Statistics and finance : an introduction

This textbook emphasizes the applications of statistics and probability to finance. Students are assumed to have had a prior course in statistics, but no background in finance or economics. The basics of probability and statistics are reviewed and more advanced topics in statistics, such as regression, ARMA and GARCH models, the bootstrap, and nonparametric regression using splines, are introduced as needed. The classical methods of finance such as portfolio theory, CAPM, and the Black-Scholes formula are covered, and there is an introduction to the somewhat newer area of behavioral finance. Applications and use of MATLAB and SAS software are stressed. The book course serve as a text in courses aimed at advanced undergraduates and masters students in statistics, engineering, and applied mathematics as well as quantitatively oriented MBA students. It could also be used for self-study by those in the finance industry wishing to know more statistics. TOC:Introduction * Probability and Statistical Models * Returns * Time Series Models * Portfolio Theory * Regression * The Capital Asset Pricing Model * Options Pricing * Fixed Income Securities * Resampling * Value-at-Risk * GARCH models * Nonparametric Regression and Splines * Behavioral Finance