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Probability and Statistics for Finance by Svetlozar T. Rachev, Markus Höechstöetter, Sergio M. Focardi, Frank J. Fabozzi CFA

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Preface

In this book, we provide an array of topics in probability and statistics that are applied to problems in fnance. For example, there are applications to portfolio management, asset pricing, risk management, and credit risk modeling. Not only do we cover the basics found in a typical introductory book in probability and statistics, but we also provide unique coverage of several topics that are of special interest to fnance students and fnance professionals. Examples are coverage of probability distributions that deal with extreme events and statistical measures, which are particularly useful for portfolio managers and risk managers concerned with extreme events.

The book is divided into four parts. The six chapters in Part One cover descriptive statistics: the different methods for gathering data and presenting them in a more succinct way while still being as informative as possible. The basics of probability theory are covered in the nine chapters in Part Two. After describing the basic concepts of probability, we explain the different types of probability distributions (discrete and continuous), specifc types of probability distributions, parameters of a probability distribution, joint probability distributions, conditional probability distributions, and dependence measures for two random variables. Part Three covers statistical inference: the method of drawing information from sample data about unknown parameters of the population from which the sample was drawn. The three ...

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