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Statistics of Financial Markets An Introduction
Author
Title
Statistics of Financial Markets [electronic resource] : An Introduction / by Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner.
ISBN
9783642545399
Edition
4th ed. 2015.
Publication
Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2015.
Physical Description
XIX, 555 p. 163 illus., 114 illus. in color : online resource.
Local Notes
Access is available to the Yale community.
Access and use
Access restricted by licensing agreement.
Summary
Now in its fourth edition, this book offers a detailed yet concise introduction to the growing field of statistical applications in finance. The reader will learn the basic methods of evaluating option contracts, analyzing financial time series, selecting portfolios and managing risks based on realistic assumptions about market behavior. The focus is both on the fundamentals of mathematical finance and financial time series analysis, and on applications to given problems concerning financial markets, thus making the book the ideal basis for lectures, seminars and crash courses on the topic. For this new edition the book has been updated and extensively revised and now includes several new aspects, e.g. new chapters on long memory models, copulae and CDO valuation. Practical exercises with solutions have also been added. Both R and Matlab Code, together with the data, can be downloaded from the book’s product page and www.quantlet.de
Variant and related titles
Springer eBooks.
Other formats
Printed edition:
Format
Books / Online
Language
English
Added to Catalog
March 03, 2015
Series
Universitext,
Contents
Part I Option Pricing: Derivatives
Introduction to Option Management
Basic Concepts of Probability Theory
Stochastic Processes in Discrete Time
Stochastic Integrals and Differential Equations
Black–Scholes Option Pricing Model
Binomial Model for European Options
American Options
Exotic Options
Interest Rates and Interest Rate Derivatives
Part II Statistical Models of Financial Time Series: Introduction – Definitions and Concepts
ARIMA Time Series Models
Time Series with Stochastic Volatility
Long Memory Time Series
Non-Parametric and Flexible Time Series Estimators
Part III Selected Financial Applications: Copulae and Value at Risk
Statistics of Extreme Risks
Neural Networks
Volatility Risk of Option Portfolios
Nonparametric Estimators for the Probability of Default
Credit Risk Management and Credit Derivatives
Appendix: Integration Theory
Portfolio Strategies.
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