Statistics of Financial Markets An Introduction 4th edition by Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner ISBN 3030137503 978-3030137502

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ISBN 10: 3030137503
ISBN 13:  978-3030137502
Author: Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner 

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

Statistics of Financial Markets An Introduction 4th Table of contents:

Part I. Option Pricing

1. Derivatives

2. Introduction to Option Management

3. Basic Concepts of Probability Theory

4. Stochastic Processes in Discrete Time

5. Stochastic Integrals and Differential Equations

6. Black–Scholes Option Pricing Model

7. Binomial Model for European Options

8. American Options

9. Exotic Options

10. Interest Rates and Interest Rate Derivatives

Part II. Statistical Models of Financial Time Series

11. Introduction: Definitions and Concepts

12. ARIMA Time Series Models

13. Time Series with Stochastic Volatility

14. Long Memory Time Series

15. Non-Parametric and Flexible Time Series Estimators

Part III. Selected Financial Applications

16. Value at Risk and Backtesting

17. Copulae and Value-at-Risk

18. Statistics of Extreme Risks

19. Neural Networks and Deep Learning

20. Volatility Risk of Option Portfolios

21. Nonparametric Estimators for the Probability of Default

22. Credit Risk Management and Credit Derivatives

23. Financial Econometrics of Cryptocurrencies

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Tags: Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner, Financial Markets, An Introduction