MARC details
| 000 -LEADER |
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| fixed length control field |
02241 a2200301 4500 |
| 001 - CONTROL NUMBER |
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| control field |
136759 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
ISI Library, Kolkata |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
|---|
| control field |
20230202020005.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
160415b xxu||||| |||| 00| 0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9783642545382 |
| 040 ## - CATALOGING SOURCE |
|---|
| Original cataloging agency |
ISI Library |
| Language of cataloging |
eng |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
|---|
| Classification number |
000SB:332 |
| Edition number |
23 |
| Item number |
F829 |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Franke, Jurgen. |
| 245 10 - TITLE STATEMENT |
|---|
| Title |
Statistics of financial markets : |
| Remainder of title |
an introduction / |
| Statement of responsibility, etc |
Jurgen Franke, Wolfgang Karl Hardle and Christian Matthias Hafner. |
| 250 ## - EDITION STATEMENT |
|---|
| Edition statement |
4th ed |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
|---|
| Place of publication, distribution, etc |
Berlin : |
| Name of publisher, distributor, etc |
Springer-Verlag, |
| Date of publication, distribution, etc |
2015. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
xix, 555 p. : |
| Other physical details |
illustrations (some color) ; |
| Dimensions |
24 cm. |
| 490 0# - SERIES STATEMENT |
|---|
| Series statement |
Universitext |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE |
|---|
| Bibliography, etc |
Includes bibliographical references and index. |
| 505 0# - FORMATTED CONTENTS NOTE |
|---|
| Formatted contents note |
Part I Option Pricing: <br/>1. Derivatives.- <br/>2. Introduction to Option Management.- <br/>3. Basic Concepts of Probability Theory.- <br/>4. Stochastic Processes in Discrete Time.- <br/>5. Stochastic Integrals and Differential Equations.- <br/>6. Black-Scholes Option Pricing Model.- <br/>7. Binomial Model for European Options.- <br/>8. American Options.- <br/>9. Exotic Options.- <br/>10. Interest Rates and Interest Rate Derivatives.- <br/><br/>Part II Statistical Models of Financial Time Series: <br/>11. Introduction: Definitions and Concepts.- <br/>12. ARIMA Time Series Models.- <br/>13. Time Series with Stochastic Volatility.- <br/>14. Long Memory Time Series.- <br/>15. Non-Parametric and Flexible Time Series Estimators.- <br/><br/>Part III Selected Financial Applications: <br/>16. Value-at-Risk and backtesting.-<br/>17. Copulae and Value at Risk.- <br/>18. Statistics of Extreme Risks.- <br/>19. Neural Networks.- <br/>20. Volatility Risk of Option Portfolios.- <br/>21. Nonparametric Estimators for the Probability of Default.- <br/>22. Credit Risk Management and Credit Derivatives.- <br/>A. Technical appendix.-<br/>References.-<br/>Index. |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc |
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. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Economics. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Statistics. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Finance. |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Hardle, Wolfgang Karl, |
| Relator term |
author |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Hafner, Christian Matthias, |
| Relator term |
author |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
Dewey Decimal Classification |
| Koha item type |
Books |
| Koha issues (borrowed), all copies |
1 |
