Statistics of Financial Markets: An Introduction
Jurgen Franke,Wolfgang Karl Hardle,Christian Matthias Hafner
Statistics of Financial Markets: An Introduction
Jurgen Franke,Wolfgang Karl Hardle,Christian Matthias Hafner
This title is printed to order. This book may have been self-published. If so, we cannot guarantee the quality of the content. In the main most books will have gone through the editing process however some may not. We therefore suggest that you be aware of this before ordering this book. If in doubt check either the author or publisher’s details as we are unable to accept any returns unless they are faulty. Please contact us if you have any questions.
Preface to the Fith Edition.- 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.- Value at Risk and Backtesting.- Copulae and Value at Risk.- Statistics of Extreme Risks.- Neural Networks and Deep Learning.- Volatility Risk of Option Portfolios.- Nonparametric Estimators for the Probability of Default.- Credit Risk Management and Credit Derivatives.- Financial econometrics of Crypto-currencies.- A Technical Appendix.- Index.- Symbols and Notations.
This item is not currently in-stock. It can be ordered online and is expected to ship in 7-14 days
Our stock data is updated periodically, and availability may change throughout the day for in-demand items. Please call the relevant shop for the most current stock information. Prices are subject to change without notice.
Sign in or become a Readings Member to add this title to a wishlist.