Ebook: Statistics of Financial Markets: An Introduction
- Tags: Statistics for Business/Economics/Mathematical Finance/Insurance, Quantitative Finance, Finance /Banking
- Series: Universitext
- Year: 2011
- Publisher: Springer Berlin Heidelberg
- Edition: 3rd ed.
- Language: English
- pdf
Statistics of Financial Markets offers a vivid yet concise introduction to the growing field of statistical application in finance. The reader will learn the basic methods of evaluating option contracts, analysing financial time series, selecting portfolios and managing risks making realistic assumptions of the market behaviour. The focus is both on the fundamentals of mathematical finance and financial time series analysis and on applications to given problems of financial markets, thus making the book the ideal basis for lecturers, seminars and crash courses on the topic.
For the third edition the book has been updated and extensively revised. Several new aspects have been included: new chapters on long memory models, copulae and CDO valuation.
Practical exercises have been added, the solutions of which are provided in the book by S. Borak, W. Härdle and B. Lopez Cabrera (2010) ISBN 978-3-642-11133-4.
“Both R and Matlab Code, together with the data, can be downloaded by clicking on the Additional Information tab labeled “R and Matlab Code,” which you will find on the right-hand side of the webpage.”
Statistics of Financial Markets offers a vivid yet concise introduction to the growing field of statistical application in finance. The reader will learn the basic methods of evaluating option contracts, analysing financial time series, selecting portfolios and managing risks making realistic assumptions of the market behaviour. The focus is both on the fundamentals of mathematical finance and financial time series analysis and on applications to given problems of financial markets, thus making the book the ideal basis for lecturers, seminars and crash courses on the topic.
For the third edition the book has been updated and extensively revised. Several new aspects have been included: new chapters on long memory models, copulae and CDO valuation.
Practical exercises have been added, the solutions of which are provided in the book by S. Borak, W. H?rdle and B. Lopez Cabrera (2010) ISBN 978-3-642-11133-4.
“Both R and Matlab Code, together with the data, can be downloaded by clicking on the Additional Information tab labeled “R and Matlab Code,” which you will find on the right-hand side of the webpage.”
Statistics of Financial Markets offers a vivid yet concise introduction to the growing field of statistical application in finance. The reader will learn the basic methods of evaluating option contracts, analysing financial time series, selecting portfolios and managing risks making realistic assumptions of the market behaviour. The focus is both on the fundamentals of mathematical finance and financial time series analysis and on applications to given problems of financial markets, thus making the book the ideal basis for lecturers, seminars and crash courses on the topic.
For the third edition the book has been updated and extensively revised. Several new aspects have been included: new chapters on long memory models, copulae and CDO valuation.
Practical exercises have been added, the solutions of which are provided in the book by S. Borak, W. H?rdle and B. Lopez Cabrera (2010) ISBN 978-3-642-11133-4.
“Both R and Matlab Code, together with the data, can be downloaded by clicking on the Additional Information tab labeled “R and Matlab Code,” which you will find on the right-hand side of the webpage.”
Content:
Front Matter....Pages i-xxii
Front Matter....Pages 1-1
Derivatives....Pages 3-12
Introduction to Option Management....Pages 13-41
Basic Concepts of Probability Theory....Pages 43-53
Stochastic Processes in Discrete Time....Pages 55-65
Stochastic Integrals and Differential Equations....Pages 67-83
Black–Scholes Option Pricing Model....Pages 85-132
Binomial Model for European Options....Pages 133-144
American Options....Pages 145-158
Exotic Options....Pages 159-172
Interest Rates and Interest Rate Derivatives....Pages 173-212
Front Matter....Pages 213-213
Introduction: Definitions and Concepts....Pages 215-254
ARIMA Time Series Models....Pages 255-282
Time Series with Stochastic Volatility....Pages 283-342
Long Memory Time Series....Pages 343-365
Non-Parametric and Flexible Time Series Estimators....Pages 367-385
Front Matter....Pages 387-387
Value at Risk and Backtesting....Pages 389-404
Copulae and Value at Risk....Pages 405-446
Statistics of Extreme Risks....Pages 447-488
Neural Networks....Pages 489-517
Volatility Risk of Option Portfolios....Pages 519-533
Front Matter....Pages 387-387
Nonparametric Estimators for the Probability of Default....Pages 535-542
Credit Risk Management....Pages 543-560
Back Matter....Pages 561-599
Statistics of Financial Markets offers a vivid yet concise introduction to the growing field of statistical application in finance. The reader will learn the basic methods of evaluating option contracts, analysing financial time series, selecting portfolios and managing risks making realistic assumptions of the market behaviour. The focus is both on the fundamentals of mathematical finance and financial time series analysis and on applications to given problems of financial markets, thus making the book the ideal basis for lecturers, seminars and crash courses on the topic.
For the third edition the book has been updated and extensively revised. Several new aspects have been included: new chapters on long memory models, copulae and CDO valuation.
Practical exercises have been added, the solutions of which are provided in the book by S. Borak, W. H?rdle and B. Lopez Cabrera (2010) ISBN 978-3-642-11133-4.
“Both R and Matlab Code, together with the data, can be downloaded by clicking on the Additional Information tab labeled “R and Matlab Code,” which you will find on the right-hand side of the webpage.”
Content:
Front Matter....Pages i-xxii
Front Matter....Pages 1-1
Derivatives....Pages 3-12
Introduction to Option Management....Pages 13-41
Basic Concepts of Probability Theory....Pages 43-53
Stochastic Processes in Discrete Time....Pages 55-65
Stochastic Integrals and Differential Equations....Pages 67-83
Black–Scholes Option Pricing Model....Pages 85-132
Binomial Model for European Options....Pages 133-144
American Options....Pages 145-158
Exotic Options....Pages 159-172
Interest Rates and Interest Rate Derivatives....Pages 173-212
Front Matter....Pages 213-213
Introduction: Definitions and Concepts....Pages 215-254
ARIMA Time Series Models....Pages 255-282
Time Series with Stochastic Volatility....Pages 283-342
Long Memory Time Series....Pages 343-365
Non-Parametric and Flexible Time Series Estimators....Pages 367-385
Front Matter....Pages 387-387
Value at Risk and Backtesting....Pages 389-404
Copulae and Value at Risk....Pages 405-446
Statistics of Extreme Risks....Pages 447-488
Neural Networks....Pages 489-517
Volatility Risk of Option Portfolios....Pages 519-533
Front Matter....Pages 387-387
Nonparametric Estimators for the Probability of Default....Pages 535-542
Credit Risk Management....Pages 543-560
Back Matter....Pages 561-599
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