Coverart for item
The Resource Statistics of Financial Markets : An Introduction, by Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner, (electronic resource)

Statistics of Financial Markets : An Introduction, by Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner, (electronic resource)

Label
Statistics of Financial Markets : An Introduction
Title
Statistics of Financial Markets
Title remainder
An Introduction
Statement of responsibility
by Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
Creator
Contributor
Author
Subject
Language
eng
Summary
Now in its fifth edition, this book offers a detailed yet concise introduction to the growing field of statistical applications in finance. The reader will learn the basic methods for evaluating option contracts, analyzing financial time series, selecting portfolios and managing risks based on realistic assumptions about market behavior. The focus is both on the fundamentals of mathematical finance and financial time series analysis, and on applications to specific problems concerning financial markets, thus making the book the ideal basis for lectures, seminars and crash courses on the topic. All numerical calculations are transparent and reproducible using quantlets. For this new edition the book has been updated and extensively revised and now includes several new aspects such as neural networks, deep learning, and crypto-currencies. Both R and Matlab code, together with the data, can be downloaded from the book’s product page and the Quantlet platform. The Quantlet platform quantlet.de, quantlet.com, quantlet.org is an integrated QuantNet environment consisting of different types of statistics-related documents and program codes. Its goal is to promote reproducibility and offer a platform for sharing validated knowledge native to the social web. QuantNet and the corresponding Data-Driven Documents-based visualization allow readers to reproduce the tables, pictures and calculations inside this Springer book. “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.--
Member of
Assigning source
Provided by publisher
http://library.link/vocab/creatorName
Franke, Jürgen
Image bit depth
0
Literary form
non fiction
Nature of contents
dictionaries
http://library.link/vocab/relatedWorkOrContributorName
  • Härdle, Wolfgang Karl
  • Hafner, Christian Matthias
Series statement
  • Universitext,
  • Springer eBooks
  • Springer eBooks.
http://library.link/vocab/subjectName
  • Statistics
  • Finance
  • Financial engineering
  • Econometrics
  • Risk management
  • Macroeconomics
Label
Statistics of Financial Markets : An Introduction, by Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner, (electronic resource)
Link
https://link-springer-com.eui.idm.oclc.org/book/10.1007/978-3-030-13751-9
Instantiates
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
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
Control code
978-3-030-13751-9
Dimensions
unknown
Edition
5th ed. 2019.
Extent
1 online resource (XXXVI, 585 pages)
File format
multiple file formats
Form of item
  • online
  • electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9783030137519
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
337 illustrations, 288 illustrations in color.
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)1107989227
Label
Statistics of Financial Markets : An Introduction, by Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner, (electronic resource)
Link
https://link-springer-com.eui.idm.oclc.org/book/10.1007/978-3-030-13751-9
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
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
Control code
978-3-030-13751-9
Dimensions
unknown
Edition
5th ed. 2019.
Extent
1 online resource (XXXVI, 585 pages)
File format
multiple file formats
Form of item
  • online
  • electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9783030137519
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
337 illustrations, 288 illustrations in color.
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)1107989227

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