Statistics of Financial Markets
Description
Reviews / Votes
From the reviews of the third edition:
"This book provides an excellent introduction to the tools from probability and statistics necessary to
analyze financial data. Clearly written and accessible, it will be very useful to students and practitioners alike"
Yacine Ait-Sahalia, Otto Hack 1903 Professor of Finance and Economics, Princeton University
"This is a well-written book on statistical aspects of finance, which starts from definitions of basic financial instruments and then develops both old and latest models and methods . . There is a very good coverage of stochastic volatility through GARCH models, bringing out both its strength, and weakness in the non-stationary case. . Discussions of most models and their assessment are supported with real data. . the style of writing is clear, precise, and rigorous." (Jayanta K. Ghosh, International Statistical Review, Vol. 80 (3), 2012)
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Persons
Jürgen Franke
is a professor of applied mathematical statistics at the University of Kaiserslautern, member of the graduate school 'Mathematics as a Key Technology', and since 2000 he has been an advisor to the Financial Mathematics Group of the Fraunhofer Institute for Industrial Mathematics, Kaiserslautern. His research focuses on nonlinear time series and nonparametric statistics with applications in financial time series and risk analysis.
Wolfgang Karl Härdle
is a professor of statistics at the Humboldt-Universität zu Berlin and director of C.A.S.E. - the Centre for Applied Statistics and Economics. He teaches quantitative finance and semiparametric statistical methods. His research focuses on
dynamic factor models, multivariate statistics in finance and computational statistics. He is an elected ISI member and advisor to the Guanghua School of Management, Peking University and to National Central University, Taiwan.
Christian Matthias Hafner
is a professor of econometrics and statistics at the Université Catholique de Louvain. His work is mainly concerned with the applications of nonlinear time series and volatility models to financial markets.
Content
Option Pricing.- Statistical Models of Financial Time Series.- Selected Financial Applications.- Technical Appendix.- Appendix.- Frequently Used Notations.- Index.
