Overview
- Revised edition presenting actualized research in financial statistics and econometrics
- Offers an introduction to the growing field of statistical applications in finance
- Includes option pricing, analysis of financial time series, portfolio selection and risk management
- Written with an interactive approach using statistical software
- Allows readers to "learn by doing" by directly applying the methods using statistical software
- Includes supplementary material: sn.pub/extras
Part of the book series: Universitext (UTX)
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Table of contents (22 chapters)
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Front Matter
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Option Pricing
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Front Matter
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Statistical Models of Financial Time Series
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Front Matter
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Selected Financial Applications
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Front Matter
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Keywords
About this book
Now in its fourth edition, this book offers a detailed yet concise introduction to the growing field of statistical applications in finance. The reader will learn the basic methods of evaluating option contracts, analyzing financial time series, selecting portfolios and managing risks based on realistic assumptions about market behavior. The focus is both on the fundamentals of mathematical finance and financial time series analysis, and on applications to given problems concerning financial markets, thus making the book the ideal basis for lectures, seminars and crash courses on the topic.
For this new edition the book has been updated and extensively revised and now includes several new aspects, e.g. new chapters on long memory models, copulae and CDO valuation. Practical exercises with solutions have also been added. Both R and Matlab Code, together with the data, can be downloaded from the book’s product page and www.quantlet.de
Reviews
“This book provides an excellent introduction to the tools from probability and statistics necessary to analyze financial data. Clearly written and accessible, it will be very useful to students and practitioners alike"
Yacine Aït-Sahalia, Otto Hack 1903 Professor of Finance and Economics, Princeton University
Authors and Affiliations
About the authors
Jürgen Franke is a professor of applied mathematical statistics at the University of Kaiserslautern, member of the graduate school ‘Mathematics as a Key Technologÿ' and since 2000 he has been an advisor to the Financial Mathematics Group of the Fraunhofer Institute for Industrial Mathematics, Kaiserslautern. His research focuses on nonlinear time series and nonparametric statistics with applications in financial time series and risk analysis.
Wolfgang Karl Härdle is the Ladislaus von Bortkievicz Professor of Statistics at the Humboldt-Universität zu Berlin and director of C.A.S.E. – the Centre for Applied Statistics and Economics and director of the CRC649 „Economic Risk“ and also oft the IRTG 1792 „highdimensional nonstationary time series“. He teaches quantitative finance and semiparametric statistical methods. His research focuses on dynamic factor models, multivariate statistics in finance and computational statistics. He is an elected ISI member and advisor to the Guanghua School of Management, Peking University.
Christian Matthias Hafner is a professor of econometrics at the Université Catholique de Louvain and President of the Louvain School of Statistics, Biostatistics and Actuarial Sciences (LSBA). His work is mainly concerned with applied non- and semiparametric statistics, time series analysis, volatility models, and financial econometrics.
Bibliographic Information
Book Title: Statistics of Financial Markets
Book Subtitle: An Introduction
Authors: Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
Series Title: Universitext
DOI: https://doi.org/10.1007/978-3-642-54539-9
Publisher: Springer Berlin, Heidelberg
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer-Verlag GmbH Germany, part of Springer Nature 2015
eBook ISBN: 978-3-642-54539-9Published: 02 February 2015
Series ISSN: 0172-5939
Series E-ISSN: 2191-6675
Edition Number: 4
Number of Pages: XIX, 555
Number of Illustrations: 49 b/w illustrations, 114 illustrations in colour
Topics: Statistics for Business, Management, Economics, Finance, Insurance, Quantitative Finance, Finance, general