Coverart for item
The Resource Statistics of financial markets : an introduction, Jürgen Franke, Wolfgang K. Härdle, Christian M. Hafner

Statistics of financial markets : an introduction, Jürgen Franke, Wolfgang K. Härdle, Christian M. Hafner

Label
Statistics of financial markets : an introduction
Title
Statistics of financial markets
Title remainder
an introduction
Statement of responsibility
Jürgen Franke, Wolfgang K. Härdle, Christian M. Hafner
Creator
Contributor
Subject
Language
eng
Summary
"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."--Jacket
Member of
Cataloging source
GW5XE
http://library.link/vocab/creatorDate
1952-
http://library.link/vocab/creatorName
Franke, Jürgen
Dewey number
332.01/5195
Illustrations
illustrations
Index
index present
LC call number
HG176.5
LC item number
.F73 2008eb
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
  • Härdle, Wolfgang
  • Hafner, Christian
Series statement
Universitext
http://library.link/vocab/subjectName
  • Finance
  • Finance
  • Finance
  • Finance
  • Finance
  • Finance
Label
Statistics of financial markets : an introduction, Jürgen Franke, Wolfgang K. Härdle, Christian M. Hafner
Instantiates
Publication
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
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 -- 10. Models for the Interest Rate and Interest Rate Derivatives -- II. Statistical Models of Financial Time Series -- 11. Introduction: Definitions and Concepts -- 12. ARIMA Time Series Models -- 13. Time Series with Stochastic Volatility -- 14. Non-parametric Concepts for Financial Time Series -- III. Selected Financial Applications -- 15. Pricing Options with Flexible Volatility 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. Nonparametric Estimators for the Probability of Default -- 22. Credit Risk Management -- A. Technical Appendix -- A.1. Integration Theory -- A.2. Portfolio Strategies
Control code
233973641
Dimensions
unknown
Edition
2nd ed.
Extent
1 online resource (xxii, 501 pages)
Form of item
online
Isbn
9783540762720
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-540-76272-0
Other physical details
illustrations.
http://library.link/vocab/ext/overdrive/overdriveId
978-3-540-76269-0
Specific material designation
remote
System control number
(OCoLC)233973641
Label
Statistics of financial markets : an introduction, Jürgen Franke, Wolfgang K. Härdle, Christian M. Hafner
Publication
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
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 -- 10. Models for the Interest Rate and Interest Rate Derivatives -- II. Statistical Models of Financial Time Series -- 11. Introduction: Definitions and Concepts -- 12. ARIMA Time Series Models -- 13. Time Series with Stochastic Volatility -- 14. Non-parametric Concepts for Financial Time Series -- III. Selected Financial Applications -- 15. Pricing Options with Flexible Volatility 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. Nonparametric Estimators for the Probability of Default -- 22. Credit Risk Management -- A. Technical Appendix -- A.1. Integration Theory -- A.2. Portfolio Strategies
Control code
233973641
Dimensions
unknown
Edition
2nd ed.
Extent
1 online resource (xxii, 501 pages)
Form of item
online
Isbn
9783540762720
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-540-76272-0
Other physical details
illustrations.
http://library.link/vocab/ext/overdrive/overdriveId
978-3-540-76269-0
Specific material designation
remote
System control number
(OCoLC)233973641

Library Locations

    • Ellis LibraryBorrow it
      1020 Lowry Street, Columbia, MO, 65201, US
      38.944491 -92.326012
Processing Feedback ...