Statistical Analysis of Financial Data in S-Plus (eBook)

This book develops the use of statistical data analysis in finance, and it uses the statistical software environment of S-PLUS as a vehicle for presenting practical implementations from financial engineering. It introduces tools for the estimation and simulation of heavy tail distributions and copulas, the computation of measures of risk, and the principal component analysis of yield curves. The book is aimed at undergraduate students in financial engineering, master students in finance and MBAs, and to practitioners with financial data analysis concerns.