Valuing Options with Flexible Volatility Estimators
Since their introduction by Engle and Bollers1ev models with autoregressive, conditional heteroscedasticity (autoregressive conditional heteroscedasticity models or ARCH) have been successfully applied to financial market data. Thus it is natural to discu
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Springer-Verlag Berlin Heidelberg GmbH
Jürgen Franke· Wolfgang Härdle . Christian Hafner
Statistics of Financial Markets An Introduction
Springer
Professor Dr. Jürgen Franke University of Kaiserslautern P.O. Box 3049 67653 Kaiserslautern Germany e-mail: [email protected]
Professor Dr. Wolfgang Härdle Humboldt-Universität zu Berlin CASE-Center for Applied Statistics and Economics Spandauer Str. 1 10178 Berlin Germany e-mail: [email protected]
Professor Dr. Christian M. Hafner Erasmus University Rotterdam Econometric Institute, Faculty of Economics P.O. Box 1738 3000 DR Rotterdam The Netherlands e-mail: [email protected] Library of Congress Control Number: 2004105112 The photo on the cover of the bull and bear in front of the Frankfurt Stock Exchange was taken by Professor Wolfgang Härdle.
ISBN 978-3-540-21675-9
ISBN 978-3-662-10026-4 (eBook)
DOI 10.1007/978-3-662-10026-4
Mathematics Subject Classification (2000): 62MI0, 62P05, 91B28, 91B84
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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.
F ig "" 0.4, N o' es 01 a ,tn de nt 10 ' th e "" am 01 a
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Fig ure 0.5: No tes of a stu de nt for the ex am of a co urs e ba sed on thi s book.
Preface
Until about the 1970s, financial mathematics has been rather modest compared with other mathematical disciplines. This changed rapidly after the path-breaking works of F. Black, M. Scholes, and R. Merton on derivative pricing, for which they received the Nobel prize of economics in 1997. Since 1973, the publication year of the famous Black and Scholes article, the importance of derivative instruments in financial markets has not ceased to grow. Higher risks associated with, for example, flexible instea
