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Statistics of Financial Markets

An Introduction

  • Jürgen Franke
  • Wolfgang Karl Härdle
  • Christian Matthias Hafner
Textbook

Part of the Universitext book series (UTX)

Table of contents

  1. Front Matter
    Pages i-xxxvi
  2. Option Pricing

    1. Front Matter
      Pages 1-1
    2. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 3-10
    3. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 11-35
    4. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 37-47
    5. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 49-58
    6. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 59-74
    7. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 75-118
    8. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 119-130
    9. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 131-143
    10. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 145-157
    11. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 159-195
  3. Statistical Models of Financial Time Series

    1. Front Matter
      Pages 197-197
    2. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 199-236
    3. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 237-262
    4. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 263-319
    5. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 321-342
    6. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 343-362
  4. Selected Financial Applications

    1. Front Matter
      Pages 363-363
    2. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 365-379
    3. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 381-420
    4. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 421-458
    5. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 459-495
    6. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 497-509
    7. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 511-518
    8. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 519-543
    9. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 545-568
  5. Back Matter
    Pages 569-585

About this book

Introduction

Now in its fifth 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 for evaluating option contracts, analyzing financial time series, selecting portfolios and managing risks based on realistic assumptions about market behavior. The focus is both on the fundamentals of mathematical finance and financial time series analysis, and on applications to specific problems concerning financial markets, thus making the book the ideal basis for lectures, seminars and crash courses on the topic. All numerical calculations are transparent and reproducible using quantlets.

For this new edition the book has been updated and extensively revised and now includes several new aspects such as neural networks, deep learning, and crypto-currencies. Both R and Matlab code, together with the data, can be downloaded from the book’s product page and the Quantlet platform.

The Quantlet platform quantlet.de, quantlet.com, quantlet.org is an integrated QuantNet environment consisting of different types of statistics-related documents and program codes. Its goal is to promote reproducibility and offer a platform for sharing validated knowledge native to the social web. QuantNet and the corresponding Data-Driven Documents-based visualization allow readers to reproduce the tables, pictures and calculations inside this Springer book.

This book provides an excellent introduction to the tools from probability and statistics necessary to analyze financial data. Clearly written and accessible, it will be very useful to students and practitioners alike.”

Yacine Ait-Sahalia, Otto Hack 1903 Professor of Finance and Economics, Princeton University

Keywords

Option Pricing Financial Time Series Copulae ARIMA Deep Learning Crypto-currencies Credit Risk Discrete Time Dynamics Exotic Options Neural Networks Option Management Option Portfolios Risk and Backtesting Simulation Techniques Stochastic Differential Equations Stochastic Integrals Stochastic Processes Probability Theroy Interest Rates

Authors and affiliations

  • Jürgen Franke
    • 1
  • Wolfgang Karl Härdle
    • 2
  • Christian Matthias Hafner
    • 3
  1. 1.Department of MathematicsTechnische Universität KaiserslauternKaiserslauternGermany
  2. 2.Ladislaus von Bortkiewicz Chair of StatisticsHumboldt-Universität BerlinBerlinGermany
  3. 3.Louvain Institute of Data Analysis and Modeling in Economics and StatisticsUCLouvainLouvain-la-NeuveBelgium

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-030-13751-9
  • Copyright Information Springer Nature Switzerland AG 2019
  • Publisher Name Springer, Cham
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-030-13750-2
  • Online ISBN 978-3-030-13751-9
  • Series Print ISSN 0172-5939
  • Series Online ISSN 2191-6675
  • Buy this book on publisher's site
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