Probability and Statistics for Finance (Frank J. Fabozzi Series)

by Svetlozar T. Rachev, Markus Hoechstoetter, Frank J. Fabozzi, and Sergio M. Focardi

Overview

Published by John Wiley & Sons as part of the Frank J. Fabozzi Series, this 973-page academic textbook provides the mathematical and statistical foundations essential for quantitative finance, risk management, and algorithmic trading.

Part One: Descriptive Statistics

Covers data types, frequency distributions, measures of location (mean, median, mode) and spread (variance, standard deviation, range), graphical representations (histograms, box plots, QQ plots), multivariate distributions, covariance, correlation, and regression analysis fundamentals.

Part Two: Probability Theory

Covers probability concepts (frequentist, Bayesian), set operations, probability measures, random variables, discrete and continuous distributions (normal, lognormal, t-distribution, chi-squared), expectation, variance, moment generating functions, and limit theorems (Law of Large Numbers, Central Limit Theorem).

Financial Applications

Throughout, the theoretical concepts are illustrated with financial applications: regression models for asset pricing (CAPM), time series analysis for price processes, portfolio optimization, risk measurement (VaR, CVaR), option pricing foundations, and hypothesis testing for trading strategies.

Audience

Designed for graduate-level finance students and quantitative professionals who need rigorous statistical foundations for financial modeling, portfolio management, derivatives pricing, and algorithmic strategy development.