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
Resource Information
The item Statistics of financial markets : an introduction, Jürgen Franke, Wolfgang K. Härdle, Christian M. Hafner represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.This item is available to borrow from 1 library branch.
Resource Information
The item Statistics of financial markets : an introduction, Jürgen Franke, Wolfgang K. Härdle, Christian M. Hafner represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.
This item is available to borrow from 1 library branch.
- 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
- Language
- eng
- Edition
- 2nd ed.
- Extent
- 1 online resource (xxii, 501 pages)
- 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
- Isbn
- 9783540762690
- 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
- 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
- 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
- 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
- 9783540762690
- 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
- 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
- 9783540762690
- 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
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<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.library.missouri.edu/portal/Statistics-of-financial-markets--an/hxaFUxJnYhM/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.missouri.edu/portal/Statistics-of-financial-markets--an/hxaFUxJnYhM/">Statistics of financial markets : an introduction, Jürgen Franke, Wolfgang K. Härdle, Christian M. Hafner</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.missouri.edu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.missouri.edu/">University of Missouri Libraries</a></span></span></span></span></div>
