Statistics of Financial Markets An Introduction
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 assumpti...
| Main Authors: | , , |
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| Format: | eBook |
| Language: | English |
| Published: |
Berlin, Heidelberg
Springer Berlin Heidelberg
2008, 2008
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| Edition: | 2nd ed. 2008 |
| Series: | Universitext
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| Subjects: | |
| Online Access: | |
| Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
Table of Contents:
- Option Pricing
- Derivatives
- 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
- Models for the Interest Rate and Interest Rate Derivatives
- Statistical Models of Financial Time Series
- Introduction: Definitions and Concepts
- ARIMA Time Series Models
- Time Series with Stochastic Volatility
- Non-parametric Concepts for Financial Time Series
- Selected Financial Applications
- Pricing Options with Flexible Volatility Estimators
- Value at Risk and Backtesting
- 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