2.4 Further Reading: Review of Random Variables
This material in this chapter is a selected survey of topics, with applications to finance, typically covered in an introductory probability and statistics course using calculus. A good textbook for such a course is (DeGroot and Schervish 2011). Chapter 1 of (Carmona 2014) and the appendix of (Ruppert and Matteson 2015) give a slightly more advanced review than is presented here. Two slightly more advanced books, oriented towards economics students, are (Amemiya 1994) and (Goldberger 1991). Good introductory treatments of probability and statistics using R include (Dalgaard 2002) and (Verzani 2005). (Pfaff 2013) discusses some useful financial asset return distributions and their implementation in R.
Amemiya, T. 1994. Introduction to Statistics and Econometrics. Cambridge, MA.: Harvard University Press.
Carmona, R. 2014. Statistical Analysis of Financial Data in R, Second Edition. New York: Springer.
Dalgaard, P. 2002. Introductory Statistics with R. Springer.
DeGroot, M. H., and M. J. Schervish. 2011. Probability and Statistics, 4th Edition. Pearson.
Goldberger, A. S. 1991. A Course in Econometrics. Cambridge, MA.: Harvard University Press.
Pfaff, B. 2013. Financial Risk Modelling and Portfolio Optimization with R. Chichester, UK.: Wiley.
Ruppert, D., and D. S. Matteson. 2015. Statistics and Data Analysis for Financial Engineering with R Examples. New York: Springer.
Verzani, J. 2005. Using R for Introductory Statistics. Boca Raton: Chapman & Hall/CRC.