The Resource Statistics of financial markets : an introduction, Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner

Statistics of financial markets : an introduction, Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner

Label
Statistics of financial markets : an introduction
Title
Statistics of financial markets
Title remainder
an introduction
Statement of responsibility
Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
Creator
Contributor
Subject
Language
eng
Summary
Provides a concise introduction to the basic methods of evaluating option contracts, analysing financial time series, selecting portfolios and managing risks making realistic assumptions of the market behviour. Focuses on both the fundamentals of mathematical finance and financial time series analysis and on applicaiton to given problems of financial markets -- Back cover
Member of
Cataloging source
NWU
Dewey number
  • 519.5024332
  • 332.01/5195
Illustrations
illustrations
Index
index present
Literary form
non fiction
Nature of contents
bibliography
Series statement
Universitext
Label
Statistics of financial markets : an introduction, Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
Publication
Note
This edition has been extensively revised and updated, and includes new chapters on: long memory models, copulae, interest rate derivatives, time series and the extreme value theory
Bibliography note
Includes bibliographical references (p. [575]-594) and index
http://library.link/vocab/branchCode
  • net
Contents
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 -- 10. Interest rates and interest rate derivatives -- 11. Introduction : definitions and concepts -- 12. ARIMA time series models -- 13. Time series with stochastic volatility -- 14. Long memory time series -- 15. Non-parametric and flexible time series estimators -- 16. Value at risk and backtesting -- 17. Copulae and value at risk -- 18. Statistics of extreme risks -- 19. Neural networks -- 20. Volatility risk of option portfolios -- 21. Non-parametric estimators for the probability of default -- 22. Credit risk management
Control code
000046690563
Dimensions
24 cm
Edition
3rd ed
Extent
xxii, 599 p.
Isbn
9783642165207
Other physical details
ill.
http://library.link/vocab/recordID
.b27160762
System control number
  • (OCoLC)704440442
  • springer3642165206

Library Locations

    • Deakin University Library - Geelong Waurn Ponds CampusBorrow it
      75 Pigdons Road, Waurn Ponds, Victoria, 3216, AU
      -38.195656 144.304955
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