Coverart for item
The Resource Mathematics and Statistics for Financial Risk Management, Michael B. Miller

Mathematics and Statistics for Financial Risk Management, Michael B. Miller

Label
Mathematics and Statistics for Financial Risk Management
Title
Mathematics and Statistics for Financial Risk Management
Statement of responsibility
Michael B. Miller
Creator
Author
Subject
Genre
Language
eng
Member of
Action
Archivierung/Langzeitarchivierung gewährleistet
Cataloging source
GWDNB
http://library.link/vocab/creatorName
Miller, Michael B
Dewey number
650
Index
no index present
LC call number
HD61
LC item number
.M537 2012eb
Literary form
non fiction
Nature of contents
dictionaries
Series statement
Wiley Finance Editions
http://library.link/vocab/subjectName
  • Risk management
  • Risk management
  • BUSINESS & ECONOMICS
  • Risk management
  • Finanzmathematik
  • Statistische Analyse
  • Ökonometrie
  • Portfolio Selection
http://bibfra.me/vocab/relation/verfasser
T6nfSX3D6-8
Label
Mathematics and Statistics for Financial Risk Management, Michael B. Miller
Instantiates
Publication
Note
Lizenzpflichtig
Carrier category
Online-Ressource
Carrier category code
  • cr
Carrier MARC source
rdacarrier/ger
Content category
Text
Content type code
  • txt
Content type MARC source
rdacontent/ger
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
Control code
785777914
Edition
2., Auflage
Extent
Online-Ressource.
Form of item
online
Isbn
9781118757642
Lccn
2011039256
Media category
Computermedien
Media MARC source
rdamedia/ger
Media type code
  • c
Other control number
  • 9781118757642
  • urn:nbn:de:101:1-201501296632
  • 9786613618795
  • 9781118170625
http://library.link/vocab/ext/overdrive/overdriveId
361879
Publisher number
EB00088118
Specific material designation
remote
System control number
(OCoLC)785777914
Label
Mathematics and Statistics for Financial Risk Management, Michael B. Miller
Publication
Note
Lizenzpflichtig
Carrier category
Online-Ressource
Carrier category code
  • cr
Carrier MARC source
rdacarrier/ger
Content category
Text
Content type code
  • txt
Content type MARC source
rdacontent/ger
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
Control code
785777914
Edition
2., Auflage
Extent
Online-Ressource.
Form of item
online
Isbn
9781118757642
Lccn
2011039256
Media category
Computermedien
Media MARC source
rdamedia/ger
Media type code
  • c
Other control number
  • 9781118757642
  • urn:nbn:de:101:1-201501296632
  • 9786613618795
  • 9781118170625
http://library.link/vocab/ext/overdrive/overdriveId
361879
Publisher number
EB00088118
Specific material designation
remote
System control number
(OCoLC)785777914

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      400 West 14th Street, Rolla, MO, 65409, US
      37.955220 -91.772210
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