Statistics and Finance: An Introduction (Corrected 2004. Corr. 2nd Printing 2006)

This textbook emphasizes the applications of statistics and probability to finance. 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 introduces the somewhat newer area of behavioral finance. It also covers the classical methods of finance such as portfolio theory, CAPM, and the Black-Scholes formula. 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 can use it for self-study. Students are assumed to have had a prior course in statistics, but no background in finance or economics.