<p>Statistics of Financial Markets: An Introduction (Second Edition)<br/>By Jürgen Franke, Wolfgang K. H?rdle, Christian M. Hafner</p><p>Publisher: Springer <br/>Number Of Pages: 501 <br/>Publication Date: 2008-02 <br/>ISBN-10 / ASIN: 3540762698 <br/>ISBN-13 / EAN: 9783540762690</p><p>This book was such a relief after going through tens of books/lectures notes on stochastic calculus. Most math books give the theory behind Ito calculus (martingales, measure theory etc.), but fail to give the motivation and reasoning behind abstract definitions. This book does an excellent job in deriving many seemingly-complicated math formulas (or, theorems) using intuitive terms. It is an excellent read for people who have a reasonable background in probability theory, and are wishing to learn stochastic calculus (plus finance). I strongly recommend it to anyone who wants to learn the rudiments of Ito integral and see its applications in finance. </p><p></p><p>Book Description: </p><p>&nbsp;Statistics of Financial Markets offers a vivid yet concise introduction to the growing field of statistical applications in finance. The reader will learn the basic methods to evaluate option contracts, to analyse financial time series, to select portfolios and manage risks making realistic assumptions of the market behaviour.</p><p>The focus is both on fundamentals of mathematical finance and financial time series analysis and on applications to given problems of financial markets, making the book the ideal basis for lectures, seminars and crash courses on the topic.</p><p>For the second edition the book has been updated and extensively revised. Several new aspects have been included, among others a chapter on credit risk management. </p><p><img src="http://pic.pinggu.com/attachments/uploadfile_20082009/2008-1/20081121255090158.jpg" border="0" onload="if(this.width>document.body.clientWidth*0.5) {this.resized=true;this.width=document.body.clientWidth*0.5;this.style.cursor='pointer';} else {this.onclick=null}" alt="" />Contents<br/>Preface to the Second Edition&nbsp;xi<br/>Preface to the First Edition&nbsp;xiii<br/>IOption Pricing&nbsp;1<br/>1Derivatives&nbsp;3<br/>2Introduction to Option Management&nbsp;11<br/>3Basic Concepts of Probability Theory&nbsp;37<br/>4Stochastic Processes in Discrete Time&nbsp;47<br/>5Stochastic Integrals and Di?erential Equations&nbsp;57<br/>6&nbsp;&nbsp; Black–Scholes Option Pricing Model&nbsp;73<br/>7&nbsp;&nbsp;&nbsp; Binomial Model for European Options&nbsp;117<br/>9&nbsp;&nbsp;&nbsp; Exotic Options&nbsp;143<br/>10&nbsp; Models for the Interest Rate and Interest Rate Derivatives&nbsp;155<br/>II&nbsp;Statistical Models of Financial Time Series&nbsp;163<br/>11&nbsp; Introduction:&nbsp; Definitions and Concepts&nbsp;165<br/>12&nbsp; ARIMA Time Series Models&nbsp;203<br/>13&nbsp; Time Series with Stochastic Volatility&nbsp;227<br/>14&nbsp; Non-parametric Concepts for Financial Time Series&nbsp;279<br/>III&nbsp; Selected Financial Applications&nbsp;303<br/>15&nbsp; Pricing Options with Flexible Volatility Estimators&nbsp;305<br/>16&nbsp; Value at Risk and Backtesting&nbsp;321<br/>17&nbsp; Copulae and Value at Risk&nbsp;333<br/>18&nbsp; Statistics of Extreme Risks&nbsp;371<br/>19&nbsp; Neural Networks&nbsp;399<br/>20&nbsp; Volatility Risk of Option Portfolios&nbsp;429<br/>22&nbsp; Credit Risk Management&nbsp;451<br/>A&nbsp;&nbsp; Technical Appendix&nbsp;467<br/>Appendix&nbsp;467<br/>A.1&nbsp;&nbsp; Integration Theory&nbsp; .&nbsp; .&nbsp; .&nbsp;&nbsp; 467&nbsp; <br/>A.2&nbsp;&nbsp; Portfolio Strategies&nbsp; .&nbsp;&nbsp;&nbsp; 472&nbsp; <br/>Frequently Used Notations&nbsp;479<br/>Bibliography&nbsp;481<br/>Index&nbsp;497</p>

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