Statistics for Finance

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  • 1. Katalog książekanglojęzycznych statystyka finansowa i ekonometria Amerykańskie Towarzystwo Statystyczne ogłosiło rok 2013 Międzynarodowym Rokiem Statystyki. Ogólnoświatowa akcja ma na celu uczczenie i docenienie osiągnięć nauk statystycznych. Przyłączyliśmy się do akcji promując najważniejsze książki z tej dziedziny. Przeglądaj katalog z nowościami i najciekawszymi publikacjami.Dowiedz się więcej na www.abe.pl/statystyka2013
  • 2.     Statystyka finansowa i ekonometria A Concise Introduction to Business A Course on Statistics for Finance Research Methods D. Israel Stanley L. Sclove Taylor & Francis Taylor & Francis 9781439861097  9781439892541  16.12.2013 03.01.2013 Oprawa: twarda Oprawa: twarda £ 49,99 £ 57,99Introductory in its approach, this text covers essential aspects of research methods. Taking a data-driven approach, A Course on Statistics for Finance presentsThe author emphasizes major topics, such as experimental design, scale statistical methods for financial investment analysis. The author introducesconstruction techniques, testing reliability and validity, as well as the application of regression analysis, time series analysis, and multivariate analysis step by step usingunivariate, bivariate, and multivariate tools in data analysis. Step-by-step details of models and methods from finance. The book begins with a review of basicthe application of the SPSS, along with screenshots, are included to illustrate the statistics, including descriptive statistics, kinds of variables, and types of data sets. Itapplication of tools to analyze and interpret research data. The book covers pre-, then discusses regression analysis in general terms and in terms of financialquasi-, true-, and complex experimental design forms. Each chapter contains investment models, such as the capital asset pricing model and the Fama/Frenchdescriptive questions, multiple-choice questions, true/false statements, and model. It also describes mean-variance portfolio analysis and concludes with aexercises. focus on time series analysis. Providing the connection between elementary statistics courses and quantitative finance courses, this text helps both existing and future quants improve their data analysis skills and better understand the modeling process. A Modern Theory of Random Variation A Practitioners Guide to Resampling for Data Analysis, Data Mining, and Patrick Muldowney Phillip I. Good Wiley Taylor & Francis 9781118166406  9781439855508  16.11.2012 19.08.2011 Oprawa: twarda Oprawa: twarda £ 76,95 £ 59,99This book presents a self-contained study of the Riemann approach to the theory of Distribution-free resampling methods-permutation tests, decision trees, and therandom variation and assumes only some familiarity with probability or statistical bootstrap-are used today in virtually every research area. A Practitioners Guide toanalysis, basic Riemann integration, and mathematical proofs. The author focuses Resampling for Data Analysis, Data Mining, and Modeling explains how to use theon non-absolute convergence in conjunction with random variation. Any conception bootstrap to estimate the precision of sample-based estimates and to determineor understanding of the random variation phenomenon hinges on the notions of sample size, data permutations to test hypotheses, and the readily-interpretedprobability and its mathematical representation in the form of probability distribution decision tree to replace arcane regression methods. Highlights Each chapterfunctions. The central and recurring theme throughout this book is that, provided contains dozens of thought provoking questions, along with applicable R and Statathe use a non-absolute method of summation, every finitely additive, function of code Methods are illustrated with examples from agriculture, audits, bird migration,disjoint intervals is integrable. In contrast, more traditional methods in probability clinical trials, epidemiology, image processing, immunology, medicine, microarraystheory exclude significant classes of such functions whose integrability cannot be and gene selection Lists of commercially available software for the bootstrap,established whenever only absolute convergence is considered. An examples decision trees, and permutation tests are incorporated in the text Access to APL,includes the Feynman "measure-which-is-not-a-measure" - the so-called probability MATLAB, and SC code for many of the routines is provided on the authors websiteamplitudes used in the Feynman path integrals of quantum mechanics. Active Risk Management An Introduction to Analysis of Financial Data with R Lai Ruey S. Tsay Taylor & Francis Wiley 9781439839485  9780470890813  05.11.2013 07.12.2012 Oprawa: twarda Oprawa: twarda £ 57,99 £ 86,95Following the recent financial crisis, risk management in financial institutions, This book provides a systematic and mathematically accessible introduction toparticularly in banks, has attracted widespread attention and discussion. Novel financial econometric models and their applications in modeling and predictingmodeling approaches and courses to educate future professionals in industry, financial time series data. It emphasizes empirical financial data and focuses on real-government, and academia are of timely relevance. This book introduces an world examples. Following this approach, readers will master key aspects ofinnovative concept and methodology developed by the authors: active risk financial time series, including volatility modeling, neural network applications,management. It is suitable for graduate students in mathematical finance/financial market microstructure, and high-frequency financial data. S-Plus(r) commands andengineering, economics, and statistics as well as for practitioners in the fields of illustrations are used extensively throughout the book in order to highlight accuratefinance and insurance. The book’s website features the data sets used in the interpretations and graphical representations of financial data. Exercises areexamples along with various exercises. included in order to provide readers with more opportunities to put the models andFollowing the recent financial crisis, risk management in financial institutions, methods into everyday practice. The tools provided in the text aid readers inparticularly in banks, has attracted widespread attention and discussion. Novel developing a deeper understanding of financial markets through firsthandmodeling approaches and courses to educate future professionals in industry, experience in working with financial data, most importantly without needlessgovernment, and academia are of timely relevance. computation. This book introduces an innovative concept and methodology developed by theauthors: active risk management. It is suitable for graduate students in mathematical 2 www.abe.pl
  • 3.   Statystyka finansowa i ekonometria An Introduction to Exotic Option Pricing Analysis of Financial Time Series Peter Buchen Ruey S. Tsay Taylor & Francis Wiley 9781420091007  9780470414354  02.03.2012 10.09.2010 Oprawa: twarda Oprawa: twarda £ 49,99 £ 90,95In an easy-to-understand, nontechnical yet mathematically elegant manner, An This book provides a broad, mature, and systematic introduction to current financialIntroduction to Exotic Option Pricing shows how to price exotic options, including econometric models and their applications to modeling and prediction of financialcomplex ones, without performing complicated integrations or formally solving time series data. It utilizes real-world examples and real financial data throughout thepartial differential equations (PDEs). The author incorporates much of his own book to apply the models and methods described.unpublished work, including ideas and techniques new to the general quantitative The author begins with basic characteristics of financial time series data beforefinance community. The first part of the text presents the necessary financial, covering three main topics:mathematical, and statistical background, covering both standard and specializedtopics. Using no-arbitrage concepts, the Black-Scholes model, and the fundamental  Analysis and application of univariate financial time seriestheorem of asset pricing, the author develops such specialized methods as the  The return series of multiple assetsprinciple of static replication, the Gaussian shift theorem, and the method of images.  Bayesian inference in finance methodsA key feature is the application of the Gaussian shift theorem and its multivariate Key features of the new edition include additional coverage of modern day topicsextension to price exotic options without needing a single integration. The second such as arbitrage, pair trading, realized volatility, and credit risk modeling; a smoothpart focuses on applications to exotic option pricing, including dual-expiry, multi- transition from S-Plus to R; and expanded empirical financial data sets.asset rainbow, barrier, lookback, and Asian options. Applied Business Statistics: Making Applied Statistics for Business and Better Business Decisions Economics Ken Black Robert M. Leekley Wiley Taylor & Francis 9781118092293  9781439805688  03.02.2012 19.03.2010 Oprawa: miękka Oprawa: twarda £ 54,99 £ 56,99Blacks latest outstanding pedagogy of Business Statistics includes the use of extra Designed for a one-semester course, Applied Statistics for Business and Economicsproblems called "Demonstration Problems" to provide additional insight and offers students in business and the social sciences an effective introduction to someexplanation to working problems, and presents concepts, topics, formulas, and of the most basic and powerful techniques available for understanding their world.application in a manner that is palatable to a vast audience and minimizes the use of Numerous interesting and important examples reflect real-life situations, stimulating"scary" formulas. Every chapter opens up with a vignette called a "Decision students to think realistically in tackling these problems. Calculations can beDilemma" about real companies, data, and business issues. Solutions to these performed using any standard spreadsheet package. To help with the examples, thedilemmas are presented as a feature called "Decision Dilemma Solved." In this author offers both actual and hypothetical databases on his website http://iwu.edu/edition all cases and "Decision Dilemmas" are updated and revised and 1/3 have ~bleekley The text explores ways to describe data and the relationships found inbeen replaced for currency. There is also a significant number of additional problems data. It covers basic probability tools, Bayes theorem, sampling, estimation, andand an extremely competitive collection of databases (containing real data) on: confidence intervals. The text also discusses hypothesis testing for one and twointernational stock markets, consumer food, international labor, financial, energy, samples, contingency tables, goodness-of-fit, analysis of variance, and populationagribusiness, 12-year gasoline, manufacturing, and hospital. variances. In addition, the author develops the concepts behind the linear relationship between two numeric variables (simple regression) as well as the potentially nonlinear relationships among more than two variables (multiple regression). Applied Stochastic Finance: v. 1 ARCH Models for Financial Applications P-C.G. Vassiliou Evdokia Xekalaki Wiley Wiley 9781848211582  9780470066300  19.01.2010 09.04.2010 Oprawa: twarda Oprawa: twarda £ 99,95 £ 65,95Stochastic finance and financial engineering have been rapidly expanding fields of ARCH Models for Financial Applications provides background on the theory ofscience over the past four decades, mainly due to the success of sophisticated ARCH models, with a focus on practical implementation via applications to real dataquantitative methodologies in helping professionals manage financial risks. In recent and examples worked with econometrics packages. The interactional exposition ofyears, we have witnessed a tremendous acceleration in research efforts aimed at the ARCH theory, and its implementation in practice that the authors adopt, helpsbetter comprehending, modeling and hedging this kind of risk. readers get a deeper understanding of the models and their use as tools in appliedThese two volumes aim to provide a foundation course on applied stochastic financial contexts. Intended for readers seeking an aptitude in the applications offinance. They are designed for three groups of readers: firstly, students of various financial econometric modeling, this book requires only a basic knowledge ofbackgrounds seeking a core knowledge on the subject of stochastic finance; econometrics and basic undergraduate-level statistics.secondly financial analysts and practitioners in the investment, banking andinsurance industries; and finally other professionals who are interested in learningadvanced mathematical and stochastic methods, which are basic knowledge inmany areas, through finance.Volume 1 starts with the introduction of the basic financial instruments and thefundamental principles of financial modeling and arbitrage valuation of derivatives.Next, we use the discrete-time binomial model to introduce all relevant concepts.www.abe.pl 3
  • 4.     Statystyka finansowa i ekonometria Bayesian Methods in Insurance and Black-Scholes Model Actuarial Science Yanwei Zhang Marek Capinski Taylor & Francis Cambridge University Press 9781466510616  9780521173001  05.12.2013 13.09.2012 Oprawa: twarda Oprawa: miękka £ 57,99 £ 24,00There has been a rapidly growing interest in Bayesian methods among insurance The Black-Scholes option pricing model is the first and by far the best-knownpractitioners in recent years, mainly because of their ability to generate predictive continuous-time mathematical model used in mathematical finance. Here, itdistributions and to rigorously incorporate expert opinion through prior probabilities. provides a sufficiently complex, yet tractable, testbed for exploring the basicThis book introduces modern Bayesian modeling techniques for actuarial and methodology of option pricing. The discussion of extended markets, the carefulinsurance applications. It first provides the necessary background in current attention paid to the requirements for admissible trading strategies, the developmentactuarial practice and then presents Bayesian methods and MCMC. It includes of pricing formulae for many widely traded instruments and the additionaladvanced techniques, such as nonlinear modeling, as well as three chapters on complications offered by multi-stock models will appeal to a wide class ofmodel selection and averaging. The text features case studies using real actuarial instructors. Students, practitioners and researchers alike will benefit from the booksand insurance data with computations in R and WinBUGS. rigorous, but unfussy, approach to technical issues. It highlights potential pitfalls, gives clear motivation for results and techniques and includes carefully chosen examples and exercises, all of which make it suitable for self-study. Business Statistics for Competitive Choice-based Conjoint Analysis: Advantage with Excel 2010 Models and Designs Cynthia Fraser Damaraju Raghavarao Springer Taylor & Francis 9781441998569  9781420099966  27.03.2012 11.08.2010 Oprawa: miękka Oprawa: twarda € 74,95 £ 62,99Exceptional managers know that they can create competitive advantages by basing Disseminating information from researchers in various fields, this compilationdecisions on performance response under alternative scenarios. To create these presents the research themes, methods, and findings, making it a significantadvantages, managers need to understand how to use statistics to provide reference for design researchers and design practitioners interested in furtheringinformation on performance response under alternative scenarios. This updated understanding of design activity in real-world settings. It presents an analysis ofedition of the popular text helps business students develop competitive advantages digital video recordings of a series of design meetings on the conceptual stages of afor use in their future careers as decision makers. Students learn to build models design project. The data were gathered from design meetings taking place as partusing logic and experience, produce statistics using Excel 2010 with shortcuts, and of naturally occurring design practice, rather than being gathered through a stagedtranslate results into implications for decision makers. The author emphasizes experiment in which the conditions are highly controlled.communicating results effectively in plain English and with compelling graphics in theform of memos and PowerPoints. Statistics, from basics to sophisticated models,are illustrated with examples using real data such as students will encounter in theirroles as managers. A number of examples focus on business in emerging globalmarkets with particular emphasis on China and India. Results are linked toimplications for decision making with sensitivity analyses to illustrate how alternatescenarios can be compared. Clustering: A Data Recovery Approach Computation and Modelling in Insurance and Finance: An Introduction Boris Mirkin Eric Bolviken Taylor & Francis Cambridge University Press 9781439838419  9780521830485  15.11.2012 01.10.2013 Oprawa: twarda Oprawa: twarda £ 63,99 £ 65,00Often considered more of an art than a science, books on clustering have been Focusing on what actuaries need in practice, this introductory account providesdominated by learning through example with techniques chosen almost through trial readers with essential tools for handling complex problems and explains howand error. Even the two most popular, and most related, clustering methods-K- simulation models can be created, used and re-used (with modifications) in relatedMeans for partitioning and Wards method for hierarchical clustering-have lacked the situations. The book begins by outlining the basic tools of modelling and simulation,theoretical underpinning required to establish a firm relationship between the two including a discussion of the Monte Carlo method and its use. Part II deals withmethods and relevant interpretation aids. Other approaches, such as spectral general insurance and Part III with life insurance and financial risk. Algorithms thatclustering or consensus clustering, are considered absolutely unrelated to each can be implemented on any programming platform are spread throughout and aother or to the two above mentioned methods. Clustering: A Data Recovery program library written in R is included. Numerous figures and experiments with R-Approach, Second Edition presents a unified modeling approach for the most code illustrate the text. The authors non-technical approach is ideal for graduatepopular clustering methods: the K-Means and hierarchical techniques, especially for students, the only prerequisites being introductory courses in calculus and lineardivisive clustering. It significantly expands coverage of the mathematics of data algebra, probability and statistics. The book will also be of value to actuaries andrecovery, and includes a new chapter covering more recent popular network other analysts in the industry looking to update their skills.clustering approaches-spectral, modularity and uniform, additive, and consensus-treated within the same data recovery approach. 4 www.abe.pl
  • 5.   Statystyka finansowa i ekonometria Customer and Business Analytics Data Driven Business Decisions Robert E. Krider Chris J. Lloyd Taylor & Francis Wiley 9781466503960  9780470619605  06.06.2012 04.11.2011 Oprawa: miękka Oprawa: twarda £ 44,99 £ 83,50Customer and Business Analytics: Applied Data Mining for Business Decision A hands-on guide to the use of quantitative methods and software for makingMaking Using R explains and demonstrates, via the accompanying open-source successful business decisions The appropriate use of quantitative methods lies atsoftware, how advanced analytical tools can address various business problems. It the core of successful decisions made by managers, researchers, and students inalso gives insight into some of the challenges faced when deploying these tools. the field of business. Providing a framework for the development of sound judgmentExtensively classroom-tested, the text is ideal for students in customer and business and the ability to utilize quantitative and qualitative approaches, Data Drivenanalytics or applied data mining as well as professionals in small- to medium-sized Business Decisions introduces readers to the important role that data plays inorganizations. The book offers an intuitive understanding of how different analytics understanding business outcomes, addressing four general areas that managersalgorithms work. Where necessary, the authors explain the underlying mathematics need to know about: data handling and Microsoft Excel(r), uncertainty, thein an accessible manner. Each technique presented includes a detailed tutorial that relationship between inputs and outputs, and complex decisions with trade-offs andenables hands-on experience with real data. The authors also discuss issues often uncertainty. Grounded in the authors own classroom approach to businessencountered in applied data mining projects and present the CRISP-DM process statistics, the book reveals how to use data to understand the drivers of businessmodel as a practical framework for organizing these projects. Showing how data outcomes, which in turn allows for data-driven business decisions.mining can improve the performance of organizations, this book and its R-basedsoftware provide the skills and tools needed to successfully develop advancedanalytics capabilities. Data Mining Mobile Devices Developing Econometrics Jesus Mena Hengqing Tong Taylor & Francis Wiley 9781466555952  9780470681770  25.06.2013 25.11.2011 Oprawa: twarda Oprawa: twarda £ 44,99 £ 55,00Data Mining Mobile Devices, also known as "Reality Mining," defines the collection Statistical Theories and Methods with Applications to Economics and Businessof machine-sensed environmental data pertaining to human social behavior. This highlights recent advances in statistical theory and methods that benefitnew paradigm of data mining makes possible the modeling of conversation context, econometric practice. It deals with exploratory data analysis, a prerequisite toproximity sensing, and temporospatial location throughout large communities of statistical modelling and part of data mining. It provides recently developedindividuals. Mobile phones (and similarly innocuous devices) are used for data computational tools useful for data mining, analysing the reasons to do data miningcollection, opening behavior analysis to new methods of empirical stochastic and the best techniques to use in a given situation.modeling. The book explains how the combination of data mining and machinelearning makes this possible, and details how to integrate the various technologies.  Provides a detailed description of computer algorithms.  Provides recently developed computational tools useful for data mining  Highlights recent advances in statistical theory and methods that benefit econometric practice.  Features examples with real life data.  Accompanying software featuring DASC (Data Analysis and Statistical Computing). Developing, Validating and Using Discrete Models of Financial Markets Internal Ratings Giacomo de Laurentis Ekkehard Kopp Wiley Cambridge University Press 9780470711491  9780521175722  24.09.2010 23.02.2012 Oprawa: twarda Oprawa: miękka £ 62,50 £ 24,00This book provides a thorough analysis of internal rating systems. Two case studies This book explains in simple settings the fundamental ideas of financial marketare devoted to building and validating statistical-based models for borrowers modelling and derivative pricing, using the no-arbitrage principle. Relativelyratings, using SPSS-PASW and SAS statistical packages. Mainstream approaches elementary mathematics leads to powerful notions and techniques - such asto building and validating models for assigning counterpart ratings to small and viability, completeness, self-financing and replicating strategies, arbitrage andmedium enterprises are discussed, together with their implications on lending equivalent martingale measures - which are directly applicable in practice. Thestrategy. Key Features: * Presents an accessible framework for bank managers, general methods are applied in detail to pricing and hedging European andstudents and quantitative analysts, combining strategic issues, management needs, American options within the Cox-Ross-Rubinstein (CRR) binomial tree model. Aregulatory requirements and statistical bases. * Discusses available methodologies simple approach to discrete interest rate models is included, which, thoughto build, validate and use internal rate models. * Demonstrates how to use statistical elementary, has some novel features. All proofs are written in a user-friendly manner,packages for building statistical-based credit rating systems. * Evaluates sources of with each step carefully explained and following a natural flow of thought. In this waymodel risks and strategic risks when using statistical-based rating systems in the student learns how to tackle new problems.lending. This book will prove to be of great value to bank managers, credit and loanofficers, quantitative analysts and advanced students on credit risk managementcourses.www.abe.pl 5
  • 6.     Statystyka finansowa i ekonometria Discrete Models of Financial Markets Economic Time Series: Modeling and Seasonality Ekkehard Kopp William R. Bell Cambridge University Press Taylor & Francis 9781107002630  9781439846575  23.02.2012 18.04.2012 Oprawa: twarda Oprawa: twarda £ 50,00 £ 63,99This book explains in simple settings the fundamental ideas of financial market Economic Time Series: Modeling and Seasonality is a focused resource on analysismodelling and derivative pricing, using the no-arbitrage principle. Relatively of economic time series as pertains to modeling and seasonality, presenting cutting-elementary mathematics leads to powerful notions and techniques - such as edge research that would otherwise be scattered throughout diverse peer-reviewedviability, completeness, self-financing and replicating strategies, arbitrage and journals. This compilation of 21 chapters showcases the cross-fertilization betweenequivalent martingale measures - which are directly applicable in practice. The the fields of time series modeling and seasonal adjustment, as is reflected both ingeneral methods are applied in detail to pricing and hedging European and the contents of the chapters and in their authorship, with contributors coming fromAmerican options within the Cox-Ross-Rubinstein (CRR) binomial tree model. A academia and government statistical agencies. For easier perusal and absorption,simple approach to discrete interest rate models is included, which, though the contents have been grouped into seven topical sections: Section I deals withelementary, has some novel features. All proofs are written in a user-friendly manner, periodic modeling of time series, introducing, applying, and comparing variouswith each step carefully explained and following a natural flow of thought. In this way seasonally periodic models Section II examines the estimation of time seriesthe student learns how to tackle new problems. components when models for series are misspecified in some sense, and the broader implications this has for seasonal adjustment and business cycle estimation Section III examines the quantification of error in X-11 seasonal adjustments, with comparisons to error in model-based seasonal adjustments Extreme Value Methods with Financial and Actuarial Statistics: An Applications to Finance Introduction Serguei Y. Novak Dale S. Borowiak Taylor & Francis Taylor & Francis 9781439835746  9781420085808  21.12.2011 15.10.2013 Oprawa: twarda Oprawa: twarda £ 66,99 £ 57,99Extreme value theory (EVT) deals with extreme (rare) events, which are sometimes Presenting a unique interface between statistics and financial/actuarial topics, thisreported as outliers. Certain textbooks encourage readers to remove outliers-in second edition provides a solid background for students preparing for a career inother words, to correct reality if it does not fit the model. Recognizing that any actuarial science. It explores novel research areas and adds more problems, alongmodel is only an approximation of reality, statisticians are eager to extract with a new solutions section. This edition also includes a new chapter on Markovinformation about unknown distribution making as few assumptions as possible. chain theory with applications to mortality and multiple decrement mortality tableExtreme Value Methods with Applications to Finance concentrates on modern modeling, a presentation of model checking diagnostics that covers diagnostics fortopics in EVT, such as processes of exceedances, compound Poisson mortality tables, and an expanded discussion on option pricing with examples.approximation, Poisson cluster approximation, and nonparametric estimationmethods. These topics have not been fully focused on in other books on extremes.In addition, the book covers: Extremes in samples of random size Methods ofestimating extreme quantiles and tail probabilities Self-normalized sums of randomvariables Measures of market risk Along with examples from finance and insuranceto illustrate the methods, Extreme Value Methods with Applications to Financeincludes over 200 exercises, making it useful as a reference book, self-study tool, orcomprehensive course text. Financial Mathematics: A Financial Risk Modelling and Portfolio Comprehensive Treatment Optimization with R Giuseppe Campolieti Bernhard Pfaff Taylor & Francis Wiley 9781439892428  9780470978702  17.10.2013 07.12.2012 Oprawa: twarda Oprawa: twarda £ 57,99 £ 60,00This text offers a comprehensive, self-contained, and unified treatment of the theory Introduces the latest techniques advocated for measuring financial market risk andand application of mathematical methods behind modern-day financial portfolio optimization, and provides a plethora of R code examples that enable themathematics. It introduces the financial theory and the relevant mathematical reader to replicate the results featured throughout the book.methods in a mathematically rigorous yet student-friendly and engaging style. The Financial Risk Modelling and Portfolio Optimization with R:text provides complete and in-depth coverage of both discrete- and continuous-time financial models and pricing theory. It also includes numerous examples,  Demonstrates techniques in modelling financial risks and applying portfolio optimization techniques as well as recent advances in the field.exercises, fully worked out solutions, and multiple problem-solving approaches. Asolutions manual is available upon qualifying course adoption.  Introduces stylized facts, loss function and risk measures, conditional and unconditional modelling of risk; extreme value theory, generalized hyperbolic distribution, volatility modelling and concepts for capturing dependencies.  Explores portfolio risk concepts and optimization with risk constraints.  Enables the reader to replicate the results in the book using R code. 6 www.abe.pl
  • 7.   Statystyka finansowa i ekonometria Financial Statistics and Mathematical GARCH Models Finance Ansgar Steland Christian Francq Wiley Wiley 9780470710586  9780470683910  20.07.2012 16.07.2010 Oprawa: twarda Oprawa: twarda £ 55,00 £ 60,00Mathematical finance has grown into a huge area of research which requires a lot of This book provides a comprehensive and systematic approach to understandingcare and a large number of sophisticated mathematical tools. Mathematically GARCH time series models and their applications whilst presenting the mostrigorous and yet accessible to advanced level practitioners and mathematicians advanced results concerning the theory and practical aspects of GARCH. Thealike, it considers various aspects of the application of statistical methods in finance probability structure of standard GARCH models is studied in detail as well asand illustrates some of the many ways that statistical tools are used in financial statistical inference such as identification, estimation and tests. The book alsoapplications. Financial Statistics and Mathematical Finance: Provides an introduction provides coverage of several extensions such as asymmetric and multivariateto the basics of financial statistics and mathematical finance. Explains the use and models and looks at financial applications. Key features: Provides up-to-dateimportance of statistical methods in econometrics and financial engineering. coverage of the current research in the probability, statistics and econometric theoryIllustrates the importance of derivatives and calculus to aid understanding in of GARCH models. Numerous illustrations and applications to real financial seriesmethods and results. Looks at advanced topics such as martingale theory, are provided. Supporting website featuring R codes, Fortran programs and datastochastic processes and stochastic integration. Features examples throughout to sets. Presents a large collection of problems and exercises. This authoritative, stateillustrate applications in mathematical and statistical finance. Is supported by an -of-the-art reference is ideal for graduate students, researchers and practitioners inaccompanying website featuring R code and data sets. business and finance seeking to broaden their skills of understanding of econometric time series models. Handbook of Empirical Economics and Handbook of Exchange Rates Finance Aman Ullah Jessica James Taylor & Francis Wiley 9781420070354  9780470768839  16.12.2010 24.07.2012 Oprawa: twarda Oprawa: twarda £ 101,00 £ 100,00Handbook of Empirical Economics and Finance explores the latest developments in Handbook of Exchange Rates is an impressive compilation of research from morethe analysis and modeling of economic and financial data. Well-recognized than thirty-five leading researchers and experts on the topic. The book is clearlyeconometric experts discuss the rapidly growing research in economics and finance organized into five succinct sections that explore the foreign exchange (FX) market,and offer insight on the future direction of these fields. Focusing on micro models, from its background and economic foundation to current practices, obstacles, andthe first group of chapters describes the statistical issues involved in the analysis of policies in the modern foreign exchange market. Part I presents an overview of theeconometric models with cross-sectional data often arising in microeconomics. The history of the FX market and exchange rate regimes, the key instruments/players inbook then illustrates time series models that are extensively used in empirical the FX trading environment, and both macro and micro approaches to FXmacroeconomics and finance. The last set of chapters explores the types of panel determination. Next, Part II focuses on forecasting exchange rates, featuringdata and spatial models that are becoming increasingly significant in analyzing methodological contributions on the sstatistical methods for evaluating forecastcomplex economic behavior and policy evaluations. This handbook brings together performance, parity relationships, fair value models, and flow-based models. Part IIIboth background material and new methodological and applied results that are treats FX as an asset class, outlining active currency management, currencyextremely important to the current and future frontiers in empirical economics and hedging, hedge accounting, high frequency and algorithmic trading in FX, and FXfinance. It emphasizes inferential issues that transpire in the analysis of cross- strategy-based products. Part IV discusses products and pricing in FX, the FXsectional, time series, and panel data-based empirical models in economics, options market, and volatility derivatives.finance, and related disciplines. Handbook of Modeling High-Frequency Handbook of Solvency for Actuaries Data in Finance and Risk Managers Frederi G. Viens Arne Sandstrom Wiley Taylor & Francis 9780470876886  9781439821305  06.01.2012 12.11.2010 Oprawa: twarda Oprawa: twarda £ 100,50 £ 97,00CUTTING-EDGE DEVELOPMENTS IN HIGH-FREQUENCY FINANCIAL Reflecting the authors wealth of experience in this field, Handbook of Solvency forECONOMETRICS In recent years, the availability of high-frequency data and Actuaries and Risk Managers: Theory and Practice focuses on the valuation ofadvances in computing have allowed financial practitioners to design systems that assets and liabilities, the calculation of capital requirement, and the calculation of thecan handle and analyze this information. Handbook of Modeling High-Frequency standard formula for the European Solvency II project. The first three sections of theData in Finance addresses the many theoretical and practical questions raised by book examine the solvency concept, historical development, and the role ofthe nature and intrinsic properties of this data. A one-stop compilation of empirical solvency in an enterprise risk management approach. The text provides a generaland analytical research, this handbook explores data sampled with high-frequency discussion on valuation, investment, and capital, along with modeling andfinance in financial engineering, statistics, and the modern financial business arena. measuring. It also covers dependence, risk measures, capital requirements,Every chapter uses real-world examples to present new, original, and relevant topics subrisks, aggregation, the main risks market, and credit, operational, liquidity, andthat relate to newly evolving discoveries in high-frequency finance, such as: underwriting risks. The last three sections focus on the European Solvency IIDesigning new methodology to discover elasticity and plasticity of price evolution project. Basing the material on CEIOPS final advice, the author presents the generalConstructing microstructure simulation models Calculation of option prices in the ideas, valuation, investments, and funds of this project as well as the standardpresence of jumps and transaction costs Using boosting for financial analysis and formula framework. He also includes all calibrations from previous quantitativetrading. impact studies and discusses the political progress of the project.www.abe.pl 7
  • 8.     Statystyka finansowa i ekonometria Insurance Risk and Ruin Introduction to Credit Risk Modeling David C. M. Dickson Christian Bluhm Cambridge University Press Taylor & Francis 9780521176750  9781584889922  16.09.2010 02.06.2010 Oprawa: miękka Oprawa: twarda £ 31,99 £ 56,99Based on the authors experience of teaching final-year actuarial students in Britain Illustrating mathematical models for structured credit with practical examples,and Australia, and suitable for a first course in insurance risk theory, this book "Introduction to Credit Risk Modeling" provides an accessible introduction to thefocuses on the two major areas of risk theory - aggregate claims distributions and foundations of structured credit portfolio modeling. Updated and expanded, thisruin theory. For aggregate claims distributions, detailed descriptions are given of second edition features additional material on estimation of asset correlations,recursive techniques that can be used in the individual and collective risk models. benchmark correlations based on securitizations of benchmark portfolios in theFor the collective model, different classes of counting distribution are discussed, and market, risk contributions and spectral risk measures, non homogeneous Markovrecursion schemes for probability functions and moments presented. For the chain approaches, multi-year models, current agency models, single-tranche CDOs,individual model, the three most commonly applied techniques are discussed and index tranches, as well as new developments in synthetics. The text also includesillustrated. Care has been taken to make the book accessible to readers who have a new exercises and a supporting website.solid understanding of the basic tools of probability theory. Introduction to Stochastic Finance Introduction to the Practice of Statistics Privault David S. Moore Taylor & Francis Palgrave MacMillan 9781466594029  9781429286640  05.11.2013 08.04.2011 Oprawa: twarda Oprawa: twarda £ 49,99 £ 53,99This comprehensive text presents an introduction to pricing and hedging in financial With a focus on data analysis, statistical reasoning, and the way statisticians actuallymodels, with an emphasis on analytical and probabilistic methods. It demonstrates work, IPS has helped to revolutionize the way statistics are taught and brings criticalboth the power and limitations of mathematical models in finance. The book starts thinking and practical applications to your course.Revised for more learner-friendlywith the basics of finance and stochastic calculus and builds up to special topics, progression, the 7th edition includes 30% new exercises, including internationalsuch as options, derivatives, and credit default and jump processes. Many real examples such as Facebook usage trends outside the USA. What this book offersexamples illustrate the topics and classroom-tested exercises are included in each students: * Focuses on data analysis and practical applications, showing the waychapter, with selected solutions at the back of the book. statisticians actually work. * Fosters statistical reasoning and decision-making skills, not just calculation drills, through a focus on problem-solving practice. * Presents contemporary real data in real contexts, making the numbers and why we analyse them meaningful. * Includes examples from many interesting disciplines (from psychology to medicine and business) to give relevance to the material covered. Life Contingencies Logit Models from Economics and Other Fields E. F. Spurgeon J. S. Cramer Cambridge University Press Cambridge University Press 9781107648098  9780521188036  09.06.2011 03.03.2011 Oprawa: miękka Oprawa: miękka £ 26,99 £ 25,99Published in 1932, this is the third edition of an original 1922 volume. The 1922 Logistic models are widely used in economics and other disciplines and are easilyvolume was, in turn, created as the replacement for the Institute of Actuaries available as part of many statistical software packages. This text for graduates,Textbook, Part Three, which was the foremost source of knowledge on the subject practitioners and researchers in economics, medicine and statistics, which wasof life contingencies for over 35 years. Assuming a high level of mathematical originally published in 2003, explains the theory underlying logit analysis and gives aknowledge on the part of the reader, it was aimed chiefly at actuarial students and thorough explanation of the technique of estimation. The author has provided manythose with a professional interest in the relationship between statistics and mortality. empirical applications as illustrations and worked examples. A large data set - drawnHighly organised and containing numerous mathematical formulae, this book will from Dutch car ownership statistics - is provided online for readers to practise theremain of value to anyone with an interest in risk calculation and the development of techniques they have learned. Several varieties of logit model have been developedthe insurance industry. independently in various branches of biology, medicine and other disciplines. This book takes its inspiration from logit analysis as it is practised in economics, but it also pays due attention to developments in these other fields. 8 www.abe.pl
  • 9.   Statystyka finansowa i ekonometria Loss Models: from Data to Decisions Making It Happen: Using Causal Models Student Solutions Manual for Business Analysis Stuart A. Klugman Aaron L Bramson Wiley Taylor & Francis 9781118315316  9780415657600  15.10.2012 15.09.2013 Oprawa: miękka Oprawa: miękka £ 23,50 £ 31,99An update of one of the most trusted books on constructing and analyzing actuarial Ryall and Bramsons Inference and Intervention is the first textbook on causalmodels for the C/4 actuarial exam This new, abridged edition has been thoroughly modeling with Bayesian networks for business applications. In a world of resourcerevised and updated to include the essential material related to Exam C of the scarcity, a decision about which business elements to control or change – as theSociety of Actuaries and Casualty Actuarial Societys accreditation programs. The authors put it, a managerial intervention – must precede any decision on how tobook maintains an approach to modeling and forecasting that utilizes tools related control or change them, and understanding causality is crucial to making effectiveto risk theory, loss distributions, and survival models. Random variables, basic interventions.distributional quantities, the recursive method, and techniques for classifying andcreating distributions are also discussed. Both parametric and non-parametric The authors cover the full spectrum of causal modeling techniques useful for theestimation methods are thoroughly covered along with advice for choosing an managerial role, whether for intervention, situational assessment, strategic decision-appropriate model. The book continues to distinguish itself by providing over 400 making, or forecasting. From the basic concepts and nomenclature of causalexercises that have appeared on previous examinations.The emphasis throughout is modeling to decision tree analysis, qualitative methods, and quantitative modelingnow placed on calculations and spreadsheet implementation. tools, this book offers a toolbox for MBA students and business professionals to make successful decisions in a managerial setting. Mathematical Statistics for Economics Methods and Applications of Statistics in and Business Business, Finance, and Management Science Ron C. Mittelhammer N. Balakrishnan Springer Wiley 9781461450214  9780470405109  31.03.2013 20.07.2010 Oprawa: twarda Oprawa: twarda € 79,95 £ 150,00Mathematical Statistics for Economics and Business, Second Edition, provides a Inspired by the Encyclopedia of Statistical Sciences, Second Edition , this volumecomprehensive introduction to the principles of mathematical statistics which presents the tools and techniques that are essential for carrying out best practices inunderpin statistical analyses in the fields of economics, business, and econometrics. the modern business world The collection and analysis of quantitative data drivesThe selection of topics in this textbook is designed to provide students with a some of the most important conclusions that are drawn in todays business world,conceptual foundation that will facilitate a substantial understanding of statistical such as the preferences of a customer base, the quality of manufactured products,applications in these subjects. This new edition has been updated throughout and the marketing of products, and the availability of financial resources. As a result, it isnow also includes a downloadable Student Answer Manual containing detailed essential for individuals working in this environment to have the knowledge and skillssolutions to half of the over 300 end-of-chapter problems. After introducing the to interpret and use statistical techniques in various scenarios. Addressing this need,concepts of probability, random variables, and probability density functions, the Methods and Applications of Statistics in Business, Finance, and Managementauthor develops the key concepts of mathematical statistics, most notably: Science serves as a single, one-of-a-kind resource that guides readers through theexpectation, sampling, asymptotics, and the main families of distributions. The latter use of common statistical practices by presenting real-world applications from thehalf of the book is then devoted to the theories of estimation and hypothesis testing fields of business, economics, finance, operations research, and managementwith associated examples and problems that indicate their wide applicability in science.economics and business. Methods for Estimation and Inference in Microeconometrics Using Stata Modern Econometrics Stanislav Anatolyev A. Colin Cameron Taylor & Francis Taylor & Francis 9781439838242  9781597180733  01.06.2011 08.04.2010 Oprawa: twarda Oprawa: miękka £ 59,99 £ 57,99Methods for Estimation and Inference in Modern Econometrics provides a A complete and up-to-date survey of microeconometric methods available in Stata,comprehensive introduction to a wide range of emerging topics, such as generalized "Microeconometrics Using Stata, Revised Edition" is an outstanding introduction toempirical likelihood estimation and alternative asymptotics under drifting microeconometrics and how to execute microeconometric research using Stata. Itparameterizations, which have not been discussed in detail outside of highly covers topics left out of most microeconometrics textbooks and omitted from basictechnical research papers. The book also addresses several problems often arising introductions to Stata. This revised edition has been updated to reflect the newin the analysis of economic data, including weak identification, model features available in Stata 11 that are useful to microeconomists. Instead of usingmisspecification, and possible nonstationarity. The books appendix provides a mfx and the user-written margeff commands, the authors employ the new marginsreview of some basic concepts and results from linear algebra, probability theory, command, emphasizing both marginal effects at the means and average marginaland statistics that are used throughout the book. Topics covered include: Well- effects. They also replace the xi command with factor variables, which allow you toestablished nonparametric and parametric approaches to estimation and specify indicator variables and interaction effects. Along with several new examples,conventional (asymptotic and bootstrap) frameworks for statistical inference this edition presents the new gmm command for generalized method of momentsEstimation of models based on moment restrictions implied by economic theory, and nonlinear instrumental-variables estimation. In addition, the chapter onincluding various method-of-moments estimators for unconditional and conditional maximum likelihood estimation incorporates enhancements made to ml in Stata 11.moment restriction models, and asymptotic theory for correctly specified andmisspecified models.www.abe.pl 9
  • 10.     Statystyka finansowa i ekonometria Misconceptions of Risk: Common Modeling Online Auctions: Statistics in Errors and Misconceptions Practice Terje Aven Wolfgang Jank Wiley Wiley 9780470683880  9780470475652  08.01.2010 19.08.2010 Oprawa: twarda Oprawa: twarda £ 70,00 £ 72,95The risk discipline is young and there are a number of ideas, perspectives and Explore cutting-edge statistical methodologies for collecting, analyzing, andconceptions of risk out there. A number of such common conceptions of risk are modeling online auction data Online auctions are an increasingly importantexamined in the book, related to the risk concept, risk assessments, uncertainty marketplace, as the new mechanisms and formats underlying these auctions haveanalyses, risk perception, the precautionary principle, risk management and decision enabled the capturing and recording of large amounts of bidding data that are usedmaking under uncertainty. The Author discusses these concepts, their strengths and to make important business decisions. As a result, new statistical ideas andweaknesses, and concludes that they are often better judged as misconceptions of innovation are needed to understand bidders, sellers, and prices. Combiningrisk than conceptions of risk. methodologies from the fields of statistics, data mining, information systems, and economics, Modeling Online Auctions introduces a new approach to identifying obstacles and asking new questions using online auction data. The authors draw upon their extensive experience to introduce the latest methods for extracting new knowledge from online auction data. Rather than approach the topic from the traditional game-theoretic perspective, the book treats the online auction mechanism as a data generator, outlining methods to collect, explore, model, and forecast data. Monte Carlo Methods and Models in Monte Carlo Simulation with Finance and Insurance Applications to Finance Ralf Korn Hui Wang Taylor & Francis Taylor & Francis 9781420076189  9781439858240  01.03.2010 20.06.2012 Oprawa: twarda Oprawa: twarda £ 62,99 £ 49,99Offering a unique balance between applications and calculations, Monte Carlo Developed from the authors course on Monte Carlo simulation at Brown University,Methods and Models in Finance and Insurance incorporates the application Monte Carlo Simulation with Applications to Finance provides a self-containedbackground of finance and insurance with the theory and applications of Monte introduction to Monte Carlo methods in financial engineering. It is suitable forCarlo methods. It presents recent methods and algorithms, including the multilevel advanced undergraduate and graduate students taking a one-semester course orMonte Carlo method, the statistical Romberg method, and the Heath-Platen for practitioners in the financial industry. The author first presents the necessaryestimator, as well as recent financial and actuarial models, such as the Cheyette and mathematical tools for simulation, arbitrary free option pricing, and the basicdynamic mortality models. The authors separately discuss Monte Carlo techniques, implementation of Monte Carlo schemes. He then describes variance reductionstochastic process basics, and the theoretical background and intuition behind techniques, including control variates, stratification, conditioning, importancefinancial and actuarial mathematics, before bringing the topics together to apply the sampling, and cross-entropy. The text concludes with stochastic calculus and theMonte Carlo methods to areas of finance and insurance. This allows for the easy simulation of diffusion processes. Only requiring some familiarity with probability andidentification of standard Monte Carlo tools and for a detailed focus on the main statistics, the book keeps much of the mathematics at an informal level and avoidsprinciples of financial and insurance mathematics. The book describes high-level technical measure-theoretic jargon to provide a practical understanding of theMonte Carlo methods for standard simulation and the simulation of stochastic basics. It includes a large number of examples as well as MATLAB(R) codingprocesses with continuous and discontinuous paths. exercises that are designed in a progressive manner so that no prior experience with MATLAB is needed. Navigating Strategic Decisions Nonlinear Pricing Methods in Quantitative Finance John E. Triantis Julien Guyon Taylor & Francis Taylor & Francis 9781466585980  9781466570337  25.06.2013 16.08.2013 Oprawa: twarda Oprawa: twarda £ 63,99 £ 49,99Based on forty years of experience and research, this book provides guidance on Collecting many methods that have previously been scattered in the literature, thisforecasting for strategic decision making. It includes methodology, tools, and book presents advanced techniques for solving high-dimensional nonlinearmodels. It also explains how to apply sanity checks to existing forecasts to rankproblems. Designed for practitioners, it is one of the first books to discuss nonlinearproject valuations, identify project risks, and select the higher value creation Black-Scholes partial differential equations (PDEs). The authors explain regressionprojects. The author discusses how to assess the feasibility of large projects, and dual methods for chooser options, the Monte Carlo approach for pricing theanalyze forecasting models to determine controllable levers, and create the uncertain volatility model and the uncertain lapse and mortality model, the Markovianconditions needed for forecasts to materialize. projection/particle method to calibrate local stochastic volatility, hybrid models to Provides the most complete treatment of how to create the organization, market vanilla options, and stochastic representations based on marked branching diffusions. processes, methods, and techniques required for analyzing and forecasting for strategic decisions Serves as an essential reference book to strategic planning, new product development, portfolio management, and business development groups 10 www.abe.pl
  • 11.   Statystyka finansowa i ekonometria Numerical Methods in Finance with C++ Operational Risk Modelling and Management Maciej J. Capinski Claudio Franzetti Cambridge University Press Taylor & Francis 9780521177160  9781439844762  02.08.2012 18.10.2010 Oprawa: miękka Oprawa: twarda £ 24,00 £ 69,99Driven by concrete computational problems in quantitative finance, this book In banking regulation, tools are needed to quantify risk and calculate the amount ofprovides aspiring quant developers with the numerical techniques and programming capital reserve required to mitigate such risk. This book offers a complete model forskills they need. The authors start from scratch, so the reader does not need any the quantification of so-called operational risks. It offers a detailed discussion on theprevious experience of C++. Beginning with straightforward option pricing on link between modeling approaches and management, which has been neglected inbinomial trees, the book gradually progresses towards more advanced topics, the literature, as well as the mathematical modeling of the loss distributionincluding nonlinear solvers, Monte Carlo techniques for path-dependent derivative approach. With an emphasis on risk management and management fundamentals,securities, finite difference methods for partial differential equations, and American the text presents a complete simulation model along with tested examples that canoption pricing by solving a linear complementarity problem. Further material, be replicated using R software. The author provides a broad view on managing riskincluding solutions to all exercises and C++ code, is available online. The book is using this mathematical model.ideal preparation for work as an entry-level quant programmer and it gives readersthe confidence to progress to more advanced skill sets involving C++ designpatterns as applied in finance. Option Pricing and Estimation of Option Valuation: A First Course in Financial Models with R Financial Mathematics Stefano M. Iacus H. D. Junghenn Wiley Taylor & Francis 9780470745847  9781439889114  11.03.2011 13.01.2012 Oprawa: twarda Oprawa: twarda £ 62,50 £ 38,99Presents inference and simulation of stochastic process in the field of model Option Valuation: A First Course in Financial Mathematics provides a straightforwardcalibration for financial times series modelled by continuous time processes and introduction to the mathematics and models used in the valuation of financialnumerical option pricing. Introduces the bases of probability theory and goes on to derivatives. It examines the principles of option pricing in detail via standard binomialexplain how to model financial times series with continuous models, how to calibrate and stochastic calculus models. Developing the requisite mathematical backgroundthem from discrete data and further covers option pricing with one or more as needed, the text presents an introduction to probability theory and stochasticunderlying assets based on these models. calculus suitable for undergraduate students in mathematics, economics, andAnalysis and implementation of models goes beyond the standard Black and finance. The first nine chapters of the book describe option valuation techniques inScholes framework and includes Markov switching models, Lévy models and other discrete time, focusing on the binomial model. The author shows how the binomialmodels with jumps (e.g. the telegraph process); Topics other than option pricing model offers a practical method for pricing options using relatively elementaryinclude: volatility and covariation estimation, change point analysis, asymptotic mathematical tools. The binomial model also enables a clear, concrete exposition ofexpansion and classification of financial time series from a statistical viewpoint. fundamental principles of finance, such as arbitrage and hedging, without theThe book features problems with solutions and examples. All the examples and R distraction of complex mathematical constructs. The remaining chapters illustratecode are available as an additional R package, therefore all the examples can be the theory in continuous time, with an emphasis on the more mathematicallyreproduced. sophisticated Black-Scholes-Merton model. Quantitative Finance: A Simuation- Quantitative Finance: Object-Oriented Based Introduction Using Excel Approach in C++ Matt Davison Erik Schlogl Taylor & Francis Taylor & Francis 9781439871683  9781584884798  16.11.2013 16.09.2013 Oprawa: twarda Oprawa: twarda £ 49,99 £ 49,99Providing readers with more quantitative insight into markets and a better overview A textbook for students and a reference guide for professionals, this text builds aof market structures, this book explains how the mathematical objects of finance foundation in the key methods and models of quantitative finance from therelate to the business needs of markets. It takes a simulation approach to financial perspective of their implementation in C++. It introduces computational finance in amarket problems, which allows readers to understand concepts without becoming pragmatic manner, focusing on practical implementation. The author takes an objectbogged down by excessive equations. Each section describes the relevant financial -oriented approach that starts from simple building blocks for assembling moreor mathematical theory, an application of the theory in practice, and a spreadsheet complex and powerful models. The author expresses models and algorithms of theto illustrate it. The text also includes a set of exercises, ranging from simple to industry-standard C++ language and includes working C++ source code on a CD-complex. ROM that accompanies the book.www.abe.pl 11
  • 12.     Statystyka finansowa i ekonometria Quantitative Methods: An Introduction Quantitative Operational Risk Models for Business Management Paolo Brandimarte Catalina Bolance Wiley Taylor & Francis 9780470496343  9781439895924  06.05.2011 16.03.2012 Oprawa: twarda Oprawa: twarda £ 76,95 £ 44,99An accessible introduction to the essential quantitative methods for making valuable Using real-life examples from the banking and insurance industries, Quantitativebusiness decisions Quantitative methods-research techniques used to analyze Operational Risk Models details how internal data can be improved based onquantitative data-enable professionals to organize and understand numbers and, in external information of various kinds. Using a simple and intuitive methodologyturn, to make good decisions. Quantitative Methods: An Introduction for Business based on classical transformation methods, the book includes real-life examples ofManagement presents the application of quantitative mathematical modeling to the combination of internal data and external information.decision making in a business management context and emphasizes not only the A guideline for practitioners, the book begins with the basics of managingrole of data in drawing conclusions, but also the pitfalls of undiscerning reliance of operational risk data to more sophisticated and recent tools needed to quantify thesoftware packages that implement standard statistical procedures. With hands-on capital requirements imposed by operational risk. The book then covers statisticalapplications and explanations that are accessible to readers at various levels, the theory prerequisites, and explains how to implement the new density estimationbook successfully outlines the necessary tools to make smart and successful methods for analyzing the loss distribution in operational risk for banks andbusiness decisions. Progressing from beginner to more advanced material at an insurance companies. In addition, it provides:easy-to-follow pace, the author utilizes motivating examples throughout to aidreaders interested in decision making and also provides critical remarks, intuitive  Simple, intuitive, and general methods to improve on internal operational risk assessmenttraps, and counterexamples when appropriate. Regression Modeling with Actuarial and Relational Data Clustering Financial Applications Edward W. Frees Bo Long Cambridge University Press Taylor & Francis 9780521135962  9781420072617  30.11.2009 21.05.2010 Oprawa: miękka Oprawa: twarda £ 39,99 £ 56,99This text gives budding actuaries and financial analysts a foundation in multiple This is the first book available that presents a comprehensive overview of relationalregression and time series. They will learn about these statistical techniques using data clustering in data mining research. The book reflects the recent emergence ofdata on the demand for insurance, lottery sales, foreign exchange rates, and other relational data clustering as an important field of data clustering, with applications inapplications. Although no specific knowledge of risk management or finance is text mining, social network analysis, collaborative filtering, and bioinformatics. Itpresumed, the approach introduces applications in which statistical techniques can presents an in-depth, systematic discussion of the models, algorithms, andbe used to analyze real data of interest. In addition to the fundamentals, this book applications for relational data clustering. The book also covers recently emergingdescribes several advanced statistical topics that are particularly relevant to actuarial models in relational data clustering, including graph-based models, matrixand financial practice, including the analysis of longitudinal, two-part (frequency/ factorization-based models, and probabilistic models.severity), and fat-tailed data. Datasets with detailed descriptions, sample statisticalsoftware scripts in R and SAS, and tips on writing a statistical report, includingsample projects. Risk Analysis in Finance and Insurance Risk Assessment and Decision Analysis with Bayesian Networks Alexander Melnikov Norman Fenton Taylor & Francis Taylor & Francis 9781420070521  9781439809105  25.04.2011 04.12.2012 Oprawa: twarda Oprawa: twarda £ 57,99 £ 41,99The development of quantitative methods based on stochastic analysis is a key Although many Bayesian Network (BN) applications are now in everyday use, BNsachievement of modern financial mathematics. These methods can be extended have not yet achieved mainstream penetration. Focusing on practical real-worldand applied in the area of actuarial science, which leads to unified methods of risk problem solving and model building, as opposed to algorithms and theory, Riskmanagement in finance and insurance. This interdisciplinary book presents an Assessment and Decision Analysis with Bayesian Networks explains how toaccessible, thorough introduction to the main ideas, methods, and techniques that incorporate knowledge with data to develop and use (Bayesian) causal models oftransform risk management into a quantitative science. It clearly discusses many risk that provide powerful insights and better decision making.important notions and facts from mathematics, finance, and insurance, showing Provides all tools necessary to build and run realistic Bayesian network modelshow these areas are interconnected. The text includes exercises, along with hints Supplies extensive example models based on real risk assessment problems in aand selected solutions. wide range of application domains provided; for example, finance, safety, systems reliability, law, and more Introduces all necessary mathematics, probability, and statistics as needed The book first establishes the basics of probability, risk, and building and using BN models, then goes into the detailed applications. The underlying BN algorithms appear in appendices rather than the main text since there is no need to understand them to build and use BN models. 12 www.abe.pl
  • 13.   Statystyka finansowa i ekonometria Short-Memory Linear Processes and Statistical and Econometric Methods Econometric Applications for Transportation Data Analysis Kairat T. Mynbaev Simon P. Washington Wiley Taylor & Francis 9780470924198  9781420082852  27.05.2011 09.12.2010 Oprawa: twarda Oprawa: twarda £ 83,50 £ 69,99This book serves as a comprehensive source of asymptotic results for econometric Now in its second edition, this book describes tools that are commonly used inmodels with deterministic exogenous regressors. Such regressors include linear transportation data analysis. The first part of the text provides statistical(more generally, piece-wise polynomial) trends, seasonally oscillating functions, and fundamentals while the second part presents continuous dependent variableslowly varying functions including logarithmic trends, as well as some specifications models. With a focus on count and discrete dependent variable models, the thirdof spatial matrices in the theory of spatial models. The book begins with central limit part features new chapters on mixed logit models, logistic regression, and orderedtheorems (CLTs) for weighted sums of short memory linear processes. This part probability models. The last section provides additional coverage of Bayesiancontains the analysis of certain operators in Lp spaces and their employment in the statistical modeling, including Bayesian inference and Markov chain Monte Carloderivation of CLTs. The applications of CLTs are to the asymptotic distribution of methods. Data sets are available online to use with the modeling techniquesvarious estimators for several econometric models. Among the models discussed discussed.are static linear models with slowly varying regressors, spatial models, time seriesautoregressions, and two nonlinear models (binary logit model and nonlinear modelwhose linearization contains slowly varying regressors). The estimation proceduresinclude ordinary and nonlinear least squares, maximum likelihood, and method ofmoments. Statistical and Machine-Learning Data Statistical Methods for Financial Mining Engineering Bruce Ratner Bruno Remillard Taylor & Francis Taylor & Francis 9781439860915  9781439856949  31.01.2012 05.04.2012 Oprawa: twarda Oprawa: twarda £ 52,99 £ 57,99The second edition of a bestseller, Statistical and Machine-Learning Data Mining: While many financial engineering books are available, the statistical aspects behindTechniques for Better Predictive Modeling and Analysis of Big Data is still the only the implementation of stochastic models used in the field are often overlooked orbook, to date, to distinguish between statistical data mining and machine-learning restricted to a few well-known cases. Statistical Methods for Financial Engineeringdata mining. The first edition, titled Statistical Modeling and Analysis for Database guides current and future practitioners on implementing the most useful stochasticMarketing: Effective Techniques for Mining Big Data, contained 17 chapters of models used in financial engineering. After introducing properties of univariate andinnovative and practical statistical data mining techniques. In this second edition, multivariate models for asset dynamics as well as estimation techniques, the bookrenamed to reflect the increased coverage of machine-learning data mining discusses limits of the Black-Scholes model, statistical tests to verify some of itstechniques, the author has completely revised, reorganized, and repositioned the assumptions, and the challenges of dynamic hedging in discrete time. It then coversoriginal chapters and produced 14 new chapters of creative and useful machine- the estimation of risk and performance measures, the foundations of spot interestlearning data mining techniques. In sum, the 31 chapters of simple yet insightful rate modeling, Levy processes and their financial applications, the properties andquantitative techniques make this book unique in the field of data mining literature. parameter estimation of GARCH models, and the importance of dependenceThe statistical data mining methods effectively consider big data for identifying models in hedge fund replication and other applications. It concludes with the topicstructures (variables) with the appropriate predictive power in order to yield reliable of filtering and its financial applications. This self-contained book offers a basicand robust large-scale statistical models and analyses. presentation of stochastic models and addresses issues related to their implementation in the financial industry. Statistical Methods in Customer Statistical Techniques for Project Relationship Management Control Viba Kumar Badiru Wiley Taylor & Francis 9781119993209  9781420083170  28.09.2012 18.01.2012 Oprawa: twarda Oprawa: twarda £ 60,00 £ 63,99Statistical Methods in Customer Relationship Management focuses on the A project can be simple or complex. In each case, proven project managementquantitative and modeling aspects of customer management strategies that lead to processes must be followed. In all cases of project management implementation,future firm profitability, with emphasis on developing an understanding of Customer control must be exercised in order to assure that project objectives are achieved.Relationship Management (CRM) models as the guiding concept for profitable Statistical Techniques for Project Control seamlessly integrates qualitative andcustomer management. To understand and explore the functioning of CRM models, quantitative tools and techniques for project control. It fills the void that exists in thethis book traces the management strategies throughout a customers tenure with a application of statistical techniques to project control.firm. Furthermore, the book explores in detail CRM models for customer acquisition,customer retention, customer acquisition and retention, customer churn, and The book begins by defining the fundamentals of project management then explorescustomer win back. Statistical Methods in Customer Relationship Management: how to temper quantitative analysis with qualitative human judgment that makesProvides an overview of a CRM system, introducing key concepts and metrics project control nebulous but also offers opportunities to innovate and be creative inneeded to understand and implement these models. Focuses on five CRM models: achieving control. The authors then discuss the three factors (time, budget, andcustomer acquisition, customer retention, customer churn, and customer win back performance) that form the basis of the operating characteristics of a project thatwith supporting case studies. Explores each model in detail, from investigating the also help determine the basis for project control. They then focus on computationalneed for CRM models to looking at the future of the models. network techniques for project schedule (time) control.www.abe.pl 13
  • 14.     Statystyka finansowa i ekonometria Statistics and Data Analysis for Stochastic Calculus for Finance Financial Engineering David Ruppert Marek Capinski Springer Cambridge University Press 9781441977861  9780521175739  17.11.2010 23.08.2012 Oprawa: twarda Oprawa: miękka € 89,95 £ 24,00Financial engineers have access to enormous quantities of data but need powerful This book focuses specifically on the key results in stochastic processes that havemethods for extracting quantitative information, particularly about volatility and risks. become essential for finance practitioners to understand. The authors study theKey features of this textbook are: illustration of concepts with financial markets and Wiener process and Ito integrals in some detail, with a focus on results needed foreconomic data, R Labs with real-data exercises, and integration of graphical and the Black-Scholes option pricing model. After developing the required martingaleanalytic methods for modeling and diagnosing modeling errors. Despite some properties of this process, the construction of the integral and the Ito formulaoverlap with the authors undergraduate textbook Statistics and Finance: An (proved in detail) become the centrepiece, both for theory and applications, and toIntroduction, this book differs from that earlier volume in several important aspects: it provide concrete examples of stochastic differential equations used in finance.is graduate-level; computations and graphics are done in R; and many advanced Finally, proofs of the existence, uniqueness and the Markov property of solutions oftopics are covered, for example, multivariate distributions, copulas, Bayesian (general) stochastic equations complete the book. Using careful exposition andcomputations, VaR and expected shortfall, and cointegration. The prerequisites are detailed proofs, this book is a far more accessible introduction to Ito calculus thanbasic statistics and probability, matrices and linear algebra, and calculus. Some most texts. Students, practitioners and researchers will benefit from its rigorous, butexposure to finance is helpful. unfussy, approach to technical issues. Solutions to the exercises are available online. Stochastic Finance: A Numeraire Stochastic Financial Models Approach Jan Vecer Douglas Kennedy Taylor & Francis Taylor & Francis 9781439812501  9781420093452  04.01.2011 20.01.2010 Oprawa: twarda Oprawa: twarda £ 46,99 £ 46,99Unlike much of the existing literature, Stochastic Finance: A Numeraire Approach Filling the void between surveys of the field with relatively light mathematical contenttreats price as a number of units of one asset needed for an acquisition of a unit of and books with a rigorous, formal approach to stochastic integration andanother asset instead of expressing prices in dollar terms exclusively. This numeraire probabilistic ideas, Stochastic Financial Models provides a sound introduction toapproach leads to simpler pricing options for complex products, such as barrier, mathematical finance. The author takes a classical applied mathematical approach,lookback, quanto, and Asian options. Most of the ideas presented rely on intuition focusing on calculations rather than seeking the greatest generality. Developedand basic principles, rather than technical computations. The first chapter of the from the esteemed authors advanced undergraduate and graduate courses at thebook introduces basic concepts of finance, including price, no arbitrage, portfolio, University of Cambridge, the text begins with the classical topics of utility and thefinancial contracts, the First Fundamental Theorem of Asset Pricing, and the change mean-variance approach to portfolio choice. The remainder of the book deals withof numeraire formula. Subsequent chapters apply these general principles to three derivative pricing. The author fully explains the binomial model since it is central tokinds of models: binomial, diffusion, and jump models. The author uses the binomial understanding the pricing of derivatives by self-financing hedging portfolios. He thenmodel to illustrate the relativity of the reference asset. In continuous time, he covers discusses the general discrete-time model, Brownian motion and the Black-Scholesboth diffusion and jump models in the evolution of price processes. The book also model. The book concludes with a look at various interest-rate models. Conceptsdescribes term structure models and numerous options, including European, barrier, from measure-theoretic probability and solutions to the end-of-chapter exercises arelookback, quanto, American, and Asian. provided in the appendices. Stochastic Methods for Pension Funds Stochastic Processes with Applications to Finance, Second Edition Pierre de Volder Masaaki Kijima Wiley Taylor & Francis 9781848212046  9781439884829  27.01.2012 22.05.2013 Oprawa: twarda Oprawa: twarda £ 113,00 £ 57,99Quantitative finance has become these last years a extraordinary field of research This updated new edition presents an accessible treatment of the theory of discreteand interest as well from an academic point of view as for practical applications. At stochastic processes and their applications in finance. By presenting importantthe same time, pension issue is clearly a major economical and financial topic for the results in discrete processes and showing how to transfer those results to theirnext decades in the context of the well-known longevity risk. Surprisingly few books continuous counterparts, the text imparts an intuitive and practical understanding ofare devoted to application of modern stochastic calculus to pension analysis. The the subject. It thoroughly explores applications to the pricing of derivative securities,aim of this book is to fill this gap and to show how recent methods of stochastic corporate bonds, and credit derivatives. The book is suitable as a graduate-levelfinance can be useful for to the risk management of pension funds. Methods of text or as a reference for professionals in financial engineering, operations research,optimal control will be especially developed and applied to fundamental problems and mathematical and statistical finance.such as the optimal asset allocation of the fund or the cost spreading of a pensionscheme. In these various problems, financial as well as demographic risks will beaddressed and modelled. 14 www.abe.pl
  • 15.   Statystyka finansowa i ekonometria Technical Analysis of Stock Trends The Black-Scholes Model Robert D. Edwards Marek Capinski Taylor & Francis Cambridge University Press 9781439898185  9781107001695  04.01.2013 13.09.2012 Oprawa: twarda Oprawa: twarda £ 63,99 £ 50,00Sixty-three years. Sixty-three years and Technical Analysis of Stock Trends still The Black-Scholes option pricing model is the first and by far the best-knowntowers over the discipline of technical analysis like a mighty redwood. Originally continuous-time mathematical model used in mathematical finance. Here, itpublished in 1948 and now in its Tenth Edition, this book remains the original and provides a sufficiently complex, yet tractable, testbed for exploring the basicmost important work on this topic. The book contains more than dry chart patterns, methodology of option pricing. The discussion of extended markets, the carefulit passes down accumulated experience and wisdom from Dow to Schabacker, to attention paid to the requirements for admissible trading strategies, the developmentEdwards, and to Magee, and has been modernized by W.H.C. Bassetti. Bassetti, a of pricing formulae for many widely traded instruments and the additionalclient, friend, and student of John Magee, one of the original authors, has converted complications offered by multi-stock models will appeal to a wide class ofthe material on the craft of manual charting with TEKNIPLAT chart paper to modern instructors. Students, practitioners and researchers alike will benefit from the bookscomputer software methods. In actuality, none of Magees concepts have proven rigorous, but unfussy, approach to technical issues. It highlights potential pitfalls,invalid and some of his work predated modern concepts such as beta and volatility. gives clear motivation for results and techniques and includes carefully chosenIn addition, Magee described a trend-following procedure that is so simple and so examples and exercises, all of which make it suitable for self-study.elegant that Bassetti has adapted it to enable the general investor to use it toreplace the cranky Dow Theory. The Practice of Statistics for Business The Statistical Theory of Linear and Economics Systems Edward James Hannan Palgrave MacMillan Cambridge University Press 9781429290142  9781611972184  01.01.2011 26.04.2012 Oprawa: twarda Oprawa: miękka £ 52,99 £ 65,00Immerses students in the course immediately, involving them in practical, statistics- Originally published in 1988, this classic text treats the identification of noisy (multi-supported business decision making from the outset. Using real data to provide a input and multi-output) linear systems, particularly systems in ARMAX and statecontext for tackling modern business problems, it introduces a range of core ideas space form. The book covers structure theory, including identifiability, realisation andearly - including data production and interpretation. parameterisation of linear systems; analysis of topological and geometrical properties of parameter spaces and parameterisations for estimation and model selection; Gaussian maximum likelihood estimation of real-valued parameters of linear systems; model selection; calculation of estimates; and approximation by rational transfer functions. This edition includes an extensive new introduction that outlines developments since the books original publication, such as subspace identification, data-driven local coordinates and the results on post-model-selection estimators. It also provides a section of errata and an updated bibliography. Researchers and graduate students studying time series statistics, systems identification, econometrics and signal processing will find this book useful for its interweaving of foundational information on structure theory and statistical analysis of linear systems. Time Series: Applications to Finance Understanding Business Research with R and S-Plus(R) Ngai Hang Chan Bart L. Weathington Wiley Wiley 9780470583623  9781118134269  22.10.2010 02.10.2012 Oprawa: twarda Oprawa: twarda £ 76,95 £ 86,95This book is designed to help readers grasp the conceptual underpinnings of time Designed to assist readers in the fields of business, finance, and managementseries modeling in order to gain a deeper understanding of the ever-changing science, this book provides step-by-step coverage of the research processdynamics of the financial world.It covers theory and application equally for readers including research design, models for design, statistical considerations, andfrom both financial and mathematical backgrounds. The book offers succinct guidance on writing and presenting results. Filled with simple explanations, real-coverage of standard topics in statistical time series -- such as forecasting and world examples, and numerous illustrations to help readers understand complexspectral analysis -- in a manner that is both technical and conceptual. An author and abstract concepts, this is an ideal book for MBA-level students, as well aswebsite provides instructor notations and additional software subroutines, as well as researchers and practitioners who want understand and utilize qualitative andcomplete solutions to the exercises in the text. quantitative research methods in applied scenarios.www.abe.pl 15
  • 16. FORMULARZ ZAMÓWIENIAPodane ceny są cenami netto i nie zawierają 5% podatku VAT Ilość Tytuł ISBNUWAGA! Podane ceny zostaną przeliczone na złotówki wg kursu walut NBP z dnia sprzedażySPOSÓB PŁATNOŚCI DOSTAWA KSIĄŻEK przelew za pośrednictwem firmy kurierskiej OPEK za pobraniem odbiór osobisty gotówkaNABYWCA (płatnik) SKŁADANIE ZAMÓWIEŃ Nazwa: Online Email Adres: www.abe.pl info@abe.pl NIP: Fax: Tel.:ODBIORCA Nazwa: +48 22 654 06 75 +48 22 652 07 67 801 777 223 Adres: Znajdź najbliższego przedstawiciela Tel. handlowego (zobacz listę kontaktów na następnej stronie) Fax. DANE FIRMY e-mail: ABE-IPS Sp. z o.o Osoba odpowiedzialna za zamówienie: ul. Grzybowska 37A, 00-855 Warszawa Rachunek:................................... ............................................................... Bank Zachodni WBK, 18 1500 1012 1210 (data) (podpis) 1013 3967 0000 Jestem zainteresowany/a otrzymywaniem informacji o nowych tytułach oraz ofertach
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