Statistics of financial markets: an introduction
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Berlin ; Heidelber
Springer
[2011]
|
| Ausgabe: | Third edition |
| Schriftenreihe: | Universitext
|
| Schlagworte: | |
| Online-Zugang: | Inhaltstext Inhaltsverzeichnis |
| Beschreibung: | xxii, 599 Seiten Diagramme 235 mm x 155 mm |
| ISBN: | 9783642165207 3642165206 |
Internformat
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| 100 | 1 | |a Franke, Jürgen |d 1952- |e Verfasser |0 (DE-588)141577177 |4 aut | |
| 245 | 1 | 0 | |a Statistics of financial markets |b an introduction |c Jürgen Franke ; Wolfgang Karl Härdle ; Christian Matthias Hafner |
| 250 | |a Third edition | ||
| 264 | 1 | |a Berlin ; Heidelber |b Springer |c [2011] | |
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IMAGE 1
CONTENTS
PREFACE TO THE THIRD EDITION XI
PREFACE TO THE SECOND EDITION XIII
I OPTION PRICING 1
1 DERIVATIVES 3
1.1 RECOMMENDED LITERATURE 10
1.2 EXERCISES 10
2 INTRODUCTION TO OPTION MANAGEMENT 13
2.1 ARBITRAGE RELATIONS 13
2.2 PORTFOLIO INSURANCE 25
2.3 BINARY ONE-PERIOD MODEL 32
2.4 RECOMMENDED LITERATURE 37
2.5 EXERCISES 38
3 BASIC CONCEPTS OF PROBABILITY THEORY 43
3.1 REAL VALUED RANDOM VARIABLES 43
3.2 EXPECTATION AND VARIANCE 46
3.3 SKEWNESS AND KURTOSIS 47
3.4 RANDOM VECTORS, DEPENDENCE, CORRELATION 48
3.5 CONDITIONAL PROBABILITIES AND EXPECTATIONS 49
3.6 RECOMMENDED LITERATURE 51
3.7 EXERCISES 52
4 STOCHASTIC PROCESSES IN DISCRETE TIME 55
4.1 BINOMIAL PROCESSES 55
4.2 TRINOMIAL PROCESSES 59
4.3 GENERAL RANDOM WALKS 61
4.4 GEOMETRIC RANDOM WALKS 62
4.5 BINOMIAL MODELS WITH STATE DEPENDENT INCREMENTS 63 4.6 RECOMMENDED
LITERATURE 64
4.7 EXERCISES 64
BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/1006975926
DIGITALISIERT DURCH
IMAGE 2
XVI CONTENTS
5 STOCHASTIC INTEGRALS AND DIFFERENTIAL EQUATIONS 67
5.1 WIENER PROCESS 67
5.2 STOCHASTIC INTEGRATION 71
5.3 STOCHASTIC DIFFERENTIAL EQUATIONS 73
5.4 THE STOCK PRICE AS A STOCHASTIC PROCESS 76
5.5 ITO'S LEMMA 79
5.6 RECOMMENDED LITERATURE 82
5.7 EXERCISES 82
6 BLACK-SCHOLES OPTION PRICING MODEL 85
6.1 BLACK-SCHOLES DIFFERENTIAL EQUATION 85
6.2 BLACK-SCHOLES FORMULA FOR EUROPEAN OPTIONS 92
6.2.1 NUMERICAL APPROXIMATION 96
6.3 SIMULATION 99
6.3.1 LINEAR CONGRUENTIAL GENERATOR 100
6.3.2 FIBONACCI GENERATORS 104
6.3.3 INVERSION METHOD 106
6.3.4 BOX-MULLER METHOD 107
6.3.5 MARSAGLIA METHOD 109
6.4 RISK MANAGEMENT AND HEDGING 110
6.4.1 DELTA HEDGING 113
6.4.2 GAMMA AND THETA 116
6.4.3 RHO AND VEGA 118
6.4.4 VOLGA AND VANNA 121
6.4.5 HISTORICAL AND IMPLIED VOLATILITY 122
6.4.6 REALISED VOLATILITY 126
6.5 RECOMMENDED LITERATURE 126
6.6 EXERCISES 127
7 BINOMIAL MODEL FOR EUROPEAN OPTIONS 133
7.1 COX-ROSS-RUBINSTEIN APPROACH TO OPTION PRICING 134 7.2 DISCRETE
DIVIDENDS 138
7.2.1 DIVIDENDS AS A PERCENTAGE OF THE STOCK PRICE 139 7.2.2 DIVIDENDS
AS A FIXED AMOUNT OF MONEY 140
7.3 RECOMMENDED LITERATURE 143
7.4 EXERCISES 143
8 AMERICAN OPTIONS 145
8.1 ARBITRAGE RELATIONS FOR AMERICAN OPTIONS 145
8.2 THE TRINOMIAL MODEL FOR AMERICAN OPTIONS 153
8.3 RECOMMENDED LITERATURE 157
8.4 EXERCISES 157
IMAGE 3
CONTENTS XVII
9 EXOTIC OPTIONS 159
9.1 COMPOUND OPTIONS, OPTION ON OPTION 159
9.2 CHOOSER OPTIONS OR "AS YOU WISH" OPTIONS 161
9.3 BARRIER OPTIONS 162
9.4 ASIAN OPTIONS 165
9.5 LOOKBACK OPTIONS 167
9.6 CLIQUET OPTIONS 168
9.7 BASKET OPTIONS 169
9.8 RECOMMENDED LITERATURE 170
9.9 EXERCISES 171
10 INTEREST RATES AND INTEREST RATE DERIVATIVES 173
10.1 INTEREST RATES AND PRICES 173
10.1.1 MONEY MARKET ACCOUNT 176
10.1.2 FORWARD RATE AGREEMENT 176
10.1.3 INTEREST RATE SWAP 177
10.2 RISK NEUTRAL VALUATION AND NUMERAIRE MEASURES 179 10.2.1 PRINCIPLES
OF RISK NEUTRAL VALUATION 180
10.2.2 CHANGE OF NUMERAIRE 181
10.2.3 EQUIVALENT MARTINGALE MEASURE 182
10.2.4 TRADITIONAL RISK NEUTRAL NUMERAIRE 183
10.2.5 OTHER CHOICES OF NUMERAIRE 184
10.3 INTEREST RATE DERIVATIVES 185
10.3.1 THE BLACK MODEL 186
10.3.2 BOND OPTION 186
10.3.3 CAPS AND FLOORS 187
10.3.4 SWAPTION 189
10.4 SHORT RATE MODELS 190
10.4.1 ONE-FACTOR SHORT-RATE MODELS 191
10.4.2 TWO-FACTOR SHORT-RATE MODELS 193
10.5 HEATH JARROW MORTON FRAMEWORK 195
10.5.1 HJM APPROACH 195
10.5.2 SHORT RATE PROCESS IN THE HJM FRAMEWORK 197 10.6 LIBOR MARKET
MODEL 197
10.6.1 DYNAMICS IN THE LMM 198
10.6.2 THE NUMERAIRE MEASURE 198
10.7 BOND VALUATION 199
10.7.1 THE BOND VALUATION EQUATION 199
10.7.2 SOLVING THE ZERO BOND VALUATION 200
10.8 CALIBRATING SHORT-RATE MODELS 201
10.8.1 CIR PROCESS DENSITIES 202
10.8.2 INITIAL ESTIMATES 203
IMAGE 4
XVIII CONTENTS
10.8.3 MAXIMUM LIKELIHOOD ESTIMATOR 204
10.8.4 IMPLEMENTATION RESULTS 204
10.9 CALIBRATING THE LIBOR MARKET MODEL 205
10.9.1 DISCRETIZATION OF THE FORWARD RATE 206
10.9.2 INSTANTANEOUS VOLATILITY FUNCTION 207
10.9.3 CALIBRATION 209
LO.LORECOMMENDED LITERATURE 210
LO.HEXERCISES 211
II STATISTICAL MODELS OF FINANCIAL TIME SERIES 213
11 INTRODUCTION: DEFINITIONS AND CONCEPTS 215
11.1 SOME DEFINITIONS 216
11.2 STATISTICAL ANALYSIS OF GERMAN AND BRITISH STOCK RETURNS . . 223
11.3 EXPECTATIONS AND EFFICIENT MARKETS 226
11.4 ECONOMETRIC MODELS: A BRIEF SUMMARY 231
11.4.1 STOCK PRICES: THE CAPM 231
11.4.2 EXCHANGE RATE: THEORY OF THE INTEREST RATE PARITY . . 233 11.4.3
TERM STRUCTURE: THE COX-INGERSOLL-ROSS MODEL . . . 235 11.4.4 OPTIONS:
THE BLACK-SCHOLES MODEL 237
11.4.5 THE MARKET PRICE OF RISK 239
11.5 THE RANDOM WALK HYPOTHESIS 242
11.6 UNIT ROOT TESTS 244
11.6.1 DICKEY-FULLER TEST 245
11.6.2 THE KPSS TEST 248
11.6.3 VARIANCE RATIO TESTS 249
11.7 RECOMMENDED LITERATURE 252
11.8 EXERCISES 252
12 ARIMA TIME SERIES MODELS 255
12.1 MOVING AVERAGE PROCESSES 256
12.2 AUTOREGRESSIVE PROCESS 257
12.3 ARMA MODELS 261
12.4 PARTIAL AUTOCORRELATION 263
12.5 ESTIMATION OF MOMENTS 267
12.5.1 ESTIMATION OF THE MEAN FUNCTION 267
12.5.2 ESTIMATION OF THE COVARIANCE FUNCTION 269
12.5.3 ESTIMATION OF THE ACF 270
12.6 PORTMANTEAU STATISTICS 271
12.7 ESTIMATION OF AR(P) MODELS 272
12.8 ESTIMATION OF MA(Q) AND ARMA(P, Q) MODELS 273
IMAGE 5
CONTENTS XIX
12.9 RECOMMENDED LITERATURE 278
12.10EXERCISES 278
13 TIME SERIES WITH STOCHASTIC VOLATILITY 283
13.1 ARCH AND GARCH MODELS 285
13.1.1 ARCH(L): DEFINITION AND PROPERTIES 286
13.1.2 ESTIMATION OF ARCH(L) MODELS 295
13.1.3 ARCH( 7): DEFINITION AND PROPERTIES 299
13.1.4 ESTIMATION OF AN ARCH(G) MODEL 301
13.1.5 GENERALISED ARCH (GARCH) 302
13.1.6 ESTIMATION OF GARCH(P, Q) MODELS 305
13.2 EXTENSIONS OF THE GARCH MODEL 308
13.2.1 EXPONENTIAL GARCH 308
13.2.2 THRESHOLD ARCH MODELS 310
13.2.3 RISK AND RETURNS 311
13.2.4 ESTIMATION RESULTS FOR DAX AND FTSE 100 RETURNS . 312 13.3
SHORTFALLS OF GARCH 314
13.3.1 RECENT CHALLENGES TO GARCH MODELS 314
13.3.2 VOLATILITY FORECASTING FOR DAX AND FTSE 100 RETURNS 321 13.4
MULTIVARIATE GARCH MODELS 323
13.4.1 THE VEC SPECIFICATION 324
13.4.2 THE BEKK SPECIFICATION 326
13.4.3 THE CCC MODEL 328
13.4.4 THE DCC MODEL 328
13.4.5 AN EMPIRICAL ILLUSTRATION 329
13.5 CONTINUOUS-TIME GARCH MODELS 333
13.5.1 COGARCH(1,1): DEFINITION AND PROPERTIES 334 13.5.2 RELATION
BETWEEN GARCH AND COGARCH 335
13.5.3 ESTIMATION OF THE COGARCH( 1,1) MODEL 336
13.5.4 EXTENSIONS OF THE COGARCH MODEL 337
13.6 RECOMMENDED LITERATURE 339
13.7 EXERCISES 340
14 LONG MEMORY TIME SERIES 343
14.1 DEFINITION OF LONG RANGE DEPENDENCE 343
14.2 FRACTIONAL INTEGRATION AND LONG-MEMORY 344
14.3 LONG MEMORY AND SELF-SIMILAR PROCESSES 347
14.4 DETECTION OF THE LONG MEMORY 350
14.4.1 RESCALED VARIANCE TEST 351
14.4.2 SEMIPARAMETRIC TEST 352
14.4.3 TESTS FOR SPURIOUS LONG MEMORY 353
14.5 ESTIMATION OF THE LONG MEMORY PARAMETER 354
IMAGE 6
XX CONTENTS
14.5.1 EXACT MAXIMUM LIKELIHOOD ESTIMATOR 354
14.5.2 REGRESSION ON THE PERIODOGRAM 355
14.5.3 GAUSSIAN SEMIPARAMETRIC ESTIMATOR 355
14.6 LONG MEMORY MODELS 357
14.6.1 ARFIMA MODEL 357
14.6.2 GARCH LONG MEMORY MODELS 358
14.6.3 FIAPARCH MODEL 360
14.6.4 HYGARCH MODEL 361
14.7 AN EMPIRICAL ILLUSTRATION 361
14.8 RECOMMENDED LITERATURE 364
15 NON-PARAMETRIC AND FLEXIBLE TIME SERIES ESTIMATORS 367 15.1
NONPARAMETRIC REGRESSION 368
15.2 CONSTRUCTION OF THE ESTIMATOR 370
15.3 EMPIRICAL ILLUSTRATION 372
15.4 FLEXIBLE VOLATILITY ESTIMATORS 373
15.5 PRICING OPTIONS WITH ARCH-MODELS 374
15.6 APPLICATION TO THE VALUATION OF DAX CALLS 381
15.7 RECOMMENDED LITERATURE 384
III SELECTED FINANCIAL APPLICATIONS 387
16 VALUE AT RISK AND BACKTESTING 389
16.1 FORECAST AND VAR MODELS 391
16.2 BACKTESTING WITH EXPECTED SHORTFALL 393
16.3 BACKTESTING IN ACTION 395
16.4 RECOMMENDED LITERATURE 400
16.5 EXERCISES 401
17 COPULAE AND VALUE AT RISK 405
17.1 COPULAE 407
17.2 COPULA CLASSES 409
17.2.1 SIMPLEST COPULAE 409
17.2.2 ELLIPTICAL COPULAE 412
17.2.3 ARCHIMEDEAN COPULAE 415
17.2.4 HIERARCHICAL ARCHIMEDEAN COPULAE 418
17.2.5 GENERALISATIONS 419
17.3 MONTE CARLO SIMULATION 420
17.3.1 CONDITIONAL INVERSE METHOD 420
17.3.2 MARSHAL-OLKIN METHOD 422
17.4 COPULA ESTIMATION 425
IMAGE 7
CONTENTS XXI
17.4.1 FML - FULL MAXIMUM LIKELIHOOD ESTIMATION 426 17.4.2 IFM -
INFERENCE FOR MARGINS 426
17.4.3 CML - CANONICAL MAXIMUM LIKELIHOOD 427
17 AA GAUSSIAN COPULA ESTIMATION 428
17.4.5 I-COPULA ESTIMATION 428
17.5 ASSET ALLOCATION 429
17.6 VALUE-AT-RISK OF THE PORTFOLIO RETURNS 430
17.6.1 V A R O F T H E P &L 433
17.6.2 3-DIMENSIONAL PORTFOLIO 437
17.7 RECOMMENDED LITERATURE 445
17.8 EXERCISES 446
18 STATISTICS OF EXTREME RISKS 447
18.1 RISK MEASURES 447
18.2 DATA DESCRIPTION 449
18.3 ESTIMATION METHODS 452
18.3.1 THE BLOCK MAXIMA METHOD 453
18.3.2 THE PEAKS-OVER-THRESHOLD (POT) METHOD 463
18.4 BACKTESTING 477
18.5 EXTREME VALUE THEORY FOR TIME SERIES 478
18.6 RECOMMENDED LITERATURE 483
18.7 EXERCISES 485
19 NEURAL NETWORKS 489
19.1 FROM PERCEPTRON TO NON-LINEAR NEURON 490
19.2 BACK PROPAGATION 499
19.3 NEURAL NETWORKS IN NON-PARAMETRIC REGRESSION ANALYSIS . . . 501
19.4 FORECASTS OF FINANCIAL TIME SERIES WITH NEURAL NETWORKS . . . 508
19.5 QUANTIFYING RISK WITH NEURAL NETWORKS 512
19.6 RECOMMENDED LITERATURE 516
20 VOLATILITY RISK OF OPTION PORTFOLIOS 519
20.1 DESCRIPTION OF THE DATA 520
20.2 PRINCIPAL COMPONENT ANALYSIS OF THE VDAX'S DYNAMICS . . . 524 20.3
STABILITY ANALYSIS OF THE VDAX'S DYNAMICS 527
20.4 MEASURE OF THE IMPLIED VOLATILITY'S RISK 528
20.5 RECOMMENDED LITERATURE 531
20.6 EXERCISES 531
21 NONPARAMETRIC ESTIMATORS FOR THE PROBABILITY OF DEFAULT 535 21.1
LOGISTIC REGRESSION 535
21.2 SEMI-PARAMETRIC MODEL FOR CREDIT RATING 537
21.3 CREDIT RATINGS WITH NEURAL NETWORKS 541
IMAGE 8
XXII CONTENTS
22 CREDIT RISK MANAGEMENT 543
22.1 BASIC CONCEPTS 543
22.2 THE BERNOULLI MODEL 545
22.3 THE POISSON MODEL 546
22.4 THE INDUSTRIAL MODELS 547
22.5 ONE FACTOR MODELS 552
22.6 COPULAE AND LOSS DISTRIBUTIONS 554
22.7 EXERCISES 558
A TECHNICAL APPENDIX 561
A.I INTEGRATION THEORY 561
A.2 PORTFOLIO STRATEGIES 566
FREQUENTLY USED NOTATIONS 573
BIBLIOGRAPHY 575
INDEX 595 |
| any_adam_object | 1 |
| author | Franke, Jürgen 1952- Härdle, Wolfgang 1953- Hafner, Christian M. 1967- |
| author_GND | (DE-588)141577177 (DE-588)110357116 (DE-588)115629793 |
| author_facet | Franke, Jürgen 1952- Härdle, Wolfgang 1953- Hafner, Christian M. 1967- |
| author_role | aut aut aut |
| author_sort | Franke, Jürgen 1952- |
| author_variant | j f jf w h wh c m h cm cmh |
| building | Verbundindex |
| bvnumber | BV036696191 |
| classification_rvk | QK 600 QK 660 QP 890 SK 980 |
| classification_tum | WIR 651f |
| ctrlnum | (OCoLC)694879491 (DE-599)DNB1006975926 |
| dewey-full | 332.0151 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.0151 |
| dewey-search | 332.0151 |
| dewey-sort | 3332.0151 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| edition | Third edition |
| format | Book |
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| genre | (DE-588)4123623-3 Lehrbuch gnd-content |
| genre_facet | Lehrbuch |
| id | DE-604.BV036696191 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-20T10:47:43Z |
| institution | BVB |
| isbn | 9783642165207 3642165206 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-020614718 |
| oclc_num | 694879491 |
| open_access_boolean | |
| owner | DE-355 DE-BY-UBR DE-1051 DE-473 DE-BY-UBG DE-188 DE-11 DE-1043 |
| owner_facet | DE-355 DE-BY-UBR DE-1051 DE-473 DE-BY-UBG DE-188 DE-11 DE-1043 |
| physical | xxii, 599 Seiten Diagramme 235 mm x 155 mm |
| publishDate | 2011 |
| publishDateSearch | 2011 |
| publishDateSort | 2011 |
| publisher | Springer |
| record_format | marc |
| series2 | Universitext |
| spelling | Franke, Jürgen 1952- Verfasser (DE-588)141577177 aut Statistics of financial markets an introduction Jürgen Franke ; Wolfgang Karl Härdle ; Christian Matthias Hafner Third edition Berlin ; Heidelber Springer [2011] © 2011 xxii, 599 Seiten Diagramme 235 mm x 155 mm txt rdacontent n rdamedia nc rdacarrier Universitext Optionspreistheorie (DE-588)4135346-8 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Financial Engineering (DE-588)4208404-0 gnd rswk-swf CD-ROM (DE-588)4139307-7 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Statistik (DE-588)4056995-0 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 Statistik (DE-588)4056995-0 s CD-ROM (DE-588)4139307-7 s Härdle, Wolfgang 1953- Verfasser (DE-588)110357116 aut Hafner, Christian M. 1967- Verfasser (DE-588)115629793 aut Erscheint auch als Online-Ausgabe 978-3-642-16521-4 X:MVB text/html http://deposit.dnb.de/cgi-bin/dokserv?id=3537184&prov=M&dok_var=1&dok_ext=htm Inhaltstext DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020614718&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Franke, Jürgen 1952- Härdle, Wolfgang 1953- Hafner, Christian M. 1967- Statistics of financial markets an introduction Optionspreistheorie (DE-588)4135346-8 gnd Kreditmarkt (DE-588)4073788-3 gnd Financial Engineering (DE-588)4208404-0 gnd CD-ROM (DE-588)4139307-7 gnd Mathematisches Modell (DE-588)4114528-8 gnd Finanzmathematik (DE-588)4017195-4 gnd Statistik (DE-588)4056995-0 gnd |
| subject_GND | (DE-588)4135346-8 (DE-588)4073788-3 (DE-588)4208404-0 (DE-588)4139307-7 (DE-588)4114528-8 (DE-588)4017195-4 (DE-588)4056995-0 (DE-588)4123623-3 |
| title | Statistics of financial markets an introduction |
| title_auth | Statistics of financial markets an introduction |
| title_exact_search | Statistics of financial markets an introduction |
| title_full | Statistics of financial markets an introduction Jürgen Franke ; Wolfgang Karl Härdle ; Christian Matthias Hafner |
| title_fullStr | Statistics of financial markets an introduction Jürgen Franke ; Wolfgang Karl Härdle ; Christian Matthias Hafner |
| title_full_unstemmed | Statistics of financial markets an introduction Jürgen Franke ; Wolfgang Karl Härdle ; Christian Matthias Hafner |
| title_short | Statistics of financial markets |
| title_sort | statistics of financial markets an introduction |
| title_sub | an introduction |
| topic | Optionspreistheorie (DE-588)4135346-8 gnd Kreditmarkt (DE-588)4073788-3 gnd Financial Engineering (DE-588)4208404-0 gnd CD-ROM (DE-588)4139307-7 gnd Mathematisches Modell (DE-588)4114528-8 gnd Finanzmathematik (DE-588)4017195-4 gnd Statistik (DE-588)4056995-0 gnd |
| topic_facet | Optionspreistheorie Kreditmarkt Financial Engineering CD-ROM Mathematisches Modell Finanzmathematik Statistik Lehrbuch |
| url | http://deposit.dnb.de/cgi-bin/dokserv?id=3537184&prov=M&dok_var=1&dok_ext=htm http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020614718&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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