Statistics of Financial Markets: An Introduction - download pdf or read online

By Professor Dr. Jürgen Franke, Professor Dr. Wolfgang K. Härdle, Professor Dr. Christian M. Hafner (auth.)

ISBN-10: 3540762698

ISBN-13: 9783540762690

ISBN-10: 3540762728

ISBN-13: 9783540762720

This is a vital textual content for a person within the box of economic econometrics. Readers will locate that, refreshingly, this article offers in a vibrant but concise sort the required statistical and mathematical historical past for monetary engineers. the focal point is either on basics of mathematical finance and fiscal time sequence research and on purposes to given difficulties of economic markets, making the ebook the perfect foundation for lectures, seminars and crash classes at the topic.

For the second one version the ebook has been up-to-date and largely revised. a number of new issues were incorporated, akin to a bankruptcy on credits hazard management.

From experiences of the 1st variation: “The fabric is easily provided with an exceptional stability among theoretical and utilized elements. … The ebook is a wonderful demonstration of the ability of stochastics … . The author’s aim is easily completed: this publication can fulfill the wishes of alternative teams of readers … . this e-book can, and that i anticipate it is going to, be effectively used.” (Jordan Stoyanov, magazine of the Royal Statistical Society, Vol. 168 (4), 2005)

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In general, it holds for independent random variables X1 , . . , Xn Cov(Xi , Xj ) = 0 for i = j . This implies a useful computation rule: n n Xj = Var j=1 Var(Xj ) . j=1 If X1 , . . ). 4) P(x ≤ X ≤ x + Δx ) 44 3 Basic Concepts of Probability Theory provided the denominator is different from zero. The conditional probability of events of the kind a ≤ Y ≤ b reflects our opinion of which values are more plausible than others, given that another random variable X has taken a certain value. If Y is independent of X, the probabilities of Y are not influenced by prior knowledge about X.

The fact that options are not traded at all delivery prices suggests that they should be produced by the delta hedge process described in Chapter 6. a. a. 9: The effect of a portfolio insurance in case ii) on portfolio value and return. ever, since a dynamic strategy is involved, transaction costs need to be taken into account and give rise to other problems. e. puts and calls on the DAX for example. This is not only beneficial from a cost saving point of view but also because index options replace options on a single underlying transaction which are not traded on the market.

A. a. 9: The effect of a portfolio insurance in case ii) on portfolio value and return. ever, since a dynamic strategy is involved, transaction costs need to be taken into account and give rise to other problems. e. puts and calls on the DAX for example. This is not only beneficial from a cost saving point of view but also because index options replace options on a single underlying transaction which are not traded on the market. To compute the exact effect of an index option hedge, the correlation of the portfolio with the index is needed.

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Statistics of Financial Markets: An Introduction by Professor Dr. Jürgen Franke, Professor Dr. Wolfgang K. Härdle, Professor Dr. Christian M. Hafner (auth.)


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