Statistics of Financial Markets
Springer Berlin (Verlag)
978-3-642-54538-2 (ISBN)
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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
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 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.
"This book provides an excellent introduction to the tools from probability and statistics necessary to analyze financial data. Clearly written and accessible, it will be very useful to students and practitioners alike"
Yacine Aït-Sahalia, Otto Hack 1903 Professor of Finance and Economics, Princeton University
| Erscheint lt. Verlag | 11.2.2015 |
|---|---|
| Reihe/Serie | Universitext |
| Zusatzinfo | XIX, 555 p. 163 illus., 114 illus. in color. |
| Verlagsort | Berlin |
| Sprache | englisch |
| Maße | 155 x 235 mm |
| Gewicht | 900 g |
| Themenwelt | Mathematik / Informatik ► Mathematik ► Statistik |
| Wirtschaft ► Allgemeines / Lexika | |
| Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung | |
| Schlagworte | ARIMA • Copulae • credit risk • Discrete Time Dynamics • exotic options • Financial Time Series • Neural networks • Option Management • Option Portfolios • Probability Theroy • Risk and Backtesting • simulation techniques • Stochastic differential equations • stochastic integrals • Stochastic Processes |
| ISBN-10 | 3-642-54538-6 / 3642545386 |
| ISBN-13 | 978-3-642-54538-2 / 9783642545382 |
| Zustand | Neuware |
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