Statistics of financial markets : an introduction /: an introduction. (2015)

• Record Type: Book
• Further Information: Note: Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner.
• Authors: Franke, Jürgen, 1952-; Härdle, Wolfgang; Hafner, Christian
• Contents: Part I 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 -- Interest Rates and Interest Rate Derivatives -- Part II Statistical Models of Financial Time Series: Introduction? Definitions and Concepts -- ARIMA Time Series Models -- Time Series with Stochastic Volatility -- Long Memory Time Series -- Non-Parametric and Flexible Time Series Estimators -- Part III Selected Financial Applications: Copulae and Value at Risk -- Statistics of Extreme Risks -- Neural Networks -- Volatility Risk of Option Portfolios -- Nonparametric Estimators for the Probability of Default -- Credit Risk Management and Credit Derivatives -- Appendix: Integration Theory -- Portfolio Strategies.
• Edition: Fourth edition
• Publisher Details: Berlin : Springer
• Publication Date: 2015
• Extent: 1 online resource (xix, 555 pages), illustrations (some color)
• Subjects: 330.072/7; Finance -- Statistical methods; Finance -- Mathematical models; Finance -- Mathematical models; Finance -- Statistical methods; Mathematics; Physical Sciences & Mathematics; Mathematical Statistics; Statistics; Statistics for Business/Economics/Mathematical Finance/Insurance; Quantitative Finance; Finance, general; Electronic books
• Languages: English
• ISBNs: 9783642545399; 3642545394; 3642545386; 9783642545382
• Related ISBNs: 9783642545382
• Notes: Note: Includes bibliographical references and index.; Note: Online resource; title from PDF title page (SpringerLink, viewed February 12, 2015).
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.