Statistics of Financial Markets: An Introduction (Universitext)

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.” 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. Derivatives -- Introduction To Option Management -- Basic Concepts Of Probability Theory -- Stochastic Processes In Discrete Time -- Stochastic Integrals And Differential Equations -- Black-scholes Option Pricing Model -- Binomial Model For European Options -- American Options -- Exotic Options -- Interest Rates And Interest Rate Derivatives -- Introduction : Definitions And Concepts -- Arima Time Series Models -- Time Series With Stochastic Volatility -- Long Memory Time Series -- Non-parametric And Flexible Time Series Estimators -- Value At Risk And Backtesting -- Copulae And Value At Risk -- Statistics Of Extreme Risks -- Neural Networks -- Volatility Risk Of Option Portfolios -- Non-parametric Estimators For The Probability Of Default -- Credit Risk Management. Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner. 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. Includes Bibliographical References (p. [575]-594) And Index. Front Matter....Pages i-xxii Front Matter....Pages 1-1 Derivatives....Pages 3-12 Introduction to Option Management....Pages 13-41 Basic Concepts of Probability Theory....Pages 43-53 Stochastic Processes in Discrete Time....Pages 55-65 Stochastic Integrals and Differential Equations....Pages 67-83 Black–Scholes Option Pricing Model....Pages 85-132 Binomial Model for European Options....Pages 133-144 American Options....Pages 145-158 Exotic Options....Pages 159-172 Interest Rates and Interest Rate Derivatives....Pages 173-212 Front Matter....Pages 213-213 Introduction: Definitions and Concepts....Pages 215-254 ARIMA Time Series Models....Pages 255-282 Time Series with Stochastic Volatility....Pages 283-342 Long Memory Time Series....Pages 343-365 Non-Parametric and Flexible Time Series Estimators....Pages 367-385 Front Matter....Pages 387-387 Value at Risk and Backtesting....Pages 389-404 Copulae and Value at Risk....Pages 405-446 Statistics of Extreme Risks....Pages 447-488 Neural Networks....Pages 489-517 Volatility Risk of Option Portfolios....Pages 519-533 Front Matter....Pages 387-387 Nonparametric Estimators for the Probability of Default....Pages 535-542 Credit Risk Management....Pages 543-560 Back Matter....Pages 561-599 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 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. Hardle 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." Practice makes perfect. Therefore the best method of mastering models is working with them. In this book we present a collection of exercises and solutions which can be helpful in the comprehension of Statistics of Financial Markets. The exercises illustrate the theory by discussing practical examples in detail. We provide computational solutions for the problems, which are all calculated using R and Matlab. The corresponding Quantlets - a name we give to these program codes - are provided in this book. They follow the name scheme SFSxyz123 and can be downloaded from the Springer homepage. We have sought to strike a balance between theoretical presentation and practical challenges. The book is divided into three main parts, in which we discuss option pricing, time series analysis and advanced quantitative statistical techniques in finance. Statistics of Financial Markets offers a vivid yet concise introduction to the growing field of statistical application in finance. Readers will learn the basic methods to evaluate option contracts, to analyse financial time series, and to manage risks making realistic assumptions of the market behaviour Book by Borak, Szymon, Hrdle, Wolfgang Karl, Lpez-Cabrera, Brenda