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Statistics of Financial Markets: An Introduction (Universitext) [Paperback]

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Item description for Statistics of Financial Markets: An Introduction (Universitext) by Jürgen Franke...


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 the book to be used 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 also allows the use of the e-book version with links to world wide computing servers.

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Item Specifications...

Pages   424
Est. Packaging Dimensions:   Length: 9.1" Width: 6" Height: 1"
Weight:   1.5 lbs.
Binding  Softcover
Release Date   Nov 18, 2004
Publisher   Springer
ISBN  3540216758  
ISBN13  9783540216759  

Availability  0 units.

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Product Categories

1Books > Special Features > New & Used Textbooks > Business & Finance
2Books > Special Features > New & Used Textbooks > Sciences > Mathematics > Statistics
3Books > Subjects > Business & Investing > Economics > Econometrics
4Books > Subjects > Business & Investing > Economics > General
5Books > Subjects > Business & Investing > Economics > Statistics
6Books > Subjects > Business & Investing > General
7Books > Subjects > Professional & Technical > Professional Science > Mathematics > Applied > General
8Books > Subjects > Professional & Technical > Professional Science > Mathematics > Applied > Statistics
9Books > Subjects > Science > Mathematics > Applied > General
10Books > Subjects > Science > Mathematics > Applied > Probability & Statistics

Reviews - What do customers think about Statistics of Financial Markets: An Introduction (Universitext)?

Great intutive introduction to stochastic calculus  Jun 17, 2006
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.
Great introduction to the Value at Risk measures  Oct 13, 2005
Got the friendly yellow paperback version. The book is in three major parts; Options, Time series and then Value at Risk.

The first section starts out well with an overview of Stochastic Processes and then moves on to Stochastic Integrals and Differential Equations. All of this is motivation to help with the pricing of Options, starting with European, then American and moving onto Exotics and Bond Options. It covers all the major points, though it is a little limited in the Exotics, it does have a good references to more thorough works.

The second section on time series works with ARIMA, ARCH and GARCH models.

The third section (labeled Selected Financial Applications) is mostly about the VAR though is has some really good commentary on the Volatility of Option Portfolios.

An added bonus is that you can download the PDF version of the book, and all the data for the examples from the web, with quite a neat one-time license.

I would recommend this book to people needing a good overview of the subjects listed above, and as a handy reference.

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