Franke / Hafner Statistics of Financial Markets
Erscheinungsjahr 2013
ISBN: 978-3-662-10026-4
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark
An Introduction
E-Book, Englisch, 425 Seiten, Web PDF
Reihe: Universitext
ISBN: 978-3-662-10026-4
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark
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.
Zielgruppe
Graduate
Autoren/Hrsg.
Weitere Infos & Material
I Option Pricing.- 1 Derivatives.- 2 Introduction to Option Management.- 3 Basic Concepts of Probability Theory.- 4 Stochastic Processes in Discrete Time.- 5 Stochastic Integrals and Differential Equations.- 6 Black—Scholes Option Pricing Model.- 7 Binomial Model for European Options.- 8 American Options.- 9 Exotic Options and Interest Rate Derivatives.- II Statistical Model of Financial Time Series.- 10 Introduction: Definitions and Concepts.- 11 ARIMA Time Series Models.- 12 Time Series with Stochastic Volatility.- 13 Non-parametric Concepts for Financial Time Series.- III Selected Financial Applications.- 14 Valuing Options with Flexible Volatility Estimators.- 15 Value at Risk and Backtesting.- 16 Copulas and Value-at-Risk.- 17 Statistics of Extreme Risks.- 18 Neural Networks.- 19 Volatility Risk of Option Portfolios.- 20 Nonparametric Estimators for the Probability of Default.- A Technical Appendix.- A.1 Integration Theory.- A.2 Portfolio Strategies.
