東華大學圖書館 |

語系: 繁體中文

說明(常見問題)

回圖書館首頁

手機版館藏查詢

登入

回首頁

切換: 標籤 | MARC模式 | ISBD

Statistics of financial markets = an...

Franke, Jurgen.

FindBook

Google Book

Amazon

博客來

Statistics of financial markets = an introduction /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Statistics of financial markets/ by Jurgen Franke, Wolfgang Karl Hardle, Christian Matthias Hafner.
其他題名:	an introduction /
作者:	Franke, Jurgen.
其他作者:	Hardle, Wolfgang Karl.
出版者:	Berlin, Heidelberg :Springer Berlin Heidelberg : : 2015.,
面頁冊數:	xix, 555 p. :ill., digital ;24 cm.
內容註:	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: 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.
Contained By:	Springer eBooks
標題:	Finance - Statistical methods. -
電子資源:	http://dx.doi.org/10.1007/978-3-642-54539-9
ISBN:	9783642545399 (electronic bk.)

Statistics of financial markets = an introduction /
Franke, Jurgen.

Statistics of financial marketsan introduction /[electronic resource] :by Jurgen Franke, Wolfgang Karl Hardle, Christian Matthias Hafner. - 4th ed. - Berlin, Heidelberg :Springer Berlin Heidelberg :2015. - xix, 555 p. :ill., digital ;24 cm. - Universitext,0172-5939. - Universitext..

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: 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.

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

ISBN: 9783642545399 (electronic bk.)

Standard No.: 10.1007/978-3-642-54539-9doiSubjects--Topical Terms:

578739
Finance
--Statistical methods.

LC Class. No.: HG176.5

Dewey Class. No.: 330.0727

Statistics of financial markets = an introduction /
LDR:02973nmm a2200349 a 4500 001 1995416
003 DE-He213
005 20150922114756.0
006 m d
007 cr nn 008maaau
008 151019s2015 gw s 0 eng d
020 $a 9783642545399 (electronic bk.)
020 $a 9783642545382 (paper)
024 7 $a 10.1007/978-3-642-54539-9 $2 doi
035 $a 978-3-642-54539-9
040 $a GP $c GP
041 0 $a eng
050 4 $a HG176.5
072 7 $a PBT $2 bicssc
072 7 $a K $2 bicssc
072 7 $a BUS061000 $2 bisacsh
082 0 4 $a 330.0727 $2 23
090 $a HG176.5 $b .F829 2015
100 1 $a Franke, Jurgen. $3 724502
245 1 0 $a Statistics of financial markets $h [electronic resource] : $b an introduction / $c by Jurgen Franke, Wolfgang Karl Hardle, Christian Matthias Hafner.
250 $a 4th ed.
260 $a Berlin, Heidelberg : $b Springer Berlin Heidelberg : $b Imprint: Springer, $c 2015.
300 $a xix, 555 p. : $b ill., digital ; $c 24 cm.
490 1 $a Universitext, $x 0172-5939
505 0 $a 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: 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.
520 $a 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
650 0 $a Finance $x Statistical methods. $3 578739
650 0 $a Finance $x Mathematical models. $3 578740
650 1 4 $a Statistics. $3 517247
650 2 4 $a Statistics for Business/Economics/Mathematical Finance/Insurance. $3 891081
650 2 4 $a Quantitative Finance. $3 891090
650 2 4 $a Finance/Investment/Banking. $3 1530231
700 1 $a Hardle, Wolfgang Karl. $3 1074092
700 1 $a Hafner, Christian Matthias. $3 1531456
710 2 $a SpringerLink (Online service) $3 836513
773 0 $t Springer eBooks
830 0 $a Universitext. $3 812115
856 4 0 $u http://dx.doi.org/10.1007/978-3-642-54539-9
950 $a Mathematics and Statistics (Springer-11649)