Advertisement

Statistics of Financial Markets

An Introduction

  • Jürgen Franke
  • Wolfgang Karl Härdle
  • Christian Matthias Hafner

Part of the Universitext book series (UTX)

Table of contents

  1. Front Matter
    Pages i-xix
  2. Option Pricing

    1. Front Matter
      Pages 1-1
    2. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 3-10
    3. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 11-35
    4. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 37-47
    5. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 49-58
    6. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 59-74
    7. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 75-119
    8. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 121-131
    9. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 133-145
    10. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 147-159
    11. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 161-196
  3. Statistical Models of Financial Time Series

    1. Front Matter
      Pages 197-197
    2. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 199-235
    3. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 237-261
    4. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 263-316
    5. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 317-337
    6. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 339-356
  4. Selected Financial Applications

    1. Front Matter
      Pages 357-357
    2. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 359-372
    3. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 373-411
    4. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 413-449
    5. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 451-475
    6. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 477-489
    7. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 491-498
    8. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 499-522
  5. Back Matter
    Pages 523-555

About this book

Introduction

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

Keywords

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

Authors and affiliations

  • Jürgen Franke
    • 1
  • Wolfgang Karl Härdle
    • 2
  • Christian Matthias Hafner
    • 3
  1. 1.TU Kaiserslautern FB MathematikKaiserslauternGermany
  2. 2.Ladislaus von Bortkiewicz Chair of Statistics, C.A.S.E. Centre for Applied Statistics and Economics, School of Business and EconomicsHumboldt-Universität zu Berlin, Berlin, Germany and Sim Kee Boon Institute for Financial Economics, Singapore Management University, SingaporeBerlinGermany
  3. 3.Université Catholique de Louvain Inst. StatistiqueLeuven-la-NeuveBelgium

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-54539-9
  • Copyright Information Springer-Verlag Berlin Heidelberg 2015
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-642-54538-2
  • Online ISBN 978-3-642-54539-9
  • Series Print ISSN 0172-5939
  • Series Online ISSN 2191-6675
  • Buy this book on publisher's site