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Economics - Econometrics / Statistics | Statistics of Financial Markets - An Introduction

Statistics of Financial Markets

An Introduction

Series: Universitext

Franke, Jürgen, Hafner, Christian Matthias

2004, XXIII, 425 p.


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  • Ideal basis for lectures, seminars, and crash courses on statistical applications in finance
  • Interactive approach using statistical software

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)

Content Level » Graduate

Keywords » Copulas - Estimator - Financial Engineering - GARCH - Mathematical Finance - Option Pricing - Statistics of Extremes - Stochastic Integrals - Stochastic Processes - Time series - Value at Risk - statistical model - statistics

Related subjects » Business, Economics & Finance - Econometrics / Statistics - Finance & Banking - Quantitative Finance

Table of contents 

Option Pricing: 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 and Interest Rate Derivatives. Statistical Model of Financial Time Series: Introduction: Definitions and Concepts.- ARMA Time Series Models.- Time Series with Stochastic Volatility.- Nonparametric Concepts for Financial Time Series. Selected Financial Applications: Valuing Options with Flexible Volatility Estimators.- Value-at-Risk and Backtesting.- Copulas and Value-at Risk.- Statistics of Extreme Risks.- Neural Networks.- Volatility Risk of Portfolios.- Nonparametric Estimators for the Probability of Defaulting.

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