rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Statistics of Financial Markets
    sub title: An Introduction
  name:
    name part: Franke, Jürgen.
    role:
      role term: creator
    role:
      role term: author.
  name:
    name part: Härdle, Wolfgang K.
    role:
      role term: author.
  name:
    name part: Hafner, Christian M.
    role:
      role term: author.
  name:
    name part: SpringerLink (Online service)
  type of resource: text
  origin info:
    place:
      place term: gw
    date issued: 2008
    edition: Second Edition.
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: electronic
    form: electronic resource
    reformatting quality: access
    form: remote
    extent: XXII, 502 p. online resource.
  abstract: Statistics 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.
  table of contents: Option 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.
  note: by Jürgen Franke, Wolfgang K. Härdle, Christian M. Hafner.
  subject:
    topic: Finance
  subject:
    topic: Economics, Mathematical
  subject:
    topic: Statistics
  subject:
    topic: Econometrics
  subject:
    topic: Economics
  subject:
    topic: Econometrics
  subject:
    topic: Statistics for Business/Economics/Mathematical Finance/Insurance
  subject:
    topic: Quantitative Finance
  subject:
    topic: Finance, general
  classification: HB139-141
  classification: 330.015195
  related item:
    title info:
      title: Springer eBooks
  related item:
    title info:
      title: Universitext
  identifier: 9783540762720
  identifier: http://dx.doi.org/10.1007/978-3-540-76272-0
  record info:
    record creation date: 100301
    record change date: 20151204161407.0
    record identifier: 978-3-540-76272-0