Book Description
Gain the statistical tools and techniques you need to understand today's financial markets with the Second Edition of this critically acclaimed book.
Youll find a comprehensive and systematic introduction to financial econometric models and their applications in modeling and predicting financial time series data. This edition continues to emphasize empirical financial data and focuses on real-world examples. Youll master key aspects of financial time series, including volatility modeling, neural network applications, market microstructure and high-frequency financial data, continuous-time models and Ito's Lemma, Value at Risk, multiple returns analysis, financial factor models, and econometric modeling via computation-intensive methods.
This is an ideal textbook for MBA students and a key reference for researchers and professionals in business and finance. Order your copy today.
Download Description
Analysis of Financial Time Series, Second Edition provides a comprehensive and systematic introduction to current financial econometric models and their applications to modeling and prediction of financial time series data. It utilizes real-world examples and real financial data throughout the book to apply the models and methods described. The author begins with basic characteristics of financial time series data before covering three main topics: analysis and application of univariate financial time series; the return series of multiple assets; and Bayesian inference in finance methods.
Customer Reviews:
Excellent and detailed reference.......2007-05-03
The coverage of the topic is broad and deep. It is one of the few introductory books that devotes some space to transfer function modeling and does so intelligibly.
A must have for the novice as well as those more familiar with the topic that need a solid reference.
The best for Masters level, great all-around.......2007-02-12
This text is absolutely perfect for Masters students learning financial econometrics. There is a little theory, clear explanations, and quite a few real world examples. (I don't think any text would tell the reader what model to use when, because that's application-specific.) It assumes some knowledge of finance and basic econometrics/statistics, which is fair enough. To get more theory, Hamilton (1994) remains the authority, and Campbell, Lo, MacKinlay (1997) is a great introduction for PhD students, and generally an ideal companion volume to this one.
Excellent reference!.......2006-11-05
This book is an excellent toolbox for anyove dealing in the field of financial engineering, however, as a real toolbox, the author doesn't explain the exact use of all tools and how to interpret the results. This is why this book is for advanced users who need a well documented reference but it is not very suitable for beginners in the field. The Splus code is welcome.
Broad coverage, but not for the faint-hearted.......2006-07-05
Written by a University of Chicago professor, this book comprehensively covers times series topics relative to investment and trading-oriented finance (i.e., Wall Street money-making machines). Treatment is generally clear and thorough, but an advanced math and stat background is an absolute prerequisite for understanding the materials.
S-Plus/R code is given, but strangely, there is very little on *why* and
*when* one uses each of the techniques. Under what cirmcustances should I use or not use GARCH? What exactly is PCA good for in real-world applications? These important questions are not answered, in other words, you don't get a sense of the real-world context for these topics.
Best textbook I have ever read .......2005-09-19
First of all, it is well written in a very practical point of view. The whole book is aimed fullly to real financial data(appended in the author's web). People can gain not only the well-explained theories but the hand-on experience with data analysis using SPLUS or any other package.
Secondly, the author is a real expert in this field and has been publishing lots of nice work. All models in the book are clearly illustrated and commented.
Thirdly, it covers a lot of topics in analysis of FT. Reader can learn almost all the valuable things in this field from this book.
If anyone wanna truly learn this book, she/he has to sit down and plays some real data on computer. I think this is the best way and the only way to use this book.
Book Description
“Bernstein has become a guru to a peculiarly ’90s group: well-educated, Internet-powered people intent on investing well—and with minimal ‘help’ from professional Wall Street.”--Robert Barker, BusinessWeek
William Bernstein is one of today’s most unlikely financial heroes. A practicing neurologist, he used his self-taught investment knowledge and research to build a popular investor’s website. Now, in the plain-spoken The Intelligent Asset Allocator, he shows independent investors how to build a diversified portfolio—without the help of a financial advisor. A breath of fresh air for investors tired of overly technical investment tomes, this book will help investors:
• Learn the risk/reward characteristics of various investment types
• Understand and apply portfolio theory for an improved risk/reward ratio
• Sharpen their focus, and take control of their investment programs William Bernstein (North Bend, OR) runs a website—www.efficientfrontier.com—known for its quarterly journal of asset allocation and portfolio theory, Efficient Frontier.
Customer Reviews:
A classic book on investing.......2007-07-07
Anyone who is serious about investing in marketable securities should read this book and keep it handy as a reference guide.The author is a brillant student of the market and passive investing techniques.All of the supporting data in the book has been developed by the author and his assistant. I would recommend this book for the investor.
Another book for the beginner and the experienced invesror as well How to Make Money in the Stock Market-Buy 2,500 Different Stocks-Pay no Commission
Jewel for long term contrarian investing from a US perspective.......2007-04-19
This book is for investors with a time scale of decades. So think about saving for a comfortable retirement. It argues from a point of view of an US American investor (types of asset classes and their behavior in time, all in US dollars, US tax laws, US investing instruments) but the described principles are general and also well suited for residents of other countries.
Bernstein has the ability of a very clear and down to the earth way of thinking. Even more important his prose is as clear as his thoughts. He takes you by the hand and leads you through quite difficult terrain. But as long as you hold his hand everything is clear and makes a simple impression.
His advice is solid and can be employed easily in practical investing. He even has advice for somebody with only thirty minutes of time for investments a year (Put it into the four asset types: domestic small caps, domestic large caps, foreign stocks and bonds of up to five years of duration. Split your assets in equal proportion to those types. Try to aggressively save fees maybe with Vanguard funds. Adjust the portions of those four asset types once a year to their original proportions.) Clearly this is good advice. If you read this book you also learn a lot of why this is effective. But if you do not know more than this advice: Will you follow it through thick and thin? Just imagine one asset type gets out of favor and loses a lot of value for a few years in a row. Then you have to pour yearly a lot of fresh and good money in exactly that asset type (Bernstein is a moderate contrarian). It is hard to believe that anyone has that strength without a well developed own opinion on that matter. Yes it is exactly the opposite of a stop loss. It is buy more of the losing types and sell the winning ones. The hope is to buy low and sell high.
So enjoy the ease of reading and Bernstein's brilliant simplicity, but don't be fooled by it. You will have to work hard to gain your own standpoint. And you have to invest actual money for a few years to get to know yourself.
For further reading this book has an excellent bibliography and the author runs a great website. I highly do recommend this book.
Fianance........2007-04-01
This is a great book. Don't make it your 1st finance book, but a great follow up to a "Random walk down Wall Street"
Clearly explains the theory, its background, and use........2007-03-26
This is one of 3 books that I have on the subject .... and it complements those books each of which has its own particular bias.
The book is well worth buying, reading (with a few different color highlighters), and keeping it on the shelf for reference (.. in other words to keep one going back onto "track").
There is a bias towards using index funds; and this bias does use all the conventional wisdom -- wisdom that everyone else will be trying to employ. Therefore, there is a lack of ways to "jump-start" a portfolio -- ways that must be obtained from other books and newsletters.
Efficient Frontier - Now I understand.......2007-01-31
This book can "turn on the lightbulb" for all types about what the Efficient Frontier really means! This is the best investment book I have read that attempts to focus the individual on risk - the most important facet of investing.
Book Description
Project Management strikes a balance between the technical and human aspects of managing projects. It is suitable for a course in project management and for professionals who seek a project management handbook. This text addresses the major questions and issues the authors have encountered while teaching and consulting with practicing project managers in domestic and foreign countries. The text is very contemporary and up-to-date. This application-oriented text provides a road map for managing any type of project--for example, information technology, R & D, engineering design, construction, pharmaceutical, and manufacturing. The text helps the reader discover the strategic role of projects in contemporary organizations, how projects are prioritized, what tools and techniques can be used to plan and schedule projects, what organization and managerial styles will improve chances of project success, how project managers orchestrate the complex network of relationships, factors that contribute to the development of a high performing project team, the project system which will help gain some measure of control, how project managers prepare for a new international project in a foreign culture, and finally how senior management can develop a supportive organizational culture for implementing projects.
Customer Reviews:
Good textbook for a novice.......2007-07-01
It seems that many people didn't like this book, but I used it for a class on PM & found it to be pretty good. I had no prior knowledge of the field. I really liked the accompanying Student CD-ROM for study & review of the material. I used the Microsoft Project trial CD-ROM & found that extremely useful also. I would recommend it as introductory material.
Good to go........2007-04-02
Product was delivered on time and in the condition as described. Good deal.
This is the worst textbook I have ever seen.......2007-01-11
There are phrases and questions that worded very poorly. Many times I have to re-read a section 3-4 times to try to decipher. Many of the questions do not apply or correspond the text.
The exercises in the back of the book have not connection to the actual material. Quite often the reader is left to searching the Internet or consulting the teacher to fill in the gaps.
This is a very poorly written book, and will likely cause more confusion than it educates.
Excellent!.......2006-08-04
It seems like this textbook has gotten bad phrase and for no good reason. This book is a college level textbook and is perfect in conjuction with appropriate teaching. A person can not simply book pick up this book, skim through a few chapters and expect to understand the management process without being taught by a professor. My advice, go to college and learn the process properly.
virtually fraud.......2006-05-04
Be warned. The Office Project program advertised as included is a trial version. The ad does not say this. Now I have to turn around a buy a new program- Amazon customer service says it isn't their fault. I really needed the book and the program for a class due to start in four days. Now I'm really stuck. Amazon is even trying to get me to pay for the return shipping!
Book Description
Both in insurance and in finance applications, questions involving extremal events (such as large insurance claims, large fluctuations in financial data, stock market shocks, risk management, ...) play an increasingly important role. This book sets out to bridge the gap between the existing theory and practical applications both from a probabilistic as well as from a statistical point of view. Whatever new theory is presented is always motivated by relevant real-life examples. The numerous illustrations and examples, and the extensive bibliography make this book an ideal reference text for students, teachers and users in the industry of extremal event methodology.
Customer Reviews:
largest book written on extremes.......2002-01-30
This book presents extreme value theory and its applications with the finance industry as its primary target. There have been many excellent texts written on extreme value theory but none this extensive. As the authors admit even as extensive as it is the theory of multivariate extremes is neglected. They chose to only cover in detail the theory that is mature enough for application.
What you will find here that is not in many texts on this subject is a treatment of risk theory and fluctuations of sums and various time series models including cases with heavy-tailed marginal distributions.
Chapter 8 on special topics is particularly interesting with a lot of coverage for the extremal index, large claim index, ARCH processes, large deviations, reinsurance, stable processes and self-similarity. The book contains over 600 references to the literature and is a welcome resource for practitioners in finance and insurance as well as extreme value theorists.
Highly recommended.......2000-08-15
This book covers the theory and applications of extremal value theory (an area of applied probability). The mathematics is kept at an acceptable level, i.e. advanced undergraduates in math/physics/engineering, but the breadth and the sophistication of the statements are such that the results are never trivial. Chapters 2-3-4 introduce the reader to the property of sums, maxima and order statistics of random variables. Many results are only stated but not proved. Yet, this does not detract to the readability of the book. Chpater 5 treats point processes and requires a deeper mathematical background. Among the chapters, this was the most disappointing to me. The monographs of Resnick and of Kallenberg, as well as many good introductions to point processes in queueing theory, are in my opinion both a more intuitive and rigorous introduction to random measures. This is not a major flaw of the book, given its view toward applications; and besides this, the bibliographical notes will point the reader to the relevant literature. Chapter 6, on statistical analysis of extremal events, is enjoyable and extremely useful for practitioners in finance and insurance. Chapter 7 touches upon time series and its relation to heavy tails. Finally, chapter 8 is a put-pourri of topics: ARCH processes, stable processes, self-similarity. Overall, I found this book useful as a reference, but sometimes lacking in focus: some topics seem juxtaposed with no clear logical continuity. Another potential shortcoming of the book is that it is neither completely rigorous nor completely readable (i.e., an undergraduate-level book). At the same time, these can be considered as qualities: with regards to the former, there is plenty of material to consult and draw inspiration from; and at the same time each reader will find the "right" level of mathematics in the book. In my opinion the final balance is largely positive, and I would recommend this book without hesitation.
Book Description
The most up-to-date practical primer in the professional markets.
Customer Reviews:
Clear and thorough with excellent examples.......2006-06-13
This is an excellent book for both practitioners and students. The book is clearly written and contains some very good examples on calculations. As a portfolio manager, I find that this book is best used establishing basic knowledge of transaction mechanics. You can combine this reading with Fabozzi's book to get a better feel for the market. Although the Fabozzi book is not as well organized, it contains more industry perspectives. This book is very highly recommended.
Customer Reviews:
Not pragmatic. Too much talk........2007-07-28
The ratio of talk to concrete examples is 85% to 15%. I like straight to the point books, that can and should reinforce important points but keep the fluff to a minimum...
Option Trading for the Conservative Investor.......2007-07-21
Great book if you are considering doing options in your IRA or Roth. Author is very straight forward in pointing out pit falls with a number of option stradegies that could get one into trouble and on the flip side those that work that will build your portfolio over time. I also liked that the author spent some time on tax implications of Options that other authors never speak about. Author could have spent some time on how one searches for stocks that fit the conservative option stradegey, i.e. how to use filters and screeners in various web sites.
Not so conservative.......2007-06-17
Overall lots of information, but Thomsett does not fully explain the risks involved with selling covered calls. Essentially all of his model portfolio would have been in the money after selling the Leaps wtih in weeks. Rolling would not be practical as one could only roll up for the 27 month Leaps. Selling a Pepsico 27 mo. Leap at 50 with a current price (in Sept of '02) of 48.48 netted a $4.30 premium. The stock hit $50 within a month or so and was at about $63 by expiration. The only way out would be to roll up (at an ever increasing cost), hold for two years, or buy back the call. For the average investor (including myself) seems a bit complicated. If after selling a call, the price falls, the risk is even greater. One would need to close out the call by purchasing it back before selling the shares or risk having a naked call. The stradles described later in the book may reduce risk but for most trading accounts managing margin is not for the faint of heart. Definitely read this book with a large grain of salt and thourghly understand the risks associated with such options trading.
Conservative in Some Respects.......2007-05-28
Essentially a book that attempts to frame options trading in a world where your fundamental analysis of a company will drive strategy. The basic assumption of this book is that you can effectively analyze the fundamental strength of a stock and that you can execute several options strategies to increase the income generated from the stock. However, many of the strategies presented still require one to utilize technical analysis (e.g., choose strike prices based on support-levels), as well as provide little in the way of strategy modiifcation if the company's fundamentals change during the life of a call. This is a good book for developing some new investment strategies, however the reader will benefit if they have a good understanding of technical analysis as well.
Good advice but too repetitive.......2007-05-20
This is one of those books that while it has good advice and might actually be nice for someone not knowing that much about options (of which I am one) the book repeats itself over and over. The same ideas could have been presented in one fourth the number of pages. The author's other book "Getting Started in Options" covers more basics, gives better examples, is much better for beginners, and is a much much better way to spend your money.
Book Description
This book updates and advances the theory of expected utility as applied to risk analysis and financial decision making. Von Neumann and Morgenstern pioneered the use of expected utility theory in the 1940s, but most utility functions used in financial management are still relatively simplistic and assume a mean-variance world. Taking into account recent advances in the economics of risk and uncertainty, this book focuses on richer applications of expected utility in finance, macroeconomics, and environmental economics.
The book covers these topics: expected utility theory and related concepts; the standard portfolio problem of choice under uncertainty involving two different assets; P the basic hyperplane separation theorem and log-supermodular functions as technical tools for solving various decision-making problems under uncertainty; s choice involving multiple risks; the Arrow-Debreu portfolio problem; consumption and saving; the equilibrium price of risk and time in an Arrow-Debreu economy; and dynamic models of decision making when a flow of information on future risks is expected over time. The book is appropriate for both students and professionals. Concepts are presented intuitively as well as formally, and the theory is balanced by empirical considerations. Each chapter concludes with a problem set.
Customer Reviews:
Excellent book.......2007-08-28
This book presents an excellent summary of the toolbox that students and professionals must manage in order to understand the numberless amount of modern contributions on asset pricing. All recent advances in the use of risk and uncertainty are presented with simple and direct language, and without useless mathematical sophistication. A needed help for asset pricing courses intended to graduate students.
masterpiece.......2007-08-07
Amazing book connecting all the dots you know in asset pricing, macro, general equil'um, etc. You come out of it refreshed, feeling you are a different person.
a gem.......2003-07-04
Gollier has written a book that not many others could have written. It is VERY complete, it is full of deep insights, and, for me, it is a pleasure to read. Don't be mistaken: this is a research book, not a textbook. But for those of us doing research in decision theory, general equilibrium, finance, or macroeconomics, it is simply a must. How could you afford NOT to buy it?
Customer Reviews:
Stock Options Revealed.......2007-01-11
This book has excellent examples to supplement the excellent details about how to use Stock Options. Well written and easy to understand.
Interesting and clearly written book for those beginners itching to speculate in options.......2006-05-24
Trading in options by regular folks looking for big returns has been catching on and I am not sure why. Are they really trying to use options to alter the risk of their retirement portfolios - either lowering the risk to ensure the preservation of capital or to add volatility with the design of increasing returns? Probably not. The average person is probably acting as a speculator and placing bets. For the market, this kind of behavior is a good thing because it adds noise that allows the professionals greater opportunities to profit. Now, think about what that means. You know the old saying about sitting down and a poker table and if you can't spot the patsy that it's you? Remember, options are an area of the market where there are only winners and losers. These are instruments where one side wins and the other side loses. However, in the right hands they are very important and useful financial instruments.
This book is not a textbook on option theory, pricing, or how to use them in the context of lowering or increasing risk in a portfolio. It is a basic how to text for buying and selling options as speculative investments. The author, W. Edward Olmstead, is a math professor at Northwestern University and teaches a course in options. His experience with the topic shows because the text is clear, easy to read and to grasp. That is a fine accomplishment because learning how options work can be a mind bending experience for the first timer. Admittedly, he doesn't take the reader into pricing. Here, as an investor, you basically take the price given and make a decision. Of course, developing a position about what the price "should be" is what professional options investors do and if you are just licking your finger and sticking it into what you believe to be the financial breeze, well, just remember I warned you.
Olmstead organizes the book into three parts. The first explains the basic concepts of what options are and some ideas about buying and selling them. His notions of when to buy and sell and how to use the way options change their value throughout their "life" are quite interesting. It would be fascinating to find out how well they work in real life and if they did, why these abilities to gain aren't simply priced away by people trading against them.
Anyway, the second part goes into trading strategies and describes various kinds of spreads, collars, and so forth. Of course, these positions are geared towards fashioning risk for certain kinds of outcomes. They are not magic in themselves and are just as likely to end up worthless as any other set of options, but the downside and upside will be more specifically defined.
The third part contains special topics (including DAY TRADING with options - oh boy, talk about walking into a financial mind field wearing lead boots), he touches on pricing and volatility and delta neutral trading.
An interesting book that can help the beginner get some idea about options and can help those itching to trade in them begin to do so. Just remember the old childhood saying that knowledge is when you know the stove is hot. Wisdom is what you have on your fingertips after you touch the hot stove.
Book Description
Back in the 40s, 50s, and 60s, it was fairly easy to plan for a secure future. People picked a career, a spouse, and a place to live, and those basic decisions put them on a predictable course for the rest of their lives. Especially if they were lucky enough to land at a big corporation with great benefits and smart enough to buy stocks.
In the 70s, 80s, and 90s, technology and global competition transformed the world. An increasingly strong economy masked spiraling instability in the workplace and the world. A rising stock market lulled people into thinking they were in control of their lives.
But now we've entered a totally new era, which Roger McNamee calls the New Normal. It's a time of great uncertainty—about terrorism, corporate scandals, the outsourcing of jobs overseas, and much more. The old safety nets aren't coming back, even when the economy recovers. But the good news is that the New Normal also offers tremendous opportunities. This book—by one of Silicon Valley's most insightful and successful investors—explains how to make the most of your life, career, and money by embracing the future.
The New Normal is the era of the individual. In companies large and small, each person now matters more than ever before. The Internet has finally made it easy to launch and grow a real business. For entrepreneurs and managers, the global economy opens previously untapped sources of supply and demand, cost savings and innovation. Individual investors now have access to tools and knowledge that were, until recently, restricted to professionals.
Roger McNamee has written a sweeping book in the tradition of Megatrends that clarifies this new era and gives readers a practical blueprint for success.
Customer Reviews:
Just OK.......2005-05-10
Good insights, but you can get the same info from following Wired or Google News. The book just seems forced to me, as if the author had something to say in about a chapter or two and then just extended it several more chapters. Why spend $$...check it out from the library.
1st half is Druckeresque.......2005-02-12
According to the author, globalization and technology will substantially change our world. This is nothing new, but the author provides a forecast of what tomorrow's business climate will look like. The individual will have more power than ever as employees and consumers. Independent contractors and will be far more in demand as well as service organizations designed fill a niche for larger ones. Anyone who has strong specialized skills will have far more leverage in the company. China and India will be a powerful, if not dominant, force in the global economy. The stock market will be influenced more by individual investors. Most business will require longer operations, requiring workers to work longer hours and be on alert for 24/7. Technology will enable smaller business to effectively compete against larger business better than any other time in history. Scale matters less than ever. Overall, we are moving towards a very favorable long term trend towards the global economy where especially the talented will be richly awarded, but those who lack specialized skills might be left out of the all the wealth generated by the increase in globalization and technology.
The author is a very deep business thinker, almost as insightful as Peter Drucker, which is really saying something. The author is gifted in forecasting the future trends based on the present data. The 2nd half of this book wasn't nearly as good. Maybe the author was writing fillers (as many authors are forced to do to meet page quotas mandated by the publishers).
More than Investment Advice.......2005-01-20
If you're looking for a "how-to" book to help you find your way in the new economy, there are countless insights in "The New Normal" that will help you understand the major issues facing investors today. If you are looking for an honest account of how an individual in his twenties with good instincts and a willingness to do research, created his own place in the world, this book is for you. What was valuable to me in reading "The New Normal" were McNamee's strategies for thinking outside the box, and his suggestions about how to develop a sound approach to entrepreneurship. The book also gives the clear message that technology IS the future. No matter what field you are in, there are ideas and points of reference here that will enhance your career and heighten your success. In this book, you will find no-nonsense, sound advice based on experience, intelligence and a genuine desire to help others achieve their goals.
A lot of fluff, some substance.......2004-12-30
Bought this on a whim. Like many business books, it offers a tantalizing insight into a successful person's life. But like many business books, it is long on broad, overarching concepts but short on actual reccomendations. I too can be a pundit and sagacious by saying, " To make money, all one has to do is pick the correct stock and buy it." - but without reccomendations on what that one might be, it is less useful advice.
I think this is a useful book for someone who is in their mid 20's and is beginning to make their way in the world. The advice it offers about a constant state of change in the future is valid, but it doesn't offer much concrete information on exactly what to do with that information. An enjoyable read, but not a must-read or a first line book.
Long on insight, short on hype.......2004-11-26
A "rock star venture capitalist" in the literal sense, I was curious to hear McNamee's views beyond the two-minute clips aired on CNBC. Unlike many of the business books penned by one-hit wonders from the last few years, McNamee has posted super-size returns on early stage and public investments for two decades. While the title suggests a total paradigm shift in today's market economy, the chapters are refreshingly rooted in basic business fundamentals. McNamee doesn't attribute his success to a genius mind or visionary powers -- he writes about working smarter (utilizing technology, exploiting your own competitive advantages, cultivating your network). The New Normal echoes multiple authors: Horatio Alger (get out and do something); Howard Schultz (love what you do); Peter Lynch (invest in things you understand...learn from your mistakes); Warren Buffett (buy and hold...stay the course). McNamee layers in enough self-deprecating stories to remind you he's not Superman (despite succeeding in life, work, music, etc.). His investment theories offer good counsel to portfolio managers and college students alike (e.g. innovation comes in three phases: infrastructure, enabling technology, content & applications. Know what phase we're in to avoid investing in good ideas before their time.). He seems like the kind of guy you'd want to invest your money (he stays in Best Westerns on the road!), serve as your mentor or professor, negotiate multilateral trade agreements, play guitar at your wedding or babysit your kid. Good read.
Average customer rating:
- study ito's lemma before jumping into finance
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Time Series: Applications to Finance (Wiley Series in Probability and Statistics)
Ngai Hang Chan
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ASIN: 0471411175 |
Book Description
Elements of Financial Time Series fills a gap in the market in the area of financial time series analysis by giving both conceptual and practical illustrations. Examples and discussions in the later chapters of the book make recent developments in time series more accessible. Examples from finance are maximized as much as possible throughout the book.
* Full set of exercises is displayed at the end of each chapter.
* First seven chapters cover standard topics in time series at a high-intensity level.
* Recent and timely developments in nonstandard time series techniques are illustrated with real finance examples in detail.
* Examples are systemically illustrated with S-plus with codes and data available on an associated Web site.
Download Description
Elements of Financial Time Series fills a gap in the market in the area of financial time series analysis by giving both conceptual and practical illustrations. Examples and discussions in the later chapters of the book make recent developments in time series more accessible. Examples from finance are maximized as much as possible throughout the book.
* Full set of exercises is displayed at the end of each chapter.
* First seven chapters cover standard topics in time series at a high-intensity level.
* Recent and timely developments in nonstandard time series techniques are illustrated with real finance examples in detail.
* Examples are systemically illustrated with S-plus with codes and data available on an associated Web site.
Customer Reviews:
study ito's lemma before jumping into finance.......2007-03-26
the author seems not understanding ito's lemma. the wrong form of the derivative
approximation was used in the book. (i.e. f(x) ~ g(x) ==> f'(x) ~ g'(x))
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- Client at the Core: Marketing and Managing Today's Professional Services Firm
- Contemporary Business and E-Commerce Law: The Legal, Global, Digital and Ethical Environment (4th Edition)
Books Index
Books Home
Recommended Books
- Pro BizTalk 2006
- History: Fiction or Science
- China's West Region Development: Domestic Strategies and Global Implications
- Capital Structure Decisions in Insitutional Buyouts
- Government and Not-for-Profit Accounting: Concepts and Practices
- Geek Love: A Novel
- Future Prospect: Envisioning EBusiness in 2020
- Fundamental Accounting Principles Volume 2 Softcover with Working Papers, Krispy Kreme 2003 Annual R
- Curb Rights: A Foundation for Free Enterprise in Urban Transit
- Dublin Noir: The Celtic Tiger vs. the Ugly American
Market Models: A Guide to Financial Data Analysis
Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability)
Time Series Analysis
Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk
