Statistics for Finance
This book is intended for students at the advanced undergraduate level or PhD level who want to develop professional skills in statistics with applications towards finance. The basis for this book is lecture notes written for a course “Statistics in Finance” at the Technical University of Denmark (DTU). Those notes were also used later in a related course at Lund University, now as a part of larger package of courses covering financial economics, risk management and financial mathematics.
The purpose of this book is to bridge the gap between on one hand classical books on financial mathematics that typically provide a rigorous treatment of the topic, but rarely connects the data, and on the other hand books on econo- metrics or time series analysis that do not cover the specific problems related to option valuation. We also include examples on how the statistical tools can be used to improve, e.g., Value at Risk calculations.