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Statistics of financial markets : an introduction / Jurgen Franke, Wolfgang Karl Hardle and Christian Matthias Hafner.

By: Contributor(s): Series: UniversitextPublication details: Berlin : Springer-Verlag, 2015.Edition: 4th edDescription: xix, 555 p. : illustrations (some color) ; 24 cmISBN:
  • 9783642545382
Subject(s): DDC classification:
  • 000SB:332 23 F829
Contents:
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.
Summary: 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.
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Holdings
Item type Current library Call number Status Date due Barcode Item holds
Books ISI Library, Kolkata 000SB:332 F829 (Browse shelf(Opens below)) Available 136759
Total holds: 0

Includes bibliographical references and index.

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.

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.

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