Statistics of financial markets an introduction - Franke, Jèurgen 1952-; Heardle, Wolfgang; Hafner, Christian (Berlin Springer, 2015)
Pt. 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 -- Pt. 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 -- Pt. III. Selected Financial Applications: 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 and Credit Derivatives -- Appendix: Integration Theory -- Portfolio Strategies.
Includes index.
Keywords: Finance -- Statistical methods; Finance -- Mathematical models; Economics -- Statistics; Banks and banking