Universitext

Statistics of Financial Markets

An Introduction

Authors: Franke, Jürgen, Härdle, Wolfgang Karl, Hafner, Christian Matthias

  • 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
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  • ISBN 978-3-642-16521-4
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About this Textbook

Statistics of Financial Markets offers a vivid yet concise introduction to the growing field of statistical application in finance. The reader will learn the basic methods of evaluating option contracts, analysing financial time series, selecting portfolios and managing risks making realistic assumptions of the market behaviour. The focus is both on the fundamentals of mathematical finance and financial time series analysis and on applications to given problems of financial markets, thus making the book the ideal basis for lecturers, seminars and crash courses on the topic.

For the third edition the book has been updated and extensively revised. Several new aspects have been included: new chapters on long memory models, copulae and CDO valuation.

Practical exercises have been added, the solutions of which are provided in the book by S. Borak, W. Härdle and B. Lopez Cabrera (2010) ISBN 978-3-642-11133-4.

“Both R and Matlab Code, together with the data, can be downloaded by clicking on the Additional Information tab labeled “R and Matlab Code,” which you will find on the right-hand side of the webpage.”

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 Technology’, 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 a professor of statistics at the Humboldt-Universität zu Berlin and director of C.A.S.E. – the Centre for Applied Statistics and Economics.  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 and to National Central University, Taiwan.
Christian Matthias Hafner is a professor of econometrics and statistics at the Université Catholique de Louvain. His work is mainly concerned with the applications of nonlinear time series and volatility models to financial markets.

Reviews

From the reviews of the third edition:

“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 Ait-Sahalia, Otto Hack 1903 Professor of Finance and Economics, Princeton University

“This is a well-written book on statistical aspects of finance, which starts from definitions of basic financial instruments and then develops both old and latest models and methods … . There is a very good coverage of stochastic volatility through GARCH models, bringing out both its strength, and weakness in the non-stationary case. … Discussions of most models and their assessment are supported with real data. … the style of writing is clear, precise, and rigorous.” (Jayanta K. Ghosh, International Statistical Review, Vol. 80 (3), 2012)


Table of contents (22 chapters)

  • Derivatives

    Franke, Jürgen (et al.)

    Pages 3-12

  • Introduction to Option Management

    Franke, Jürgen (et al.)

    Pages 13-41

  • Basic Concepts of Probability Theory

    Franke, Jürgen (et al.)

    Pages 43-53

  • Stochastic Processes in Discrete Time

    Franke, Jürgen (et al.)

    Pages 55-65

  • Stochastic Integrals and Differential Equations

    Franke, Jürgen (et al.)

    Pages 67-83

Buy this book

eBook $79.99
price for USA (gross)
  • ISBN 978-3-642-16521-4
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
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Bibliographic Information

Bibliographic Information
Book Title
Statistics of Financial Markets
Book Subtitle
An Introduction
Authors
Series Title
Universitext
Copyright
2011
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-642-16521-4
DOI
10.1007/978-3-642-16521-4
Series ISSN
0172-5939
Edition Number
3
Number of Pages
XXII, 599
Number of Illustrations and Tables
135 b/w illustrations
Topics