Statistics of Financial Markets
Springer Berlin (Verlag)
978-3-642-16520-7 (ISBN)
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Statistics of Financial Markets offers a vivid yet concise introduction to the growing field of statistical application in finance. The reader will learn the basic methods of evaluating option contracts, analysing financial time series, selecting portfolios and managing risks making realistic assumptions of the market behaviour. The focus is both on the fundamentals of mathematical finance and financial time series analysis and on applications to given problems of financial markets, thus making the book the ideal basis for lecturers, seminars and crash courses on the topic. For the third edition the book has been updated and extensively revised. Several new aspects have been included: new chapters on long memory models, copulae and CDO valuation.Practical exercises have been added, the solutions of which are provided in the book by S. Borak, W. Härdle and B. Lopez Cabrera (2010) ISBN 978-3-642-11133-4.“Both R and Matlab Code, together with the data, can be downloaded by clicking on the Additional Information tab labeled “R and Matlab Code,” which you will find on the right-hand side of the webpage.”
Jürgen Franke is a professor of applied mathematical statistics at the University of Kaiserslautern, member of the graduate school ‘Mathematics as a Key Technology’, and since 2000 he has been an advisor to the Financial Mathematics Group of the Fraunhofer Institute for Industrial Mathematics, Kaiserslautern. His research focuses on nonlinear time series and nonparametric statistics with applications in financial time series and risk analysis. Wolfgang Karl Härdle is a professor of statistics at the Humboldt-Universität zu Berlin and director of C.A.S.E. – the Centre for Applied Statistics and Economics. He teaches quantitative finance and semiparametric statistical methods. His research focuses on dynamic factor models, multivariate statistics in finance and computational statistics. He is an elected ISI member and advisor to the Guanghua School of Management, Peking University and to National Central University, Taiwan. Christian Matthias Hafner is a professor of econometrics and statistics at the Université Catholique de Louvain. His work is mainly concerned with the applications of nonlinear time series and volatility models to financial markets.
Option Pricing.- Statistical Models of Financial Time Series.- Selected Financial Applications.- Technical Appendix.- Appendix.- Frequently Used Notations.- Index.
| Erscheint lt. Verlag | 22.11.2010 |
|---|---|
| Reihe/Serie | Universitext |
| Zusatzinfo | XXII, 599 p. 135 illus. |
| Verlagsort | Berlin |
| Sprache | englisch |
| Maße | 155 x 235 mm |
| Gewicht | 905 g |
| Themenwelt | Mathematik / Informatik ► Mathematik ► Statistik |
| Wirtschaft ► Allgemeines / Lexika | |
| Schlagworte | ARIMA • Defferential Equations • Differential Equations • Discrete Time • Financial Time Series • Neural networks • Option Management • Option Portfolios • Probability Theroy • Risk and Backtesting • stochastic integrals • Stochastic Processes |
| ISBN-10 | 3-642-16520-6 / 3642165206 |
| ISBN-13 | 978-3-642-16520-7 / 9783642165207 |
| Zustand | Neuware |
| Informationen gemäß Produktsicherheitsverordnung (GPSR) | |
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