Analysis of Financial Time Series, 2nd Edition
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- Timely topics and recent results include: Value at Risk (VaR); high-frequency financial data analysis; MCMC methods; derivative pricing using jump diffusion with closed-form formulas; VaR calculation using extreme value theory based on nonhomogeneous two-dimensional Poisson process; and multivariate volatility models with time-varying correlations.
- New topics to this edition include: Finmetrics in S-plus; estimation of stochastic diffusion equations for derivative pricing; use of realized volatilities; state=space model; and Kalman filter.
- The second edition also includes new developments in financial econometrics and more examples of applications in finance.
- Emphasis is placed on empirical financial data.
- Chapter exercises have been increased in an effort to further reinforce the methods and applications in the text.