000 03879nam a22005535i 4500
001 978-3-540-76272-0
003 DE-He213
005 20181204133002.0
007 cr nn 008mamaa
008 100301s2008 gw | s |||| 0|eng d
020 _a9783540762720
_9978-3-540-76272-0
024 7 _a10.1007/978-3-540-76272-0
_2doi
040 _aISI Library, Kolkata
050 4 _aHB139-141
072 7 _aKCH
_2bicssc
072 7 _aBUS021000
_2bisacsh
072 7 _aKCH
_2thema
082 0 4 _a330.015195
_223
100 1 _aFranke, Jürgen.
_eauthor.
_4aut
_4http://id.loc.gov/vocabulary/relators/aut
245 1 0 _aStatistics of Financial Markets
_h[electronic resource] :
_bAn Introduction /
_cby Jürgen Franke, Wolfgang K. Härdle, Christian M. Hafner.
250 _aSecond Edition.
264 1 _aBerlin, Heidelberg :
_bSpringer Berlin Heidelberg,
_c2008.
300 _aXXII, 502 p.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
490 1 _aUniversitext,
_x0172-5939
505 0 _aOption Pricing -- Derivatives -- to Option Management -- Basic Concepts of Probability Theory -- Stochastic Processes in Discrete Time -- Stochastic Integrals and Differential Equations -- Black-Scholes Option Pricing Model -- Binomial Model for European Options -- American Options -- Exotic Options -- Models for the Interest Rate and Interest Rate Derivatives -- Statistical Models of Financial Time Series -- Introduction: Definitions and Concepts -- ARIMA Time Series Models -- Time Series with Stochastic Volatility -- Non-parametric Concepts for Financial Time Series -- Selected Financial Applications -- Pricing Options with Flexible Volatility Estimators -- Value at Risk and Backtesting -- Copulae and Value at Risk -- Statistics of Extreme Risks -- Neural Networks -- Volatility Risk of Option Portfolios -- Nonparametric Estimators for the Probability of Default -- Credit Risk Management.
520 _aStatistics of Financial Markets offers a vivid yet concise introduction to the growing field of statistical applications in finance. The reader will learn the basic methods to evaluate option contracts, to analyse financial time series, to select portfolios and manage risks making realistic assumptions of the market behaviour. The focus is both on fundamentals of mathematical finance and financial time series analysis and on applications to given problems of financial markets, making the book the ideal basis for lectures, seminars and crash courses on the topic. For the second edition the book has been updated and extensively revised. Several new aspects have been included, among others a chapter on credit risk management.
650 0 _aEconometrics.
650 0 _aStatistics.
650 0 _aFinance.
650 1 4 _aEconometrics.
_0http://scigraph.springernature.com/things/product-market-codes/W29010
650 2 4 _aStatistics for Business/Economics/Mathematical Finance/Insurance.
_0http://scigraph.springernature.com/things/product-market-codes/S17010
650 2 4 _aQuantitative Finance.
_0http://scigraph.springernature.com/things/product-market-codes/M13062
650 2 4 _aFinance, general.
_0http://scigraph.springernature.com/things/product-market-codes/600000
700 1 _aHärdle, Wolfgang K.
_eauthor.
_4aut
_4http://id.loc.gov/vocabulary/relators/aut
700 1 _aHafner, Christian M.
_eauthor.
_4aut
_4http://id.loc.gov/vocabulary/relators/aut
710 2 _aSpringerLink (Online service)
773 0 _tSpringer eBooks
776 0 8 _iPrinted edition:
_z9783540845430
776 0 8 _iPrinted edition:
_z9783540762690
830 0 _aUniversitext,
_x0172-5939
856 4 0 _uhttps://doi.org/10.1007/978-3-540-76272-0
912 _aZDB-2-SMA
942 _cEB
950 _aMathematics and Statistics (Springer-11649)
999 _c425839
_d425839