Statistics of financial markets : an introduction /: an introduction. (2019)

• Record Type: Book
• Further Information: Note: Jürgen Franke, Wolfgang Härdle, Christian M. Hafner.
• Authors: Franke, Jürgen, 1952-; Härdle, Wolfgang; Hafner, Christian
• Contents: Preface to the Fith Edition.- 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.- Value at Risk and Backtesting.- Copulae and Value at Risk.- Statistics of Extreme Risks.- Neural Networks and Deep Learning.- Volatility Risk of Option Portfolios.- Nonparametric Estimators for the Probability of Default.- Credit Risk Management and Credit Derivatives.- Financial econometrics of Crypto-currencies.- A Technical Appendix.- Index.- Symbols and Notations.
• Edition: Fifth edition
• Publisher Details: Cham, Switzerland : Springer
• Publication Date: 2019
• Extent: 1 online resource (xxxvi, 585 pages), illustrations
• Subjects: 332.072/7; Finance -- Statistical methods; Finance -- Mathematical models; Electronic books; Statistics
• Languages: English
• ISBNs: 9783030137519; 3030137511
• Related ISBNs: 9783030137502
• Notes: Note: Includes bibliographical references (pages 405-419) and index.; Note: Online resource; title from PDF title page (SpringerLink, viewed July 12, 2019).
• 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.