The elements of financial econometrics
By: Fan, Jianqing.
Contributor(s): Yao, Qiwei.
Publisher: Cambridge Cambridge University Press 2017Description: xii, 381p.ISBN: 9781107191174.Subject(s): Finance -- Econometric models | Capital assets pricing modelDDC classification: 332.0151 | F212e Summary: Financial econometrics is an interdisciplinary subject that uses statistical methods and economic theory to address a variety of quantitative problems in finance. This compact, master's-level textbook focuses on methodology and includes real financial data illustrations throughout. The mathematical level is purposely kept moderate, allowing the power of the quantitative methods to be understood without too much technical detail. Wherever possible, the authors indicate where to find the relevant R codes to implement the various methods. This book grew out of a course at Princeton University which is one of the world's flagship programs in computational finance and financial engineering. It will therefore be useful for those with an economics and finance background who are looking to sharpen their quantitative skills, and also for those with strong quantitative skills who want to learn how to apply them to financeItem type | Current location | Collection | Call number | Status | Date due | Barcode | Item holds |
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Books | PK Kelkar Library, IIT Kanpur | General Stacks | 332.0151 F212e (Browse shelf) | Available | A184065 |
Browsing PK Kelkar Library, IIT Kanpur Shelves , Collection code: General Stacks Close shelf browser
332.0151 C335m2 Mathematical techniques in finance | 332.0151 C36f3 Financial mathematics for actuaries [3rd ed.] | 332.0151 D299q Quantitative finance | 332.0151 F212e The elements of financial econometrics | 332.0151 J78c2 The concepts and practice of mathematical finance | 332.0151 M459f A first course in quantitative finance | 332.0151 R259p Principles of financial modelling |
Financial econometrics is an interdisciplinary subject that uses statistical methods and economic theory to address a variety of quantitative problems in finance. This compact, master's-level textbook focuses on methodology and includes real financial data illustrations throughout. The mathematical level is purposely kept moderate, allowing the power of the quantitative methods to be understood without too much technical detail. Wherever possible, the authors indicate where to find the relevant R codes to implement the various methods. This book grew out of a course at Princeton University which is one of the world's flagship programs in computational finance and financial engineering. It will therefore be useful for those with an economics and finance background who are looking to sharpen their quantitative skills, and also for those with strong quantitative skills who want to learn how to apply them to finance
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