Description
Book SynopsisThe chapters in this book describe various aspects of the application of statistical methods in finance. It will interest and attract statisticians to this area, illustrate some of the many ways that statistical tools are used in financial applications, and give some indication of problems which are still outstanding.
Table of ContentsList of contributors.
Preface.
1. Introduction (David J. Hand and Saul D. Jacka).
PART I: ACTURAIAL MATHEMATICS.
2. The Relationship Between Finance and Actuarial Science (Philip Booth and Paul King).
3. Actuarial Applications of Generalised Linear Models (Steven Haberman and Arthur E. Renshaw).
PART II: CREDIT.
4. Consumer Credit and Statistics (David J. Hand).
5. Methodologies for Classifying Applicants for Credit (Lyn C. Thomas).
6. Credit Scoring and Quality Management (Kevin J. Leonard).
7. Consumer Credit and Business Cycles (Jonathan Crook).
PART III: FINANCIAL MARKETS.
8. Probability in France: an introduction (Saul D. Jacka).
9. Introduction to Financial Economics (Stewart D. Hodges).
10. American Options (Damien Lamberton).
11. Notes on Term Structure Models (Saul D. Jacka).
12. Default Risk (Dilip Madan).
13. Non-parametric Methods and Option Pricing (Eric Ghysels, Éric Renault, Olivier Torrès and Valentin Patilea).
14. Stochastic Volatility (David G. Hobson).
15. Market Time and Asset Price Movements: Theory and Estimation (Eric Ghysels, Christian Gouriéroux and Joanna Jasiak).
Index.
