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.

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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.

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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

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