Statistics of financial markets : an introduction /

000SB:332
F829

136759

Franke, Jurgen. Statistics of financial markets : an introduction / Jurgen Franke, Wolfgang Karl Hardle and Christian Matthias Hafner. - 4th ed. - Berlin : Springer-Verlag, 2015.
xix, 555 p. : illustrations (some color) ; 24 cm. - (Universitext ) Content notes : Part 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.-
10. Interest Rates and Interest Rate Derivatives.-

Part II Statistical Models of Financial Time Series:
11. Introduction: Definitions and Concepts.-
12. ARIMA Time Series Models.-
13. Time Series with Stochastic Volatility.-
14. Long Memory Time Series.-
15. Non-Parametric and Flexible Time Series Estimators.-

Part III Selected Financial Applications:
16. Value-at-Risk and backtesting.-
17. Copulae and Value at Risk.-
18. Statistics of Extreme Risks.-
19. Neural Networks.-
20. Volatility Risk of Option Portfolios.-
21. Nonparametric Estimators for the Probability of Default.-
22. Credit Risk Management and Credit Derivatives.-
A. Technical appendix.-
References.-
Index. 9783642545382 * Economics. Statistics. Finance. * Hardle, Wolfgang Karl,Hafner, Christian Matthias, * Title * Series