Statistics of Financial Markets: An Introduction

Description

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 Front Matter ....Pages i-xxxvi Front Matter ....Pages 1-1 Derivatives (Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner)....Pages 3-10 Introduction to Option Management (Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner)....Pages 11-35 Basic Concepts of Probability Theory (Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner)....Pages 37-47 Stochastic Processes in Discrete Time (Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner)....Pages 49-58 Stochastic Integrals and Differential Equations (Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner)....Pages 59-74 Black–Scholes Option Pricing Model (Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner)....Pages 75-118 Binomial Model for European Options (Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner)....Pages 119-130 American Options (Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner)....Pages 131-143 Exotic Options (Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner)....Pages 145-157 Interest Rates and Interest Rate Derivatives (Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner)....Pages 159-195 Front Matter ....Pages 197-197 Introduction: Definitions and Concepts (Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner)....Pages 199-236 ARIMA Time Series Models (Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner)....Pages 237-262 Time Series with Stochastic Volatility (Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner)....Pages 263-319 Long Memory Time Series (Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner)....Pages 321-342 Non-Parametric and Flexible Time Series Estimators (Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner)....Pages 343-362 Front Matter ....Pages 363-363 Value at Risk and Backtesting (Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner)....Pages 365-379 Copulae and Value-at-Risk (Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner)....Pages 381-420 Statistics of Extreme Risks (Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner)....Pages 421-458 Neural Networks and Deep Learning (Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner)....Pages 459-495 Volatility Risk of Option Portfolios (Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner)....Pages 497-509 Nonparametric Estimators for the Probability of Default (Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner)....Pages 511-518 Credit Risk Management and Credit Derivatives (Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner)....Pages 519-543 Financial Econometrics of Cryptocurrencies (Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner)....Pages 545-568 Back Matter ....Pages 569-585