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Bayesian Methods in Finance
Svetlozar T. Rachev,
Univ. of California, Santa Barbara
John S. J. Hsu
Biliana S. Bagasheva
Frank J. Fabozzi,
School of Management, Yale Univ.
ISBN: 978-0-471-92083-0
©2008
329 pages
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Description
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Bayesian Methods in Finance offers an accessible overview of the theory and practice of Bayesian methods in finance. It explains and illustrates the foundations of the Bayesian methodology in clear and accessible terms and provides a unified examination of the use of the Bayesian theory and practice to analyze and evaluate asset management. Students will learn how to use Bayesian methods, and notably, the Markov Chain Monte Carlo toolbox, to incorporate the prior views of a fund manager into the asset allocation process, estimate and predict volatility, improve risk forecasts, calculate option prices, and combine the conclusions of different models. Bayesian Methods in Finance clearly shows students how to apply this approach to the world of investment management, risk management, asset pricing, and corporate finance.
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