J. Franke – Statistics of Financial Markets (4th edition, 2015)

Автор: J. Franke
Название книги: Statistics of Financial Markets (4th edition)
Формат: PDF
Жанр: Экономические дисциплины
Страницы: 558
Качество: Изначально компьютерное, E-book

The Global Financial Crisis (2007–2009) and the following European Sovereign
Debt Crisis (2009–) have caused tremendous changes in the business, economy and
governance. The spillover effect and globalization of the crisis affected millions
and stated a genuine challenge for modern societies. Thus it was a task of
extreme importance for us to revise our book and present actualized research in
financial statistics and econometrics. In particular, we felt obliged to discuss a
collateralized debt obligation (CDO), studied in Chap. 22. This financial product
became extremely popular at the brink of the Global Financial Crisis and therefore
captured the mainstream media attention as one of the roots of the crisis. Observing
recent rapid changes in the interest rate market, we restructured and updated
Chap. 10. In Chaps. 18 and 22 we updated the data analysis with more recent data.
Moreover, exercise sections in all chapters are actualized and correspond to the new
edition of the exercises and solutions book by S. Borak,W.K. Härdle and B. Lopez-
Cabrera (Springer Verlag, Heidelberg, ISBN: 978-3-642-33929-5). In addition to
these changes, we have eliminated a small number of errors in the third edition and
added notation and definitions section. Finally, we would like to thank Piotr Majer
for the editing work of this edition.

Now in its fourth edition, this book offers a detailed yet concise introduction to the growing field of statistical applications in finance. The reader will learn the basic methods of evaluating option contracts, analyzing financial time series, selecting portfolios and managing risks based on realistic assumptions about market behavior. The focus is both on the fundamentals of mathematical finance and financial time series analysis, and on applications to given problems concerning financial markets, thus making the book the ideal basis for lectures, seminars and crash courses on the topic.