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電子ブック
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1. Statistics of Financial Markets : An Introduction
by Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
出版情報: Berlin, Heidelberg : Springer-Verlag Berlin Heidelberg, 2011
シリーズ名: Universitext ;
オンライン: http://dx.doi.org/10.1007/978-3-642-16521-4
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電子ブック
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2. Statistical Tools for Finance and Insurance
edited by Pavel Cizek, Wolfgang Karl Härdle, Rafal Weron
出版情報: Berlin, Heidelberg : Springer-Verlag Berlin Heidelberg, 2011
オンライン: http://dx.doi.org/10.1007/978-3-642-18062-0
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3. Statistics of Financial Markets : Exercises and Solutions
by Szymon Borak, Wolfgang Karl Härdle, Brenda López Cabrera
出版情報: Berlin, Heidelberg : Springer-Verlag Berlin Heidelberg, 2010
シリーズ名: Universitext ;
オンライン: http://dx.doi.org/10.1007/978-3-642-11134-1
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4. Statistics of Financial Markets : Exercises and Solutions. 2nd ed. 2013
by Szymon Borak, Wolfgang Karl Härdle, Brenda López-Cabrera
出版情報: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2013
シリーズ名: Universitext ;
オンライン: http://dx.doi.org/10.1007/978-3-642-33929-5
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目次情報: 続きを見る
Part I Option Pricing: Derivatives
Introduction to Option Management
Basic Concepts of Probability Theory
Stochastic Processes in Discrete Time
Stochastic Integrals and Di erential Equations
Black-Scholes Option Pricing Model
Binomial Model for European Options
American Options
Models for the Interest Rate and Interest Rate Derivatives
Part II Statistical Model of Financial Time Series: Financial Time Series Models
ARIMA Time Series Models
Time Series with Stochastic Volatility
Part III Selected Financial Applications: Value at Risk and Backtesting
Copulae and Value at Risk
Statistics of Extreme Risks
Volatility Risk of Option Portfolios
Portfolio Credit Risk
References
Part I Option Pricing: Derivatives
Introduction to Option Management
Basic Concepts of Probability Theory
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5. Copulae in Mathematical and Quantitative Finance : Proceedings of the Workshop Held in Cracow, 10-11 July 2012
edited by Piotr Jaworski, Fabrizio Durante, Wolfgang Karl Härdle
出版情報: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2013
シリーズ名: Lecture Notes in Statistics ; 213
オンライン: http://dx.doi.org/10.1007/978-3-642-35407-6
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A Convolution-based Autoregressive Process by Umberto Cherubini and Fabio Gobbi
Selection of Vine Copulas by Claudia Czado, Eike Christian Brechmann and Lutz Gruber
Copulas in Machine Learning by Gal Elidan
An Overview of the Goodness-of-fit Test problem for Copulas by Jean-David Fermanian
Assessing and Modeling Asymmetry in Bivariate Continuous data by Christian Genest and Johanna G. Nešehová
Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series by Nikolaus Hautsch, Ostap Okhrin and Alexander Ristig
The Limiting Properties of Copulas under Univariate Conditioning by Piotr Jaworski
Singular Mixture Copulas by Dominic Lauterbach and Dietmar Pfeifer
Toward a Copula Theory for Multivariate Regular Variation by Haijun Li
CIID Frailty Models and Implied Copulas by Jan-Frederik Mai, Matthias Scherer and Rudi Zagst
Copula-based Models for Multivariate Discrete Response Data by Aristidis K. Nikoloulopoulos
Vector Generalized Linear Models: A Gaussian Copula Approach by Peter X
K. Song, Mingyao Li and Peng Zhang
APPENDIX A: Gaussian-Hermite Quadrature
APPENDIX B: AREs of GEE and VGLM for binary
Application of Bernstein Copulas to the Pricing of Multi-asset Derivatives by Bertrand Tavin
A Convolution-based Autoregressive Process by Umberto Cherubini and Fabio Gobbi
Selection of Vine Copulas by Claudia Czado, Eike Christian Brechmann and Lutz Gruber
Copulas in Machine Learning by Gal Elidan
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6. Statistics of Financial Markets : An Introduction. 4th ed. 2015
by Jürgen Franke, Wolfgang Karl Härdle, Christian Matthias Hafner
出版情報: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2015
シリーズ名: Universitext ;
オンライン: http://dx.doi.org/10.1007/978-3-642-54539-9
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目次情報: 続きを見る
Part I Option Pricing: Derivatives
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
Interest Rates and Interest Rate Derivatives
Part II Statistical Models of Financial Time Series: Introduction – Definitions and Concepts
ARIMA Time Series Models
Time Series with Stochastic Volatility
Long Memory Time Series
Non-Parametric and Flexible Time Series Estimators
Part III Selected Financial Applications: Copulae and Value at Risk
Statistics of Extreme Risks
Neural Networks
Volatility Risk of Option Portfolios
Nonparametric Estimators for the Probability of Default
Credit Risk Management and Credit Derivatives
Appendix: Integration Theory
Portfolio Strategies
Part I Option Pricing: Derivatives
Introduction to Option Management
Basic Concepts of Probability Theory