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Statistics of Financial Markets

文件格式:Pdf 可复制性:可复制 TAG标签: Statistics Financial Markets 点击次数: 更新时间:2009-10-16 16:43
介绍

书名:Statistics of Financial Markets
作者:Franke, Jürgen, Härdle, Wolfgang, Hafner, Christian M.
springer出版社出版
内容:
一、Option Pricing: Derivaties.- 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 and Interest Rate Derivatives.

二、Statistical Model of Financial Time Series: Introduction: Definitions and Concepts.- ARMA Time Series Models.- Time Series with Stochastic Volatility.- Nonparametric Concepts for Financial Time Series.

三、Selected Financial Applications: Valuing Options with Flexible Volatility Estimators.- Value-at-Risk and Backtesting.- Copulas and Value-at Risk.- Statistics of Extreme Risks.- Neural Networks.- Volatility Risk of Portfolios.- Nonparametric Estimators for the Probability of Defaulting.

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