Probability and Statistics for Finance - Hardcover

by Svetlozar T. Rachev (Author), Markus Hoechstoetter (Author), Frank J. Fabozzi (Author)

A comprehensive look at how probability and statistics is applied to the investment process

Finance has become increasingly more quantitative, drawing on techniques in probability and statistics that many finance practitioners have not had exposure to before. In order to keep up, you need a firm understanding of this discipline.
Probability and Statistics for Finance addresses this issue by showing you how to apply quantitative methods to portfolios, and in all matter of your practices, in a clear, concise manner. Informative and accessible, this guide starts off with the basics and builds to an intermediate level of mastery.
- Outlines an array of topics in probability and statistics and how to apply them in the world of finance
- Includes detailed discussions of descriptive statistics, basic probability theory, inductive statistics, and multivariate analysis
- Offers real-world illustrations of the issues addressed throughout the text
The authors cover a wide range of topics in this book, which can be used by all finance professionals as well as students aspiring to enter the field of finance.

Front Jacket

In order to remain competitive in the intensely quantitative field of finance, you need a firm understanding of the foundations of finance: probability and statistics. Expert authors Svetlozar (Zari) Rachev, Markus Höchstötter, Frank Fabozzi, and Sergio Focardi have written Probability and Statistics for Finance for that reason.

Engaging and informative, this reliable guide not only covers introductory material on probability and statistics for students and practitioners, but also provides unique coverage of specific topics that are of special interest to finance professionals, researchers, and academics.

Divided into four comprehensive parts, Probability and Statistics for Finance:

• Discusses descriptive statistics: the different methods for gathering data and presenting them in the most succinct way

• Covers the basics of probability theory as well as the different types of probability distributions, parameters of a probability distribution, joint and conditional probability distributions, continuous probability distributions dealing with extreme events, and dependence measures for two random variables beyond the correlation measure such as the copula function

• Explores statistical inference: the method of drawing information from sample data about unknown parameters of the population from which the sample was drawn

• Provides in-depth coverage of the most widely used statistical tools in finance--multivarate regression analysis--from the basics to building models

To provide readers with a complete understanding of the various topics touched upon throughout, the book includes appendices that cover the fundamentals of functions and their features, matrix operations, and binomial and multinomial coefficients.

Written for both financial professionals and individuals aspiring to enter this field, Probability and Statistics for Finance addresses an array of important issues--from applying probability to portfolio management, asset pricing, risk management, and credit risk modeling to probability distributions that deal with extreme events and statistical measures. With this book, discover how probability and statistics can help you effectively navigate even the most complex financial terrain.

Back Jacket

The recent upheaval of the global financial system has enhanced the need for improved statistical tools for financial modeling and analysis. To fill that need, expert authors Svetlozar Rachev, Markus Höchstötter, Frank Fabozzi, and Sergio Focardi have written Probability and Statistics for Finance.

Filled with in-depth insights and practical advice, this book guides readers from the basic elements of probability and statistics to the most advanced topics. Along the way, it covers everything from the application of probability to portfolio management, asset pricing, risk management, and credit risk modeling to probability distributions that deal with extreme events and statistical measures.

This book:

• Outlines an array of topics in probability and statistics and how to apply them in the world of finance

• Offers detailed discussions of descriptive statistics, basic probability theory, inductive statistics, and multivariate analysis

• Provides real-world illustrations of the issues addressed throughout the text

• And much more

Written with financial professionals, academics, and aspiring students in mind, Probability and Statistics for Finance has what you need to stay current and succeed in this fast-moving field.

Author Biography

SVETLOZAR T. RACHEV, PhD, DSC, is Chair Professor at the University of Karlsruhe in the School of Economics and Business Engineering, and Professor Emeritus at the University of California, Santa Barbara, in the Department of Statistics and Applied Probability. He was cofounder of Bravo Risk Management Group, acquired by FinAnalytica, where he currently serves as Chief Scientist.

MARKUS HÖCHSTÖTTER, PhD, is an Assistant Professor in the Department of Econometrics and Statistics, University of Karlsruhe.

FRANK J. FABOZZI, PhD, CFA, CPA, is Professor in the Practice of Finance and Becton Fellow at the Yale School of Management and Editor of the Journal of Portfolio Management. He is an Affiliated Professor at the University of Karlsruhe's Institute of Statistics, Econometrics and Mathematical Finance, and is on the Advisory Council for the Department of Operations Research and Financial Engineering at Princeton University.

SERGIO M. FOCARDI, PhD, is a Professor of Finance at EDHEC Business School and founding partner of the Paris-based consulting firm Intertek Group plc.