The study of heavy-tailed distributions allows researchers to represent phenomena that occasionally exhibit very large deviations from the mean. The dynamics underlying these phenomena is an interesting theoretical subject, but the study of their statistical properties is in itself a very useful endeavor from the point of view of managing assets and controlling risk. In this book, the authors are primarily concerned with the statistical properties of heavy-tailed distributions and with the processes that exhibit jumps. A detailed overview with a Matlab implementation of heavy-tailed models applied in asset management and risk managements is presented. The book is not intended as a theoretical treatise on probability or statistics, but as a tool to understand the main concepts regarding heavy-tailed random variables and processes as applied to real-world applications in finance. Accordingly, the authors review approaches and methodologies whose realization will be useful for developing new methods for forecasting of financial variables where extreme events are not treated as anomalies, but as intrinsic parts of the economic process.
Автор: Linton Oliver Название: Financial Econometrics: Models and Methods ISBN: 1316630331 ISBN-13(EAN): 9781316630334 Издательство: Cambridge Academ Рейтинг: Цена: 8237.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This thorough exploration of the models and methods of financial econometrics is written by one of the world`s leading financial econometricians. The up-to-date content covers developments in econometrics and finance over the last twenty years while ensuring a solid grounding in the fundamental principles of the subject.
Автор: Lo Ambrose Название: Derivative Pricing: A problem-based primer ISBN: 1138033359 ISBN-13(EAN): 9781138033351 Издательство: Taylor&Francis Рейтинг: Цена: 14851.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This textbook adopts a mathematically rigorous, widely accessible pedagogical approach, providing a formal treatment of derivative pricing methodologies and theory. The abundance of examples and problems makes it suitable for advanced undergraduates, beginning graduates as well as professionals.
Описание: In honor of Dale J. Poirier, experienced editors Ivan Jeliazkov and Justin Tobias bring together a cast of expert contributors to explore the most up-to-date research on econometrics, including subjects such as panel data models, posterior simulation, and Bayesian models.
Описание: Volume 40B of Advances in Econometrics examines innovations in stochastic frontier analysis, nonparametric and semiparametric modeling and estimation, A/B experiments, big-data analysis, and quantile regression.
Автор: Epps Thomas Wake Название: Probability And Statistical Theory For Applied Researchers ISBN: 9814513156 ISBN-13(EAN): 9789814513159 Издательство: World Scientific Publishing Рейтинг: Цена: 12830.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book presents the theory of probability and mathematical statistics at a level suitable for researchers at the frontiers of applied disciplines. Examples and exercises make essential concepts in measure theory and analysis accessible to those with preparation limited to vector calculus. Complete, detailed solutions to all the exercises demonstrate techniques of problem solving and provide immediate feedback.Part I, The Theory of Probability, starts with elementary set theory and proceeds through basic measure and probability, random variables, integration and mathematical expectation. It concludes with an extensive survey of models for distributions of random variables. Part II, The Theory of Statistics, begins with sampling theory and distribution theory for statistics from normal populations, proceeds to asymptotic (large-sample) theory, and on to point and interval estimation and tests of parametric hypotheses. The last three chapters cover tests of nonparametric hypotheses, Bayesian methods, and linear and nonlinear regression.Researchers and graduate students in applied fields such as actuarial science, biostatistics, economics, finance, mathematical psychology, and systems engineering will find this book to be a valuable learning tool and an essential reference.
Название: International Debt Statistics 2021 ISBN: 1464816107 ISBN-13(EAN): 9781464816109 Издательство: Mare Nostrum (Eurospan) Рейтинг: Цена: 5392.00 р. Наличие на складе: Поставка под заказ.
Описание: International Debt Statistics (IDS) is a longstanding annual publication of the World Bank featuring external debt statistics and analysis for the 120 low- and middle-income countries that report to the World Bank Debt Reporting System (DRS). The content coverage of IDS 2021 includes: 1) a user guide describing the IDS tables and content, definitions and rationale for country and income groupings, data notes, and description of the additional resources and comprehensive datasets available to users online, 2) a brief overview analyzing global trends in debt stocks and debt flows to low- and middle-income countries within the framework of aggregate capital flows (debt and equity), 3) a feature story on the World Bank and IMF Debt Service Suspension Initiative (DSSI) in response to the Covid-19 pandemic, 4) tables and charts detailing debtor and creditor composition of debt stock and flows, terms volume and terms of new commitments, maturity structure of future debt service payments and debt burdens, measured in relation to GNI and export earnings for each country, and 5) one-page summaries per country, plus global, regional and income-group aggregates showing debt stocks and flows, relevant debt indicators and metadata for 5 years (2015-2019).
Автор: Qian Edward E Название: Risk Parity Fundamentals ISBN: 1498738796 ISBN-13(EAN): 9781498738798 Издательство: Taylor&Francis Рейтинг: Цена: 10411.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание:
Discover the Benefits of Risk Parity Investing
Despite recent progress in the theoretical analysis and practical applications of risk parity, many important fundamental questions still need to be answered. Risk Parity Fundamentals uses fundamental, quantitative, and historical analysis to address these issues, such as:
What are the macroeconomic dimensions of risk in risk parity portfolios?
What are the appropriate risk premiums in a risk parity portfolio?
What are market environments in which risk parity might thrive or struggle?
What is the role of leverage in a risk parity portfolio?
An experienced researcher and portfolio manager who coined the term "risk parity," the author provides investors with a practical understanding of the risk parity investment approach. Investors will gain insight into the merit of risk parity as well as the practical and underlying aspects of risk parity investing.
Автор: Wang Zhaodong, Zheng Weian Название: High-Frequency Trading and Probability Theory ISBN: 9814616508 ISBN-13(EAN): 9789814616508 Издательство: World Scientific Publishing Цена: 11246.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book is the first of its kind to treat high-frequency trading and technical analysis as accurate sciences.
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