Statistics and Finance

An Introduction

  • DavidĀ Ruppert

Part of the Springer Texts in Statistics book series (STS)

Table of contents

  1. Front Matter
    Pages i-xxi
  2. David Ruppert
    Pages 1-5
  3. David Ruppert
    Pages 7-74
  4. David Ruppert
    Pages 75-99
  5. David Ruppert
    Pages 101-136
  6. David Ruppert
    Pages 137-167
  7. David Ruppert
    Pages 169-223
  8. David Ruppert
    Pages 225-256
  9. David Ruppert
    Pages 257-300
  10. David Ruppert
    Pages 301-326
  11. David Ruppert
    Pages 327-344
  12. David Ruppert
    Pages 345-362
  13. David Ruppert
    Pages 363-395
  14. David Ruppert
    Pages 397-433
  15. David Ruppert
    Pages 435-448
  16. Back Matter
    Pages 449-475

About this book


This textbook emphasizes the applications of statistics and probability to finance. Students are assumed to have had a prior course in statistics, but no background in finance or economics. The basics of probability and statistics are reviewed and more advanced topics in statistics, such as regression, ARMA and GARCH models, the bootstrap, and nonparametric regression using splines, are introduced as needed. The book covers the classical methods of finance such as portfolio theory, CAPM, and the Black-Scholes formula, and it introduces the somewhat newer area of behavioral finance. Applications and use of MATLAB and SAS software are stressed. The book will serve as a text in courses aimed at advanced undergraduates and masters students in statistics, engineering, and applied mathematics as well as quantitatively oriented MBA students. Those in the finance industry wishing to know more statistics could also use it for self-study. David Ruppert is the Andrew Schultz, Jr. Professor of Engineering, School of Operations Research and Industrial Engineering, Cornell University. He received a PhD in Statistics from Michigan State University in 1977 and taught for ten years in the Department of Statistics at the University of North Carolina at Chapel Hill. He is a Fellow of the American Statistical Association and the Institute of Mathematical Statistics and a winner of the Wilcoxon Prize for the best practical applications paper in Technometrics. He is former Editor of the Institute of Mathematical Statistics's Lecture Notes-Monographs Series, former Associate Editor of The American Statistician and The Annals of Statistics, and currently Associate Editor of Biometrics and The Journal of the American Statistical Associate. He has published over 80 scientific papers and three books, Transformation and Weighting in Regression, Measurement Error in Nonlinear Models, and Semiparametric Regression.


Bayesian statistics portfolio management and the CAPM regression and model diagnostics risk management time series and GARCH models asset pricing bayesian statistics MATLAB probability Resampling SAS statistical models statistics time series value at risk

Authors and affiliations

  • DavidĀ Ruppert
    • 1
  1. 1.School of Operations Research and Industrial EngineeringCornell UniversityIthacaUSA

Bibliographic information

  • DOI
  • Copyright Information Springer Science+Business Media New York 2004
  • Publisher Name Springer, New York, NY
  • eBook Packages Springer Book Archive
  • Print ISBN 978-1-4757-6584-7
  • Online ISBN 978-1-4419-6876-0
  • Series Print ISSN 1431-875X
  • Series Online ISSN 2197-4136
  • Buy this book on publisher's site
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