发帖
雷达卡
Statistics of Financial Markets: An Introduction (Second Edition)
By Jürgen Franke, Wolfgang K. H?rdle, Christian M. Hafner
Publisher: Springer
Number Of Pages: 501
Publication Date: 2008-02
ISBN-10 / ASIN: 3540762698
ISBN-13 / EAN: 9783540762690
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.
188013.pdf
(10.63 MB)
Book Description:
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.
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.
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.
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
Preface to the Second Edition xi
Preface to the First Edition xiii
IOption Pricing 1
1Derivatives 3
2Introduction to Option Management 11
3Basic Concepts of Probability Theory 37
4Stochastic Processes in Discrete Time 47
5Stochastic Integrals and Di?erential Equations 57
6 Black–Scholes Option Pricing Model 73
7 Binomial Model for European Options 117
9 Exotic Options 143
10 Models for the Interest Rate and Interest Rate Derivatives 155
II Statistical Models of Financial Time Series 163
11 Introduction: Definitions and Concepts 165
12 ARIMA Time Series Models 203
13 Time Series with Stochastic Volatility 227
14 Non-parametric Concepts for Financial Time Series 279
III Selected Financial Applications 303
15 Pricing Options with Flexible Volatility Estimators 305
16 Value at Risk and Backtesting 321
17 Copulae and Value at Risk 333
18 Statistics of Extreme Risks 371
19 Neural Networks 399
20 Volatility Risk of Option Portfolios 429
22 Credit Risk Management 451
A Technical Appendix 467
Appendix 467
A.1 Integration Theory . . . 467
A.2 Portfolio Strategies . 472
Frequently Used Notations 479
Bibliography 481
Index 497
[此贴子已经被作者于2008-1-14 18:10:23编辑过]
好贵啊～ 买不起。。。
京公网安备 11010802022788号
