Screen LibraryMathematics and statistics for financial risk management
"In chapter 1, there is a review three math topics -- logarithms, combinatorics, and geometric series - and one financial topic, discount factors. Emphasis will be given to the specific aspects of these topics that are most relevant to risk management. In chapter 2, the author explores the appl...
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| Main Authors: | |
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| Published: |
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| Literature type: | Electronic eBook |
| Language: | English |
| Series: |
Wiley finance
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| Subjects: | |
| Online Access: |
http://onlinelibrary.wiley.com/book/10.1002/9781118819616 |
| Summary: |
"In chapter 1, there is a review three math topics -- logarithms, combinatorics, and geometric series - and one financial topic, discount factors. Emphasis will be given to the specific aspects of these topics that are most relevant to risk management. In chapter 2, the author explores the application of probabilities to risk management. There is also an introduction to basic terminology and notations that will be used throughout the rest of the book. In chapter 3, Miller teaches how to describe a collection of data in precise statistical terms. Many of the concepts will be familiar, but the |
| Carrier Form: | 1 online resource (xi, 281 p.) : ill. |
| Bibliography: | Includes bibliographical references and index. |
| ISBN: |
9781118227770 (electronic bk.) 1118227778 (electronic bk.) 9781118239766 (electronic bk.) 1118239768 (electronic bk.) 1280588969 9781280588969 9781118819616 (electronic bk.) 1118819616 (electronic bk.) 1306207916 (ebk) 9781306207911 (ebk) |
| Index Number: | HD61 |
| CLC: | F272.3 |
| Contents: |
Some basic math -- Probabilities -- Basic statistics -- Distribution -- Hypothesis testing & confidence intervals -- Matrix algebra -- Vector spaces -- Linear regression analysis -- Time series models -- Decay factors. Mathematics andStatistics for FinancialRisk Management; Contents; Preface; Acknowledgments; CHAPTER 1 Some Basic Math; Logarithms; Log Returns; Compounding; Limited Liability; Graphing Log Returns; Continuously Compounded Returns; Combinatorics; Discount Factors; Geometric Series; Problems; CHAPTER 2 Probabilities; Discrete Random Variables; Continuous Random Variables; Mutually Exclusive Events; Independent Events; Probability Matrices; Conditional Probability; Bayes' Theorem; Problems; CHAPTER 3 Basic Statistics; Averages; Expectations; Variance and Standard Deviation Standardized VariablesCovariance; Correlation; Application: Portfolio Variance and Hedging; Moments; Skewness; Kurtosis; Coskewness and Cokurtosis; Best Linear Unbiased Estimator (BLUE); Problems; CHAPTER 4 Distributions; Parametric Distributions; Uniform Distribution; Bernoulli Distribution; Binomial Distribution; Poisson Distribution; Normal Distribution; Lognormal Distribution; Central Limit Theorem; Application: Monte Carlo Simulations Part I: Creating Normal Random Variables; Chi-Squared Distribution; Student's t Distribution; F-Distribution; Mixture Distributions; Problems CHAPTER 5 Hypothesis Testing & Confidence IntervalsThe Sample Mean Revisited; Sample Variance Revisited; Confidence Intervals; Hypothesis Testing; Chebyshev's Inequality; Application: VaR; Problems; CHAPTER 6 Matrix Algebra; Matrix Notation; Matrix Operations; Application: Transition Matrices; Application: Monte Carlo Simulations Part II: Cholesky Decomposition; Problems; CHAPTER 7 Vector Spaces; Vectors Revisited; Orthogonality; Rotation; Principal Component Analysis; Application: The Dynamic Term Structure of Interest Rates; Application: The Structure of Global Equity Markets; Problems CHAPTER 8 Linear Regression AnalysisLinear Regression (One Regressor); Linear Regression (Multivariate); Application: Factor Analysis; Application: Stress Testing; Problems; CHAPTER 9 Time Series Models; Random Walks; Drift-Diffusion; Autoregression; Variance and Autocorrelation; Stationarity; Moving Average; Continuous Models; Application: GARCH; Application: Jump-Diffusion; Application: Interest Rate Models; Problems; CHAPTER 10 Decay Factors; Mean; Variance; Weighted Least Squares; Other Possibilities; Application: Hybrid VaR; Problems; APPENDIX A Binary Numbers APPENDIX B Taylor ExpansionsAPPENDIX C Vector Spaces; APPENDIX D Greek Alphabet; APPENDIX E Common Abbreviations; Answers; References; About the Author; Index |