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Methods And Applications os Statistics In Business, Finance, And Management Science

Methods And Applications os Statistics In Business, Finance, And Management Science

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  • ISBN:9780470405109
  • Editorial: Wiley & Sons Ltd.
  • Fecha de la edición:
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  • Dimensiones: 0 cm x 0 cm
  • Nº Pág.:712
  • Idiomas:Ingles

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Inspired by the Encyclopedia of Statistical Sciences, Second Edition (ESS2e), this volume presents a concise, well-rounded focus on the statistical concepts and applications that are essential for understanding gathered data in the study of business, finance, and management science. The book successfully upholds the goals of ESS2e by combining both previously-published and newly developed contributions written by over 100 leading academics, researchers, and practitioner in a comprehensive, approachable format. The result is a succinct reference that unveils modern, cutting-edge approaches to acquiring and analyzing data across diverse subject areas within these three disciplines, including risk management, mathematical finance, economics, supply chain management, derivative pricing, and resource allocation. In addition, techniques related to survey methodology, computational statistics, and operations research are discussed, where applicable. Topics of coverage include: * Logistics * Decision analysis * Optimization * Simulation * Forecasting * Mathematical modeling * Data mining

Preface
Contributors
1 Alternatives to Black---Scholes Formulation in Finance 1
1.1 Introduction 1
1.2 Motivation for Alternative Models 2
1.3 Methods of Valuation 3
1.4 Stochastic Interest-Rate Models 7
1.5 Stochastic Volatility Models 11
1.6 Models with Levy Processes 16
References 22
2 Analytical Methods for Risk Management: An Engineering Systems Perspective 25
2.1 Introduction 25
2.2 Risk Management in Engineering Systems 26
2.3 Risk Assessment and Analysis 31
2.4 Allocating Resources 51
2.5 Conclusion 53
References and Relevant Literature 55
3 ARCH and GARCH Models 59
3.1 Introduction 59
3.2 Volatility Clustering 59
3.3 GARCH 62
3.4 IGARCH 65
3.5 EGARCH 65
3.6 Alternative Parameterizations 66
3.7 Time Varying Parameter and Bilinear Models 66
3.8 Estimation and Inference 66
3.9 Testing 67
3.10 Empirical Example 67

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