Statistics of Financial Markets

An Introduction

Jurgen Franke, Wolfgang Härdle, Christian M. Hafner - Collection Universitext

424 pages, parution le 05/08/2004

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Résumé

Statistics of Financial Markets presents in a vivid yet concise style the necessary statistical and mathematical background for Financial Engineers and introduces to the main ideas in mathematical finance and financial statistics. Topics covered are, among others, option valuation, financial time series analysis, value-at-risk, copulas, and statistics of the extremes.

The underlying structure of the book, i.e. basic tools in mathematical finance, financial time series analysis and applications to given problems of financial markets, allows the book to be used as a basis for lectures, seminars and even crash courses on the topic.

A full set of transparencies can be downloaded using the registration card at the back of the book. The registration card also allows the use of the e-book version with links to world wide computing servers.

L'auteur - Jurgen Franke

DaimlerChrysler AG, Ulm, Germany

Sommaire

Option Pricing:
- Derivaties
- 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 and Interest Rate Derivatives.
Statistical Model of Financial Time Series:
- Introduction: Definitions and Concepts
- ARMA Time Series Models
- Time Series with Stochastic Volatility
- Nonparametric Concepts for Financial Time Series.
Selected Financial Applications:
- Valuing Options with Flexible Volatility Estimators
- Value-at-Risk and Backtesting
- Copulas and Value-at Risk
- Statistics of Extreme Risks
- Neural Networks
- Volatility Risk of Portfolios
- Nonparametric Estimators for the Probability of Defaulting.

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	Jurgen Franke, Wolfgang Härdle, Christian M. Hafner
Collection	Universitext
Parution	05/08/2004
Nb. de pages	424
Format	15,5 x 23,5
Couverture	Broché
Poids	675g
Intérieur	Noir et Blanc
EAN13	9783540216759