Statistics of Financial Markets / Universitext (PDF)
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Now in its fourth 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 of 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 given problems concerning financial markets, thus making the book the ideal basis for lectures, seminars and crash courses on the topic.
For this new edition the book has been updated and extensively revised and now includes several new aspects, e.g. new chapters on long memory models, copulae and CDO valuation. Practical exercises with solutions have also been added. Both R and Matlab Code, together with the data, can be downloaded from the book's product page and www.quantlet.de
Wolfgang Karl Härdle is the Ladislaus von Bortkievicz Professor of Statistics at the Humboldt-Universität zu Berlin and director of C.A.S.E. - the Centre for Applied Statistics and Economics and director of the CRC649 "Economic Risk" and also oft the IRTG 1792 "highdimensional nonstationary time series". He teaches quantitative finance and semiparametric statistical methods. His research focuses on dynamic factor models, multivariate statistics in finance and computational statistics. He is an elected ISI member and advisor to the Guanghua School of Management, Peking University.
Christian Matthias Hafner is a professor of econometrics at the Université Catholique de Louvain and President of the Louvain School of Statistics, Biostatistics and Actuarial Sciences (LSBA). His work is mainly concerned with applied non- and semiparametric statistics, time series analysis, volatility models, and financial econometrics.
- Autoren: Jürgen Franke , Wolfgang Karl Härdle , Christian Matthias Hafner
- 2015, 4th ed. 2015, 555 Seiten, Englisch
- Verlag: Springer-Verlag GmbH
- ISBN-10: 3642545394
- ISBN-13: 9783642545399
- Erscheinungsdatum: 02.02.2015
Abhängig von Bildschirmgrösse und eingestellter Schriftgrösse kann die Seitenzahl auf Ihrem Lesegerät variieren.
- Dateiformat: PDF
- Grösse: 15 MB
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- Vorlesefunktion
Yacine Aït-Sahalia, Otto Hack 1903 Professor of Finance and Economics, Princeton University
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