Optimal Statistical Inference in Financial Engineering

ISBN: 9781584885917 出版年：2007 页码：379 Taniguchi, Masanobu Hirukawa, Junichi Tamaki, Kenichiro CRC Press

PREFACE INTRODUCTION ELEMENTS OF PROBABILITY Probability and Probability Distribution Vector Random Variable and Independence Expectation and Conditional Distribution Convergence and Central Limit Theorems STATISTICAL INFERENCE Sufficient Statistics Unbiased Estimators Efficient Estimators Asymptotically Efficient Estimators VARIOUS STATISTICAL METHODS Interval Estimation Most Powerful Test Various Tests Discriminant Analysis STOCHASTIC PROCESSES Elements of Stochastic Processes Spectral Analysis Ergodicity, Mixing, and Martingale Limit Theorems for Stochastic Processes Exercise TIME SERIES ANALYSIS Time Series Model Estimation of Time Series Models Model Selection Problems Nonparametric Estimation Prediction of Time Series Regression for Time Series Long Memory Processes Local Whittle Likelihood Approach Nonstationary Processes Semiparametric Estimation Discriminant Analysis for Time Series INTRODUCTION TO STATISTICAL FINANCIAL ENGINEERING Option Pricing Theory Higher Order Asymptotic Option Valuation for Non-Gaussian Dependent Returns Estimation of Portfolio Value-at-Risk (VaR) Problems TERM STRUCTURE Spot Rates and Discount Bonds Estimation Procedures for Term Structure CREDIT RATING Parametric Clustering for Financial Time Series Nonparametric Clustering for Financial Time Series Credit Rating Based on Financial Time Series APPENDIX REFERENCES INDEX