LEADER 05811nam 22007455 450 001 9910338254703321 005 20251116212621.0 010 $a3-030-13751-1 024 7 $a10.1007/978-3-030-13751-9 035 $a(CKB)4100000008410041 035 $a(DE-He213)978-3-030-13751-9 035 $a(MiAaPQ)EBC5921344 035 $a(PPN)269148507 035 $a(EXLCZ)994100000008410041 100 $a20190611d2019 u| 0 101 0 $aeng 135 $aurnn#008mamaa 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aStatistics of Financial Markets $eAn Introduction /$fby Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner 205 $a5th ed. 2019. 210 1$aCham :$cSpringer International Publishing :$cImprint: Springer,$d2019. 215 $a1 online resource (XXXVI, 585 p. 337 illus., 288 illus. in color.) 225 1 $aUniversitext,$x0172-5939 311 08$a3-030-13750-3 327 $aPreface 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. 330 $aNow in its fifth edition, this book offers a detailed yet concise introduction to the growing field of statistical applications in finance. The reader will learn the basic methods for evaluating option contracts, analyzing financial time series, selecting portfolios and managing risks based on realistic assumptions about market behavior. The focus is both on the fundamentals of mathematical finance and financial time series analysis, and on applications to specific problems concerning financial markets, thus making the book the ideal basis for lectures, seminars and crash courses on the topic. All numerical calculations are transparent and reproducible using quantlets. For this new edition the book has been updated and extensively revised and now includes several new aspects such as neural networks, deep learning, and crypto-currencies. Both R and Matlab code, together with the data, can be downloaded from the book?s product page and the Quantlet platform. The Quantlet platform quantlet.de, quantlet.com, quantlet.org is an integrated QuantNet environment consisting of different types of statistics-related documents and program codes. Its goal is to promote reproducibility and offer a platform for sharing validated knowledge native to the social web. QuantNet and the corresponding Data-Driven Documents-based visualization allow readers to reproduce the tables, pictures and calculations inside this Springer book. ?This book provides an excellent introduction to the tools from probability and statistics necessary to analyze financial data. Clearly written and accessible, it will be very useful to students and practitioners alike.? Yacine Ait-Sahalia, Otto Hack 1903 Professor of Finance and Economics, Princeton University. 410 0$aUniversitext,$x0172-5939 606 $aStatistics 606 $aEconomics, Mathematical 606 $aFinancial engineering 606 $aEconometrics 606 $aRisk management 606 $aMacroeconomics 606 $aStatistics for Business, Management, Economics, Finance, Insurance$3https://scigraph.springernature.com/ontologies/product-market-codes/S17010 606 $aQuantitative Finance$3https://scigraph.springernature.com/ontologies/product-market-codes/M13062 606 $aFinancial Engineering$3https://scigraph.springernature.com/ontologies/product-market-codes/612020 606 $aEconometrics$3https://scigraph.springernature.com/ontologies/product-market-codes/W29010 606 $aRisk Management$3https://scigraph.springernature.com/ontologies/product-market-codes/612040 606 $aMacroeconomics/Monetary Economics//Financial Economics$3https://scigraph.springernature.com/ontologies/product-market-codes/W32000 615 0$aStatistics. 615 0$aEconomics, Mathematical. 615 0$aFinancial engineering. 615 0$aEconometrics. 615 0$aRisk management. 615 0$aMacroeconomics. 615 14$aStatistics for Business, Management, Economics, Finance, Insurance. 615 24$aQuantitative Finance. 615 24$aFinancial Engineering. 615 24$aEconometrics. 615 24$aRisk Management. 615 24$aMacroeconomics/Monetary Economics//Financial Economics. 676 $a332.015195 676 $a332.0727 700 $aFranke$b Ju?rgen$4aut$4http://id.loc.gov/vocabulary/relators/aut$00 702 $aHärdle$b Wolfgang Karl$4aut$4http://id.loc.gov/vocabulary/relators/aut 702 $aHafner$b Christian Matthias$4aut$4http://id.loc.gov/vocabulary/relators/aut 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910338254703321 996 $aStatistics of Financial Markets$92500657 997 $aUNINA