Statistics of Financial Markets: An Introduction (Universitext) by Jürgen Franke

Product Description


Statistics of Financial Markets offers a vivid yet concise introduction to the growing field of statistical applications in finance. The reader will learn the basic methods to evaluate option contracts, to analyse financial time series, to select portfolios and manage risks making realistic assumptions of the market behaviour.

The focus is both on fundamentals of mathematical finance and financial time series analysis and on applications to given problems of financial markets, making the book the ideal basis for lectures, seminars and crash courses on the topic.

For the second edition the book has been updated and extensively revised. Several new aspects have been included, among others a chapter on credit risk management.
Product Details
Amazon Sales Rank: #746891 in Books
Published on: 2008-02-13
Number of items: 1
Binding: Paperback
501 pages
Editorial Reviews

Review

From reviews of the first edition:


"The book starts with five eye-catching pages that reproduce a students handwritten notes for the examination that is based on this book. The material is well presented with a good balance between theoretical and applied aspects. The book is an excellent demonstration of the power of stochastics . The authors goal is well achieved: this book can satisfy the needs of different groups of readers . this book can, and I expect it will, be successfully used . The variety of interrelated topics students as well as for their teachers." (Jordan Stoyanov, Journal of the Royal Statistical Society, Vol. 168 (4), 2005)

"This book provides a statistical approach to the theoretical and practical issues relating to stock trading. Written by three specialists in closely related fields, it is highly useful for anyone interested in the mathematical and statistical aspects of finance . Its structure highlights a logical link thus presenting itself as a good reference not only for students and lecturers but also for researchers in particular those keenly interested in the dynamics of the stock market. It provides a step forward towards ." (Kassim S. Mwitondi, Journal of Applied Statistics, Vol. 32 (4), 2005)

"This book, a textbook as a matter of fact, deals with some of the statistical techniques which are most actively used in the analysis of financial time series . These are the lecture notes of a course on the subject, which have been carefully edited, and presented in book format. As such, it is a good textbook: lots of insights, careful presentations, ordered introduction." (José Lúis Fernandez Perez, Zentralblatt MATH, Vol. 1059 (10), 2005)

"This textbook presents an introduction to financial mathematics for a graduate level course. The text briefly introduces the concepts of probability theory . The book could be used for teaching a post-graduate (honours and masters level), course in financial mathematics." (Gary D Sharp, South African Statistical Journal, March 2005)
Customer Reviews

Great intutive introduction to stochastic calculus
This book was such a relief after going through tens of books/lectures notes on stochastic calculus. Most math books give the theory behind Ito calculus (martingales, measure theory etc.), but fail to give the motivation and reasoning behind abstract definitions. This book does an excellent job in deriving many seemingly-complicated math formulas (or, theorems) using intuitive terms. It is an excellent read for people who have a reasonable background in probability theory, and are wishing to learn stochastic calculus (plus finance). I strongly recommend it to anyone who wants to learn the rudiments of Ito integral and see its applications in finance.

Great introduction to the Value at Risk measures
Got the friendly yellow paperback version. The book is in three major parts; Options, Time series and then Value at Risk.

The first section starts out well with an overview of Stochastic Processes and then moves on to Stochastic Integrals and Differential Equations. All of this is motivation to help with the pricing of Options, starting with European, then American and moving onto Exotics and Bond Options. It covers all the major points, though it is a little limited in the Exotics, it does have a good references to more thorough works.

The second section on time series works with ARIMA, ARCH and GARCH models.

The third section (labeled Selected Financial Applications) is mostly about the VAR though is has some really good commentary on the Volatility of Option Portfolios.

An added bonus is that you can download the PDF version of the book, and all the data for the examples from the web, with quite a neat one-time license.

I would recommend this book to people needing a good overview of the subjects listed above, and as a handy reference.