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- 000 03817cam a2200385 i 4500
- 008 190603s2019 nyua b 001 0 eng d
- 020 __ |z 1493994298 |q electronic book
- 020 __ |z 9781493994298 |q electronic book
- 040 __ |a UPM |b eng |e rda |c UPM |d GW5XE |d OCLCO
- 050 _4 |a HB139 |b .L44 2019
- 082 04 |a 330.015195 |2 23
- 099 __ |a CAL 022020036549
- 100 1_ |a Lee, Cheng F., |e author.
- 245 10 |a Financial econometrics, mathematics and statistics : |b theory, method and application / |c Cheng-Few Lee, Hong-Yi Chen, John Lee.
- 264 _1 |a New York, NY : |b Springer, |c 2019.
- 300 __ |a xx, 655 pages : |b illustrations (some color) ; |c 26 cm
- 336 __ |a text |b txt |2 rdacontent
- 337 __ |a unmediated |b n |2 rdamedia
- 338 __ |a volume |b nc |2 rdacarrier
- 504 __ |a Includes bibliographical references and indexes.
- 505 0_ |a 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.-Ito '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.
- 520 __ |a This rigorous textbook introduces graduate students to the principles of econometrics and statistics with a focus on methods and applications in financial research. Financial Econometrics, Mathematics, and Statistics illustrates tools and methods important for both finance and accounting that assist with asset pricing, corporate finance, options and futures, and conducting financial accounting research. Divided into four parts, the text offers insight into the following models and topics, among others: Multiple linear regression Time-series analysis Option pricing models Risk management Heteroskedasticity Ito's Calculus Spurious regression Errors-in-variable Written by leading academics in the quantitative finance field, this book allows readers to implement the principles behind financial econometrics and statistics through real-world applications and problem sets. It will appeal to a less-served market of advanced students and scholars in finance, economics, accounting, and statistics.
- 650 _0 |a Mathematical statistics.
- 700 1_ |a Chen, Hong Yi, |e author.
- 700 1_ |a Lee, John, |e author.