Statistics of Financial Markets An Introduction
Statistics of Financial Markets offers a vivid yet concise introduction to the growing field of statistical application in finance. The reader will learn the basic methods of evaluating option contracts, analysing financial time series, selecting portfoli
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Jürgen Franke • Wolfgang Karl Härdle Christian Matthias Hafner
Statistics of Financial Markets An Introduction Third Edition
Prof. Dr. Jürgen Franke TU Kaiserslautern FB Mathematik Erwin-Schrödinger-Str. 67663 Kaiserslautern Gebäude 48 Germany [email protected]
Prof. Dr. Christian Matthias Hafner Université Catholique de Louvain Inst. Statistique Voie du Roman Pays 20 1348 Leuven-la-Neuve Belgium [email protected]
Prof. Dr. Wolfgang Karl Härdle Humboldt-Universität zu Berlin Ladislaus von Bortkiewicz Chair of Statistics C.A.S.E. Centre for Applied Statistics and Economics School of Business and Economics Unter den Linden 6 10099 Berlin Germany [email protected] and Graduate Institute of Statistics National Central University Taiwan
Editorial board: Sheldon Axler, San Francisco State University Vincenzo Capasso, Università degli Studi di Milano Carles Casacuberta, Universitat de Barcelona Angus MacIntyre, Queen Mary, University of London Kenneth Ribet, University of California, Berkeley Claude Sabbah, CNRS, École Polytechnique Endre Süli, University of Oxford Wojbor Woyczy´nski, Case Western Reserve University
ISBN 978-3-642-16520-7 e-ISBN 978-3-642-16521-4 DOI 10.1007/978-3-642-16521-4 Springer Heidelberg Dordrecht London New York © Springer-Verlag Berlin Heidelberg 2011 This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer. Violations are liable to prosecution under the German Copyright Law. The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Cover design: deblik Printed on acid-free paper Springer is part of Springer Science+Business Media (www.springer.com)
Figure 0.1: Notes of a student for the exam of a course based on this book.
Figure 0.2: Notes of a student for the exam of a course based on this book.
Figure 0.3: Notes of a student for the exam of a course based on this book.
Figure 0.4: Notes of a student for the exam of a course based on this book.
Figure 0.5: Notes of a student for the exam of a course based on this book.
Preface to the Third Edition The meltdown of financial assets in Autumn of 2008 has made the consequences of the financial crisis clear to the broader public. The rapid loss of value of asset backed securities, collateralized debt obligations and other structured products was caused by the devaluat
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