# Statistical Analysis of Financial Data in S-Plus

• René A. Carmona
Book

Part of the Springer Texts in Statistics book series (STS)

1. Front Matter
Pages i-xvi
2. ### Data Exploration, Estimation and Simulation

1. Front Matter
Pages 1-1
2. Pages 3-47
3. Pages 49-102
3. ### Regression

1. Front Matter
Pages 103-103
2. Pages 105-173
3. Pages 175-236
4. ### Time Series & State Space Models

1. Front Matter
Pages 237-237
2. Pages 239-309
3. Pages 353-409
5. Back Matter
Pages 411-451

### Introduction

Although there are many books on mathematical finance, few deal with the statistical aspects of modern data analysis as applied to financial problems. This book fills this gap by addressing some of the most challenging issues facing any financial engineer. It shows how sophisticated mathematics and modern statistical techniques can be used in concrete financial problems.

Concerns of risk management are addressed by the control of extreme values, the fitting of distributions with heavy tails, the computation of values at risk (VaR), and other measures of risk. Data description techniques such as principal component analysis (PCA), smoothing, and regression are applied to the construction of yield and forward curve. Nonparametric estimation and nonlinear filtering are used for option pricing and earnings prediction.

The book is intended for undergraduate students majoring in financial engineering, or graduate students in a Master in finance or MBA program. Because it was designed as a teaching vehicle, it is sprinkled with practical examples using market data, and each chapter ends with exercises. Practical examples are solved in the computing environment of S-PLUS. They illustrate problems occurring in the commodity and energy markets, the fixed income markets as well as the equity markets, and even some new emerging markets like the weather markets.

The book can help quantitative analysts by guiding them through the details of statistical model estimation and implementation. It will also be of interest to researchers wishing to manipulate financial data, implement abstract concepts, and test mathematical theories, especially by addressing practical issues that are often neglected in the presentation of the theory.

Rene Carmona is the Paul M. Wythes '55 Professor of Engineering and Finance at Princeton University in the department of Operations Research and Financial Engineering and Director of Graduate Studies of the Bendheim Center for Finance. His publications include over seventy articles and six books in probability and statistics. He was elected Fellow of the Institute of Mathematical Statistics in 1984, and he is on the editorial board of several peer-reviewed journals and book series. Professor Carmona has developed computer programs for teaching of statistics, for research in signal analysis, and more recently, he contributed the library EVANESCE for the analysis of heavy tail distributions and copulas. The latter was included in the latest version of S-Plus. He has worked for many years on energy and weather derivatives, and he is recognized as a leading researcher and consultant in this area.

### Keywords

Analysis Fitting Multiple Regression Random variable STATISTICA Statistical Analysis Time series best fit data analysis linear regression principal component analysis statistical software

#### Authors and affiliations

• René A. Carmona
• 1
1. 1.Department of StatisticsUniversity of PrincetonPrincetonUSA

### Bibliographic information

• DOI https://doi.org/10.1007/b97626
• Copyright Information Springer-Verlag New York, Inc. 2004
• Publisher Name Springer, New York, NY
• eBook Packages
• Print ISBN 978-0-387-20286-0
• Online ISBN 978-0-387-21824-3
• Series Print ISSN 1431-875X