Statistics of financial markets: an introduction ; [now with R & Matlab codes]
Gespeichert in:
Format: | Elektronisch E-Book |
---|---|
Sprache: | English |
Veröffentlicht: |
Berlin ; Heidelberg
Springer
[2008]
|
Ausgabe: | second edition |
Schriftenreihe: | Universitext
|
Schlagworte: | |
Online-Zugang: | BTU01 TUM01 UBA01 UBT01 UER01 UPA01 URL des Erstveröffentlichers Inhaltsverzeichnis |
Beschreibung: | 1 Online-Ressource Illustrationen |
ISBN: | 9783540762720 |
DOI: | 10.1007/978-3-540-76272-0 |
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245 | 1 | 0 | |a Statistics of financial markets |b an introduction ; [now with R & Matlab codes] |c Jürgen Franke ; Wolfgang K. Härdle ; Christian M. Hafner |
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Datensatz im Suchindex
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adam_text | CONTENTS PREFACE TO THE SECOND EDITION XI PREFACE TO THE FIRST EDITION
XIII I OPTION PRICING 1 1 DERIVATIVES 3 1.1 RECOMMENDED LITERATURE 10 2
INTRODUCTION TO OPTION MANAGEMENT 11 2.1 ARBITRAGE RELATIONS 11 2.2
PORTFOLIO INSURANCE 23 2.3 BINARY ONE-PERIOD MODEL 30 2.4 RECOMMENDED
LITERATURE 35 3 BASIC CONCEPTS OF PROBABILITY THEORY 37 3.1 REAL VALUED
RANDOM VARIABLES 37 3.2 EXPECTATION AND VARIANCE 39 3.3 SKEWNESS AND
KURTOSIS 41 3.4 RANDOM VECTORS, DEPENDENCE, CORRELATION 42 3.5
CONDITIONAL PROBABILITIES AND EXPECTATIONS 43 3.6 RECOMMENDED LITERATURE
45 4 STOCHASTIC PROCESSES IN DISCRETE TIME 47 4.1 BINOMIAL PROCESSES 47
4.2 TRINOMIAL PROCESSES 51 4.3 GENERAL RANDOM WALKS 53 4.4 GEOMETRIE
RANDOM WALKS 54 4.5 BINOMIAL MODELS WITH STATE DEPENDENT INCREMENTS 55
4.6 RECOMMENDED LITERATURE 56 5 STOCHASTIC INTEGRALS AND DIFFERENTIAL
EQUATIONS 57 5.1 WIENER PROCESS 57 5.2 STOCHASTIC INTEGRATION 61
GESCANNT DURCH BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/986058033
DIGITALISIERT DURCH * * * * * * * * * * * * * INDEX 497 XXII CONTENTS
19.6 RECOMMENDED LITERATURE 427 20 VOLATILITY RISK OF OPTION PORTFOLIOS
429 20.1 DESCRIPTION OF THE DATA 430 20.2 PRINCIPAL COMPONENT ANALYSIS
OF THE VDAX S DYNAMICS . . . 434 20.3 STABILITY ANALYSIS OF THE VDAX S
DYNAMICS 437 20.4 MEASURE OF THE IMPLIED VOLATILITY S RISK 438 20.5
RECOMMENDED LITERATURE 441 21 NONPARAMETRIC ESTIMATORS FOR THE
PROBABILITY OF DEFAULT 443 21.1 LOGISTIC REGRESSION 443 21.2
SEMI-PARAMETRIC MODEL FOR CREDIT RATING 445 21.3 CREDIT RATINGS WITH
NEURAL NETWORKS 449 22 CREDIT RISK MANAGEMENT 451 22.1 BASIC CONCEPTS
451 22.2 THE BERNOUFFI MODEL 453 22.3 THE POISSON MODEL 454 22.4 THE
INDUSTRIAL MODELS 455 22.5 ONE FACTOR MODELS 460 22.6 COPULAE AND LOSS
DISTRIBUTIONS 462 A TECHNICAL APPENDIX 467 APPENDIX 467 A.L INTEGRATION
THEORY 467 A.2 PORTFOLIO STRATEGIES 472 FREQUENTLY USED NOTATIONS 479
BIBLIOGRAPHY 481
|
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doi_str_mv | 10.1007/978-3-540-76272-0 |
edition | second edition |
format | Electronic eBook |
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record_format | marc |
series2 | Universitext |
spelling | Statistics of financial markets an introduction ; [now with R & Matlab codes] Jürgen Franke ; Wolfgang K. Härdle ; Christian M. Hafner second edition Berlin ; Heidelberg Springer [2008] © 2008 1 Online-Ressource Illustrationen txt rdacontent c rdamedia cr rdacarrier Universitext Bank Statistik Wirtschaft Finance Mathematical statistics Banks and banking Statistics Finance /Banking Economics / Statistics Quantitative Finance Statistics for Business/Economics/Mathematical Finance/Insurance CD-ROM (DE-588)4139307-7 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Financial Engineering (DE-588)4208404-0 gnd rswk-swf Optionspreistheorie (DE-588)4135346-8 gnd rswk-swf Statistik (DE-588)4056995-0 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf (DE-588)4123623-3 Lehrbuch gnd-content Financial Engineering (DE-588)4208404-0 s Finanzmathematik (DE-588)4017195-4 s DE-604 Kreditmarkt (DE-588)4073788-3 s Optionspreistheorie (DE-588)4135346-8 s Mathematisches Modell (DE-588)4114528-8 s 1\p DE-604 Statistik (DE-588)4056995-0 s CD-ROM (DE-588)4139307-7 s 2\p DE-604 Franke, Jürgen 1952- Sonstige (DE-588)141577177 oth Härdle, Wolfgang 1953- Sonstige (DE-588)110357116 oth Hafner, Christian M. 1967- Sonstige (DE-588)115629793 oth Erscheint auch als Druck-Ausgabe 978-3-540-76269-0 https://doi.org/10.1007/978-3-540-76272-0 Verlag URL des Erstveröffentlichers Volltext DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017445795&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
spellingShingle | Statistics of financial markets an introduction ; [now with R & Matlab codes] Bank Statistik Wirtschaft Finance Mathematical statistics Banks and banking Statistics Finance /Banking Economics / Statistics Quantitative Finance Statistics for Business/Economics/Mathematical Finance/Insurance CD-ROM (DE-588)4139307-7 gnd Finanzmathematik (DE-588)4017195-4 gnd Financial Engineering (DE-588)4208404-0 gnd Optionspreistheorie (DE-588)4135346-8 gnd Statistik (DE-588)4056995-0 gnd Mathematisches Modell (DE-588)4114528-8 gnd Kreditmarkt (DE-588)4073788-3 gnd |
subject_GND | (DE-588)4139307-7 (DE-588)4017195-4 (DE-588)4208404-0 (DE-588)4135346-8 (DE-588)4056995-0 (DE-588)4114528-8 (DE-588)4073788-3 (DE-588)4123623-3 |
title | Statistics of financial markets an introduction ; [now with R & Matlab codes] |
title_auth | Statistics of financial markets an introduction ; [now with R & Matlab codes] |
title_exact_search | Statistics of financial markets an introduction ; [now with R & Matlab codes] |
title_full | Statistics of financial markets an introduction ; [now with R & Matlab codes] Jürgen Franke ; Wolfgang K. Härdle ; Christian M. Hafner |
title_fullStr | Statistics of financial markets an introduction ; [now with R & Matlab codes] Jürgen Franke ; Wolfgang K. Härdle ; Christian M. Hafner |
title_full_unstemmed | Statistics of financial markets an introduction ; [now with R & Matlab codes] Jürgen Franke ; Wolfgang K. Härdle ; Christian M. Hafner |
title_short | Statistics of financial markets |
title_sort | statistics of financial markets an introduction now with r matlab codes |
title_sub | an introduction ; [now with R & Matlab codes] |
topic | Bank Statistik Wirtschaft Finance Mathematical statistics Banks and banking Statistics Finance /Banking Economics / Statistics Quantitative Finance Statistics for Business/Economics/Mathematical Finance/Insurance CD-ROM (DE-588)4139307-7 gnd Finanzmathematik (DE-588)4017195-4 gnd Financial Engineering (DE-588)4208404-0 gnd Optionspreistheorie (DE-588)4135346-8 gnd Statistik (DE-588)4056995-0 gnd Mathematisches Modell (DE-588)4114528-8 gnd Kreditmarkt (DE-588)4073788-3 gnd |
topic_facet | Bank Statistik Wirtschaft Finance Mathematical statistics Banks and banking Statistics Finance /Banking Economics / Statistics Quantitative Finance Statistics for Business/Economics/Mathematical Finance/Insurance CD-ROM Finanzmathematik Financial Engineering Optionspreistheorie Mathematisches Modell Kreditmarkt Lehrbuch |
url | https://doi.org/10.1007/978-3-540-76272-0 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017445795&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
work_keys_str_mv | AT frankejurgen statisticsoffinancialmarketsanintroductionnowwithrmatlabcodes AT hardlewolfgang statisticsoffinancialmarketsanintroductionnowwithrmatlabcodes AT hafnerchristianm statisticsoffinancialmarketsanintroductionnowwithrmatlabcodes |