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Statistics Of Financial Markets presents in a vivid yet concise style the necessary statistical and mathematical background for Financial Engineers and introduces to the main ideas in mathematical finance and financial statistics. Topics covered are, among others, option valuation, financial time series analysis, value-at-risk, copulas, and statistics of the extremes.

The underlying structure of the book, i.e. basic tools in mathematical finance, financial time series analysis and applications to given problems of financial markets, allows to use the book as a basis for lectures, seminars and even crash courses on the topic.

A full set of transparencies can be downloaded using the registration card at the back of the book. The registration card allows also the use of the e-book version with links to world wide computing servers.

Table of contents

Option Pricing: Derivaties.- 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 and Interest Rate Derivatives. Statistical Model of Financial Time Series: Introduction: Definitions and Concepts.- ARMA Time Series Models.- Time Series with Stochastic Volatility.- Nonparametric Concepts for Financial Time Series. Selected Financial Applications: Valuing Options with Flexible Volatility Estimators.- Value-at-Risk and Backtesting.- Copulas and Value-at Risk.- Statistics of Extreme Risks.- Neural Networks.- Volatility Risk of Portfolios.- Nonparametric Estimators for the Probability of Defaulting.

About Authors

URGEN FRANKE is Professor for Applied Mathematical Statistics at University of Kaiserslautern, member of the Graduate School "Mathematics as a Key Technology", and since 2000 Advisor to the Financial Mathematics group, Fraunhofer Institute Techno- und Wirtschaftsmathematik, Kaiserslautern. His research focuses on nonlinear time series and nonparametric statistics with applications in financial time series and risk analysis.

Wolfgang Hardle is Professor of Statistics at Humboldt Universitat zu Berlin and director of CASE - Center for Applied Statistics and Economics. He teaches Quantitative Finance and Semiparametric Statistical methods. His research focuses on dynamic factor models, multivariate statistics in finance and computational statistics. He is an elected ISI member and advisor to the Guanghua school of Management, Peking University.

Christian Hafner is assistant professor of econometrics at Erasmus University Rotterdam. His work is mainly concerned with applications of nonlinear time series and volatility models to financial markets.

439 pages