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Bayesian Methods In Finance

Bayesian Methods In Finance

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  • ISBN:9780471920830
  • Editorial: Wiley & Sons Ltd.
  • Fecha de la edición:
  • Encuadernación:Tapa dura
  • Dimensiones: 0 cm x 0 cm
  • Nº Pág.:329
  • Idiomas:Ingles,Inglés

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This book offers an accessible overview of the theory and practice of Bayesian methods in finance. "Bayesian Methods in Finance" explains and illustrates the foundations of the Bayesian methodology in clear and accessible terms. It provides a unified examination of the use of the Bayesian theory and practice to analyze and evaluate asset management. With this book as their guide, readers will learn how to use Bayesian methods, and notably, the Markov Chain Monte Carlo toolbox, to incorporate the prior views of a fund manager into the asset allocation process, estimate and predict volatility, improve risk forecasts, calculate option prices, and combine the conclusions of different models. "Bayesian Methods in Finance" clearly shows readers how to apply this approach to the world of investment management, risk management, asset pricing, and corporate finance. Svetlozar T. Rachev, PhD, DrSci (Karlsruhe, Germany) is Chair-Professor at the University of Karlsruhe in the School of Economics and Business Engineering and Chief Scientist of FinAnalytica Inc. John S.J. Hsu, PhD (Santa Barbara, CA) is Associate Professor of Statistics and Applied Probability at the University of California, Santa Barbara. Biliana S. Bagasheva (Santa Barbara, CA) is currently a PhD candidate at the Department of Statistics and Applied Probability, University of California, Santa Barbara. Frank J. Fabozzi, PhD, CFA, CFP (New Hope, PA) is Adjunct Professor of Finance at Yale University's School of Management.

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