000			02241 a2200301 4500
001			136759
003			ISI Library, Kolkata
005			20230202020005.0
008			160415b xxu||||| |||| 00| 0 eng d
020			_a9783642545382
040			_aISI Library _beng
082	0	4	_a000SB:332 _223 _bF829
100	1		_aFranke, Jurgen.
245	1	0	_aStatistics of financial markets : _ban introduction / _cJurgen Franke, Wolfgang Karl Hardle and Christian Matthias Hafner.
250			_a4th ed
260			_aBerlin : _bSpringer-Verlag, _c2015.
300			_axix, 555 p. : _billustrations (some color) ; _c24 cm.
490	0		_aUniversitext
504			_aIncludes bibliographical references and index.
505	0		_aPart 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.
520			_aThis 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	_aEconomics.
650		0	_aStatistics.
650		0	_aFinance.
700	1		_aHardle, Wolfgang Karl, _eauthor
700	1		_aHafner, Christian Matthias, _eauthor
942			_2ddc _cBK _01
999			_c420484 _d420484