Statistics of Financial Markets An Introduction /

• Κύριοι συγγραφείς: Franke, Jürgen (Συγγραφέας), Härdle, Wolfgang Karl (Συγγραφέας), Hafner, Christian Matthias (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2015.
• Έκδοση: 4th ed. 2015.
• Σειρά: Universitext,
• Θέματα: Statistics.; Finance.; Economics, Mathematical.; Statistics for Business/Economics/Mathematical Finance/Insurance.; Quantitative Finance.; Finance, general.

Now in its fourth edition, this book offers a detailed yet concise introduction to the growing field of statistical applications in finance. The reader will learn the basic methods of evaluating option contracts, analyzing financial time series, selecting portfolios and managing risks based on reali...

Πίνακας περιεχομένων:

• Part I Option Pricing: Derivatives
• Introduction 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
• Interest Rates and Interest Rate Derivatives
• Part II Statistical Models of Financial Time Series: Introduction – Definitions and Concepts
• ARIMA Time Series Models
• Time Series with Stochastic Volatility
• Long Memory Time Series
• Non-Parametric and Flexible Time Series Estimators
• Part III Selected Financial Applications: 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 and Credit Derivatives
• Appendix: Integration Theory
• Portfolio Strategies.