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＜電子ブック＞
Statistics of Financial Markets : An Introduction / by Jürgen Franke, Christian Matthias Hafner
(Universitext. ISSN:21916675)

版	1st ed. 2004.
出版者	(Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer)
出版年	2004
本文言語	英語
大きさ	XXIII, 425 p : online resource
著者標目	*Franke, Jürgen author Hafner, Christian Matthias author SpringerLink (Online service)
件　名	LCSH:Econometrics LCSH:Statistics  LCSH:Social sciences -- Mathematics  全ての件名で検索 LCSH:Finance FREE:Econometrics FREE:Statistics in Business, Management, Economics, Finance, Insurance FREE:Mathematics in Business, Economics and Finance FREE:Financial Economics
一般注記	I Option Pricing -- 1 Derivatives -- 2 Introduction to Option Management -- 3 Basic Concepts of Probability Theory -- 4 Stochastic Processes in Discrete Time -- 5 Stochastic Integrals and Differential Equations -- 6 Black—Scholes Option Pricing Model -- 7 Binomial Model for European Options -- 8 American Options -- 9 Exotic Options and Interest Rate Derivatives -- II Statistical Model of Financial Time Series -- 10 Introduction: Definitions and Concepts -- 11 ARIMA Time Series Models -- 12 Time Series with Stochastic Volatility -- 13 Non-parametric Concepts for Financial Time Series -- III Selected Financial Applications -- 14 Valuing Options with Flexible Volatility Estimators -- 15 Value at Risk and Backtesting -- 16 Copulas and Value-at-Risk -- 17 Statistics of Extreme Risks -- 18 Neural Networks -- 19 Volatility Risk of Option Portfolios -- 20 Nonparametric Estimators for the Probability of Default -- A Technical Appendix -- A.1 Integration Theory -- A.2 Portfolio Strategies 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) HTTP:URL=https://doi.org/10.1007/978-3-662-10026-4

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