Statistics of Financial Markets An Introduction /

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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 assumpti...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Franke, Jürgen (Autor), Härdle, Wolfgang Karl (Autor), Hafner, Christian Matthias (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2008.
Edición:2nd ed. 2008.
Colección:Universitext,
Temas:
Econometrics.
Statistics .
Social sciences-Mathematics.
Finance.
Statistics in Business, Management, Economics, Finance, Insurance.
Mathematics in Business, Economics and Finance.
Financial Economics.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • 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.

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