TY - GEN AU - Franke,Jurgen AU - Hardle,Wolfgang Karl AU - Hafner,Christian Matthias TI - Statistics of financial markets : : an introduction T2 - Universitext SN - 9783642545382 U1 - 000SB:332 23 PY - 2015/// CY - Berlin PB - Springer-Verlag KW - Economics KW - Statistics. KW - Finance. N1 - 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 N2 - 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 ER -