Statistics of Financial Markets (eBook)

Szymon Borak received his Ph.D. in Quantitative Finance and Statistics from Humboldt-Universität zu Berlin in 2008. His research focused on dynamic semi-parametric factor models applied to implied volatility structures and energy markets. Currently he is working as a quant analyst on risk management of structured financial products.Wolfgang Karl Härdle is 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.Brenda López-Cabrera is Professor of Weather, Climate and Energy Analysis at Humboldt Universität zu Berlin and a researcher at CASE - Centre for Applied Statistics and Economics. She teaches courses on statistics of financial markets, statistical tools in finance and insurance, and advanced methods in quantitative finance. Her research interests are in applications within the field of statistical analysis of options, insurance and energy. Her focus is on economic risk of natural hazards, especially catastrophe bonds, weather and energy markets.

Part I Option Pricing: Derivatives.- Introduction to Option Management.- Basic Concepts of Probability Theory.- Stochastic Processes in Discrete Time.- Stochastic Integrals and Dierential 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.