Statistics of Financial Markets

Wolfgang Karl Härdle is a Professor of Statistics at the Humboldt-Universität zu Berlin and the Director of CASE the Centre for Applied Statistics and Economics. He teaches quantitative finance and semi-parametric statistical methods. His research focuses on dynamic factor models, multivariate statistics in finance and computational statistics. He is an elected member of the ISI and an advisor to the Guanghua School of Management, Peking University and to National Central University, Taiwan.

Part I Option Pricing: Derivatives.- Introduction to Option Management.- Basic Concepts of Probability Theory.- Stochastic Processes in Discrete Time.- Stochastic Integrals and Di
erential Equations.- Black-Scholes Option Pricing Model.- Binomial Model for European Options.- American Options.- Models for the Interest Rate and Interest Rate Derivatives.- Part II Statistical Model of Financial Time Series: Financial Time Series Models.- ARIMA Time Series Models.- Time Series with Stochastic Volatility.- Part III Selected Financial Applications: Value at Risk and Backtesting.- Copulae and Value at Risk.- Statistics of Extreme Risks.- Volatility Risk of Option Portfolios.- Portfolio Credit Risk.- References.

From the book reviews:

"This edition in total presents 18 chapters, four pages of 'Symbols and Notations,' and another four and a half pages are devoted to providing definitions to commonly used terminology. ... this book is a useful supplement for students, professionals, and practitioners in the area of financial statistics and related fields. ... All the chapters of the book are carefully structured with natural flow. It is an interesting and useful collection of exercises, teaching theory by solving the related problems." (Technometrics, Vol. 55 (2), May, 2013)