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Statistics of Financial Markets

An Introduction

  • Jürgen Franke
  • Wolfgang Karl Härdle
  • Christian Matthias Hafner

Part of the Universitext book series (UTX)

Table of contents

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

    1. Front Matter
      Pages 1-1
    2. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 3-12
    3. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 13-41
    4. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 43-53
    5. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 55-65
    6. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 67-83
    7. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 85-132
    8. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 133-144
    9. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 145-158
    10. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 159-172
    11. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 173-212
  3. Statistical Models of Financial Time Series

    1. Front Matter
      Pages 213-213
    2. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 215-254
    3. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 255-282
    4. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 283-342
    5. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 343-365
    6. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 367-385
  4. Selected Financial Applications

    1. Front Matter
      Pages 387-387
    2. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 389-404
    3. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 405-446
    4. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 447-488
    5. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 489-517
    6. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 519-533
    7. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 535-542
    8. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
      Pages 543-560
  5. Back Matter
    Pages 561-599

About this book

Introduction

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.”

Keywords

ARIMA Differential Equations Discrete Time Financial Time Series Neural Networks Option Management Option Portfolios Probability Theroy Risk and Backtesting Stochastic Integrals Stochastic Processes

Authors and affiliations

  • Jürgen Franke
    • 1
  • Wolfgang Karl Härdle
    • 2
  • Christian Matthias Hafner
    • 3
  1. 1.FB MathematikTU KaiserslauternKaiserslauternGermany
  2. 2.L.v.Bortkiewicz Chair of Statistics, C.A.S.E. Centre f. Appl. Stat. & Econ.Humboldt-Universität zu BerlinBerlinGermany
  3. 3.Inst. StatistiqueUniversité Catholique de LouvainLeuven-la-NeuveBelgium

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