Advertisement

Statistics of Financial Markets

An Introduction

  • Jürgen Franke
  • Wolfgang Härdle
  • Christian M. Hafner
Textbook

Part of the Universitext book series (UTX)

Table of contents

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

    1. Front Matter
      Pages 1-1
    2. Jürgen Franke, Wolfgang Härdle, Christian M. Hafner
      Pages 3-10
    3. Jürgen Franke, Wolfgang Härdle, Christian M. Hafner
      Pages 11-31
    4. Jürgen Franke, Wolfgang Härdle, Christian M. Hafner
      Pages 33-42
    5. Jürgen Franke, Wolfgang Härdle, Christian M. Hafner
      Pages 43-52
    6. Jürgen Franke, Wolfgang Härdle, Christian M. Hafner
      Pages 53-65
    7. Jürgen Franke, Wolfgang Härdle, Christian M. Hafner
      Pages 67-93
    8. Jürgen Franke, Wolfgang Härdle, Christian M. Hafner
      Pages 95-105
    9. Jürgen Franke, Wolfgang Härdle, Christian M. Hafner
      Pages 107-119
    10. Jürgen Franke, Wolfgang Härdle, Christian M. Hafner
      Pages 121-133
  3. Statistical Model of Financial Time Series

    1. Front Matter
      Pages 135-135
    2. Jürgen Franke, Wolfgang Härdle, Christian M. Hafner
      Pages 137-173
    3. Jürgen Franke, Wolfgang Härdle, Christian M. Hafner
      Pages 175-197
    4. Jürgen Franke, Wolfgang Härdle, Christian M. Hafner
      Pages 199-241
    5. Jürgen Franke, Wolfgang Härdle, Christian M. Hafner
      Pages 243-266
  4. Selected Financial Applications

    1. Front Matter
      Pages 267-267
    2. Jürgen Franke, Wolfgang Härdle, Christian M. Hafner
      Pages 269-285
    3. Jürgen Franke, Wolfgang Härdle, Christian M. Hafner
      Pages 287-299
    4. Jürgen Franke, Wolfgang Härdle, Christian M. Hafner
      Pages 301-310
    5. Jürgen Franke, Wolfgang Härdle, Christian M. Hafner
      Pages 311-337
    6. Jürgen Franke, Wolfgang Härdle, Christian M. Hafner
      Pages 339-367
    7. Jürgen Franke, Wolfgang Härdle, Christian M. Hafner
      Pages 369-381
    8. Jürgen Franke, Wolfgang Härdle, Christian M. Hafner
      Pages 383-391
  5. Back Matter
    Pages 393-425

About this book

Introduction

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 assumptions of the market behaviour.

The focus is both on fundamentals of mathematical finance and financial time series analysis and on applications to given problems of financial markets, making the book the ideal basis for lectures, seminars and crash courses on the topic.

For the second edition the book has been updated and extensively revised. Several new aspects have been included, among others a chapter on credit risk management.

From the reviews of the first edition:

"The book starts … with five eye-catching pages that reproduce a student’s handwritten notes for the examination that is based on this book. … The material is well presented with a good balance between theoretical and applied aspects. … The book is an excellent demonstration of the power of stochastics … . The author’s goal is well achieved: this book can satisfy the needs of different groups of readers … . " (Jordan Stoyanov, Journal of the Royal Statistical Society, Vol. 168 (4), 2005)

Keywords

Copulas Estimator Financial Engineering GARCH Mathematical Finance Option Pricing Statistics of Extremes Stochastic Integrals Stochastic Processes Time series Value at Risk statistical model statistics

Authors and affiliations

  • Jürgen Franke
    • 1
  • Wolfgang Härdle
    • 2
  • Christian M. Hafner
    • 3
  1. 1.University of KaiserslauternKaiserslauternGermany
  2. 2.CASE-Center for Applied Statistics and EconomicsHumboldt-Universität zu BerlinBerlinGermany
  3. 3.Econometric Institute, Faculty of EconomicsErasmus University RotterdamRotterdamThe Netherlands

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-662-10026-4
  • Copyright Information Springer-Verlag Berlin Heidelberg 2004
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-540-21675-9
  • Online ISBN 978-3-662-10026-4
  • Series Print ISSN 0172-5939
  • Series Online ISSN 2191-6675
  • Buy this book on publisher's site
Industry Sectors
Biotechnology
Finance, Business & Banking
Consumer Packaged Goods