Overview
- Ideal basis for lectures, seminars and crash courses on statistical applications in finance
- Interactive approach 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
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.
Reviews
From the reviews:
"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 … . this book can, and I expect it will, be successfully used … . The variety of interrelated topics … students as well as for their teachers." (Jordan Stoyanov, Journal of the Royal Statistical Society, Vol. 168 (4), 2005)
"This book provides a statistical approach to the theoretical and practical issues relating to stock trading. Written by three specialists in closely related fields, it is highly useful for anyone interested in the mathematical and statistical aspects of finance … . Its structure highlights a logical link … thus presenting itself as a good reference not only for students and lecturers but also for researchers – in particular those keenly interested in the dynamics of the stock market. It provides a step forward towards … ." (Kassim S. Mwitondi, Journal of Applied Statistics, Vol. 32 (4), 2005)
"This book, a textbook as a matter of fact, deals with some of the statistical techniques which are most actively used in the analysis of financial time series … . These are the lecture notes of a course on the subject, which have been carefully edited, and presented in book format. As such, it is a good textbook: lots of insights, careful presentations, ordered introduction." (José Lúis Fernandez Perez, Zentralblatt MATH, Vol. 1059 (10), 2005)
"This textbook presents an introduction to financial mathematics for a graduate level course. The text briefly introduces the concepts of probability theory … . The book could be used for teaching a post-graduate (honours andmasters level), course in financial mathematics." (Gary D Sharp, South African Statistical Journal, March 2005)
From the reviews of the second edition:
"This book stand its numerous well-chosen examples, sometimes insightful remarks, and an abundance of subjects that are important in the area of finance. … All in all this book is useful as collateral reading, and in the hands of an experienced lecturer this book could add to the success of his course." (Johannes W. Nieuwenhuis, Zentralblatt MATH, Vol. 1146, 2008)
"Distinguishing itself from textbooks with similar titles, the text by Franke et al. also gives an introduction into the theory of option pricing, arbitrage, interest rates and interest rate derivatives, value at risk and credit risk management. … It also includes material on exotic options (incl. Asian options, look-back options, Cliquet options) as well as American options, which … make this book a good candidate for a fully integrated course text for a program in financial mathematics or financial statistics." (Christian-Oliver Ewald, Mathematical Reviews, Issue 2009 k)
Authors and Affiliations
Bibliographic Information
Book Title: Statistics of Financial Markets
Book Subtitle: An Introduction
Authors: Jürgen Franke, Wolfgang K. Härdle, Christian M. Hafner
Series Title: Universitext
DOI: https://doi.org/10.1007/978-3-540-76272-0
Publisher: Springer Berlin, Heidelberg
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer-Verlag Berlin Heidelberg 2008
eBook ISBN: 978-3-540-76272-0Published: 08 January 2008
Series ISSN: 0172-5939
Series E-ISSN: 2191-6675
Edition Number: 2
Number of Pages: XXII, 502
Topics: Econometrics, Statistics for Business, Management, Economics, Finance, Insurance, Quantitative Finance, Finance, general