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Statistics of financial markets: an introduction

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Author(s): Professor Dr. Jürgen Franke, Professor Dr. Wolfgang K. Härdle, Professor Dr. Christian M. Hafner (auth.)
Series: Universitext
Edition: 2nd ed
Publisher: Springer Berlin Heidelberg
Year: 2008

Language: English
Pages: 525
City: Berlin
Tags: Statistics for Business/Economics/Mathematical Finance/Insurance; Quantitative Finance; Finance /Banking

Front Matter....Pages i-xxii
Front Matter....Pages 1-1
Derivatives....Pages 3-10
Introduction to Option Management....Pages 11-36
Basic Concepts of Probability Theory....Pages 37-45
Stochastic Processes in Discrete Time....Pages 47-56
Stochastic Integrals and Differential Equations....Pages 57-72
Black-Scholes Option Pricing Model....Pages 73-115
Binomial Model for European Options....Pages 117-127
American Options....Pages 129-141
Exotic Options....Pages 143-153
Models for the Interest Rate and Interest Rate Derivatives....Pages 155-161
Front Matter....Pages 163-163
Introduction: Definitions and Concepts....Pages 165-201
ARIMA Time Series Models....Pages 203-225
Time Series with Stochastic Volatility....Pages 227-278
Non-parametric Concepts for Financial Time Series....Pages 279-302
Front Matter....Pages 303-303
Pricing Options with Flexible Volatility Estimators....Pages 305-320
Value at Risk and Backtesting....Pages 321-332
Copulae and Value at Risk....Pages 333-369
Statistics of Extreme Risks....Pages 371-397
Neural Networks....Pages 399-427
Volatility Risk of Option Portfolios....Pages 429-441
Front Matter....Pages 303-303
Nonparametric Estimators for the Probability of Default....Pages 443-450
Credit Risk Management....Pages 451-466
Back Matter....Pages 467-505