Statistics of Financial Markets

Jürgen Franke is a Professor of Applied Mathematical Statistics at Technische Universität Kaiserslautern, Germany, and is affiliated as advisor to the Fraunhofer Institute for Industrial Mathematics, Kaiserslautern. His research focuses on nonlinear time series, nonparametric statistics and machine learning with applications in time series and risk analysis for finance and industry. Wolfgang Karl Härdle is a Ladislaus von Bortkiewicz Professor of Statistics at the Humboldt-Universität Berlin, Germany, and director of the IRTG 1792 “High Dimensional Non-stationary Time Series.” He teaches quantitative finance and semi-parametric statistics. His research focuses on dynamic factor models, multivariate statistics in finance, and computational statistics. He is an elected member of the ISI (International Statistical Institute) and advisor to the Guanghua School of Management, Peking University, China.Christian Matthias Hafner is a Professor of Econometrics at the Université Catholique de Louvain and President of the Louvain School of Statistics, Biostatistics and Actuarial Sciences. His work is mainly concerned with applied non- and semiparametric statistics, time series analysis, volatility models, and financial econometrics.

• Preface to the Fith Edition.- Part I Option Pricing.- Derivatives.- Introduction to Option Management.- Basic Concepts of Probability Theory.- Stochastic Processes in Discrete Time.- Stochastic Integrals and Differential Equations.- Black–Scholes Option Pricing Model.- Binomial Model for European Options.- American Options.- Exotic Options.- Interest Rates and Interest Rate Derivatives.- Part II Statistical Models of Financial Time Series.- Introduction: Definitions and Concepts.- ARIMA Time Series Models.- Time Series with Stochastic Volatility.- Long Memory Time Series.-  Non-Parametric and Flexible Time Series Estimators.- Part III Selected Financial Applications.- Value at Risk and Backtesting.- Copulae and Value at Risk.- Statistics of Extreme Risks.- Neural Networks and Deep Learning.- Volatility Risk of Option Portfolios.- Nonparametric Estimators for the Probability of Default.- Credit Risk Management and Credit Derivatives.- Financial econometrics ofCrypto-currencies.- A Technical Appendix.- Index.- Symbols and Notations.