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Statistics of Financial Markets

An Introduction
 Taschenbuch
Besorgungstitel | Lieferzeit:3-5 Tage I
ISBN-13:
9783642545382
Einband:
Taschenbuch
Seiten:
555
Autor:
Jürgen Franke
Gewicht:
900 g
Format:
237x156x29 mm
Serie:
Universitext
Sprache:
Englisch
Beschreibung:

This book introduces statistical application in finance, with methods of evaluating option contracts, analyzing financial time series, choosing portfolios and managing risks. The 4th edition offers new chapters on long memory models, copulae and CDO valuation.
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.
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 quantlet.de

This book introduces statistical application in finance, with methods of evaluating option contracts, analyzing financial time series, choosing portfolios and managing risks. The 4th edition offers new chapters on long memory models, copulae and CDO valuation.
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.
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 quantlet.de
Autor: Jürgen Franke, Wolfgang Karl Härdle, Christian M. Hafner
Jürgen Franke is a professor of applied mathematical statistics at the University of Kaiserslautern, member of the graduate school 'Mathematics as a Key Technologÿ' 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 the Ladislaus von Bortkievicz Professor of Statistics at the Humboldt-Universität zu Berlin and director of C.A.S.E. - the Centre for Applied Statistics and Economics and director of the CRC649 "Economic Risk" and also oft the IRTG 1792 "highdimensional nonstationary time series". 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.



Christian Matthias Hafner is a professor of econometrics at the Université Catholique de Louvain and President of the Louvain School of Statistics, Biostatistics and Actuarial Sciences (LSBA). His work is mainly concerned with applied non- and semiparametric statistics, time series analysis, volatility models, and financial econometrics.
Autor: Jürgen Franke
ISBN-13:: 9783642545382
ISBN: 3642545386
Verlag: Springer, Berlin, Springer
Gewicht: 900g
Seiten: 555
Sprache: Englisch
Auflage 4. Aufl.
Sonstiges: Taschenbuch, 237x156x29 mm, 49 SW-Abb., 114 Farbabb.