IDEAS home Printed from https://ideas.repec.org/b/wuu/hsbook/hsbook1101.html
   My bibliography  Save this book

Statistical Tools for Finance and Insurance (2nd edition)

Author

Listed:
  • Pavel Cizek
  • Wolfgang Karl Härdle
  • Rafal Weron

Abstract

Statistical Tools for Finance and Insurance presents ready-to-use solutions, theoretical developments and method construction for many practical problems in quantitative finance and insurance. Written by practitioners and leading academics in the field, this book offers a unique combination of topics from which every market analyst and risk manager will benefit. Features of the significantly enlarged and revised second edition: Offers insight into new methods and the applicability of the stochastic technology; Provides the tools, instruments and (online) algorithms for recent techniques in quantitative finance and modern treatments in insurance calculations; Covers topics such as expected shortfall for heavy tailed and mixture distributions, pricing of variance swaps, volatility smile calibration in FX markets pricing of catastrophe bonds and temperature derivatives, building loss models and ruin probability approximation, insurance pricing with GLM, equity linked retirement plans; Presents extensive examples in Matlab and/or R.

Suggested Citation

  • Pavel Cizek & Wolfgang Karl Härdle & Rafal Weron, 2011. "Statistical Tools for Finance and Insurance (2nd edition)," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook1101.
  • Handle: RePEc:wuu:hsbook:hsbook1101
    Note: Published by Springer-Verlag, Berlin
    as

    Download full text from publisher

    File URL: http://www.springerlink.com/content/978-3-642-18061-3
    File Function: Original published version (Springer)
    Download Restriction: Yes

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Philipp Gschöpf & Wolfgang Karl Härdle & Andrija Mihoci, 2015. "TERES - Tail Event Risk Expectile based Shortfall," SFB 649 Discussion Papers SFB649DP2015-047, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    2. repec:jss:jstsof:v:078:i01 is not listed on IDEAS
    3. Kucharczyk, Daniel & Wyłomańska, Agnieszka & Zimroz, Radosław, 2017. "Structural break detection method based on the Adaptive Regression Splines technique," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 499-511.
    4. Omar El Euch & Mathieu Rosenbaum, 2016. "The characteristic function of rough Heston models," Papers 1609.02108, arXiv.org.
    5. Ogwang, Tomson, 2013. "Is the wealth of the world’s billionaires Paretian?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 757-762.
    6. Lenkšas, A. & Mackevičius, V., 2015. "Weak approximation of Heston model by discrete random variables," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 113(C), pages 1-15.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wuu:hsbook:hsbook1101. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rafal Weron). General contact details of provider: http://edirc.repec.org/data/hspwrpl.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.