Introduction to Probability and Statistics for Science, Engineering, and Finance

The book Introduction to Probability and Statistics for Science, Engineering, and Finance integrates financial engineering concepts into traditional statistics courses, illustrating their role and scope in various fields. It covers topics such as risk and return analysis, the Cox–Ross–Rubinstein model, the central limit theorem, modern portfolio theory, and simple linear regression. Examples are provided using statistical software packages and scientific calculators.

Format: Paperback / softback
Length: 680 pages
Publication date: 21 January 2023
Publisher: Taylor & Francis Ltd

Integrating captivating and widely employed concepts of financial engineering into conventional statistics courses, Introduction to Probability and Statistics for Science, Engineering, and Finance vividly showcases the role and significance of statistics and probability across diverse fields. The text commences by providing the foundational knowledge required to comprehend and generate tables and graphs utilizing popular statistical software packages like Minitab, SAS, and JMP. It then delves into the traditional subjects covered in a introductory statistics course. Notable innovations include:

Applications of standard statistical concepts and methodologies to the analysis and interpretation of financial data, encompassing risks and returns. The Cox–Ross–Rubinstein (CRR) model, also known as the binomial lattice model, is employed to study stock price fluctuations.

An application of the central limit theorem to the CRR model, resulting in the lognormal distribution for stock prices and the renowned Black–Scholes option pricing formula.

An introduction to modern portfolio theory, encompassing the mean-standard deviation diagram of a collection of portfolios and the computation of a stock's beta using simple linear regression.

As the author progresses in developing statistical concepts, he presents applications to engineering, such as queuing theory, reliability theory, and acceptance sampling. Computer science, public health, and finance are also explored. Through the utilization of both statistical software packages and scientific calculators, the author reinforces fundamental principles with numerous examples.

Weight: 1260g
Dimension: 254 x 178 (mm)
ISBN-13: 9781032477787