Results from the AbeBooks Marketplace

1.

Taniguchi, Masanobu, Hirukawa, Junichi,
Published by Chapman and Hall/CRC (2007)
ISBN 10: 1584885912 ISBN 13: 9781584885917
New Hardcover Quantity Available: 2
Seller:
Murray Media
(North Miami Beach, FL, U.S.A.)
Rating
[?]

Book Description Chapman and Hall/CRC, 2007. Hardcover. Condition: New. Never used!. Seller Inventory # P111584885912

More information about this seller | Contact this seller

Buy New
US$ 131.98
Convert Currency

Add to Basket

Shipping: FREE
Within U.S.A.
Destination, Rates & Speeds

2.

TANIGUCHI, MASANOBU; HIRUKAWA, JUNICHI; TAMAKI, KENICHIRO.
Published by Chapman and Hall/CRC (2007)
ISBN 10: 1584885912 ISBN 13: 9781584885917
New Hardcover Quantity Available: 1
Seller:
Herb Tandree Philosophy Books
(Stroud, GLOS, United Kingdom)
Rating
[?]

Book Description Chapman and Hall/CRC, 2007. Hardback. Condition: NEW. 9781584885917 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. For all enquiries, please contact Herb Tandree Philosophy Books directly - customer service is our primary goal. Seller Inventory # HTANDREE0190738

More information about this seller | Contact this seller

Buy New
US$ 130.25
Convert Currency

Add to Basket

Shipping: US$ 10.54
From United Kingdom to U.S.A.
Destination, Rates & Speeds

3.

Taniguchi, Masanobu (Author)/ Hirukawa, Junichi (Author)/ Tamaki, Kenichiro (Author)
Published by Chapman & Hall (2007)
ISBN 10: 1584885912 ISBN 13: 9781584885917
New Hardcover Quantity Available: 1
Seller:
Revaluation Books
(Exeter, United Kingdom)
Rating
[?]

Book Description Chapman & Hall, 2007. Hardcover. Condition: Brand New. 1st edition. 366 pages. 9.75x6.50x1.00 inches. In Stock. Seller Inventory # __1584885912

More information about this seller | Contact this seller

Buy New
US$ 153.35
Convert Currency

Add to Basket

Shipping: US$ 9.88
From United Kingdom to U.S.A.
Destination, Rates & Speeds

4.

Masanobu Taniguchi; Junichi Hirukawa; Kenichiro Tamaki
ISBN 10: 1584885912 ISBN 13: 9781584885917
New Quantity Available: 1
Seller:
BennettBooksLtd
(San Diego, CA, U.S.A.)
Rating
[?]

Book Description Condition: New. New. Seller Inventory # S-1584885912

More information about this seller | Contact this seller

Buy New
US$ 159.54
Convert Currency

Add to Basket

Shipping: US$ 4.95
Within U.S.A.
Destination, Rates & Speeds

5.

Masanobu Taniguchi, Junichi Hirukawa, Kenichiro Tamaki
Published by Chapman and Hall/CRC (2007)
ISBN 10: 1584885912 ISBN 13: 9781584885917
New Hardcover Quantity Available: 1
Seller:
Ergodebooks
(RICHMOND, TX, U.S.A.)
Rating
[?]

Book Description Chapman and Hall/CRC, 2007. Hardcover. Condition: New. 1. Seller Inventory # DADAX1584885912

More information about this seller | Contact this seller

Buy New
US$ 162.00
Convert Currency

Add to Basket

Shipping: US$ 3.99
Within U.S.A.
Destination, Rates & Speeds

6.

Masanobu Taniguchi; Junichi Hirukawa; Kenichiro Tamaki
Published by Chapman and Hall/CRC (2007)
ISBN 10: 1584885912 ISBN 13: 9781584885917
New Hardcover Quantity Available: 1
Seller:
Irish Booksellers
(Portland, ME, U.S.A.)
Rating
[?]

Book Description Chapman and Hall/CRC, 2007. Condition: New. book. Seller Inventory # M1584885912

More information about this seller | Contact this seller

Buy New
US$ 215.33
Convert Currency

Add to Basket

Shipping: FREE
Within U.S.A.
Destination, Rates & Speeds