Jurgen Franke – Statistics of Financial Markets

From the reviews of the third edition:

“This book provides an excellent introduction to the tools from probability and statistics necessary to

analyze financial data. Clearly written and accessible, it will be very useful to students and practitioners alike”

Yacine Ait-Sahalia, Otto Hack 1903 Professor of Finance and Economics, Princeton University

“This is a well-written book on statistical aspects of finance, which starts from definitions of basic financial instruments and then develops both old and latest models and methods … . There is a very good coverage of stochastic volatility through GARCH models, bringing out both its strength, and weakness in the non-stationary case. … Discussions of most models and their assessment are supported with real data. … the style of writing is clear, precise, and rigorous.” (Jayanta K. Ghosh, International Statistical Review, Vol. 80 (3), 2012)

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 portfolios and managing risks making realistic assumptions of the market behaviour. The focus is bothon the fundamentals of mathematical finance and financial time series analysis and on applications to given problems of financial markets, thus making the book the ideal basis for lecturers, seminars and crash courses on the topic.

For the third edition the book has been updated and extensively revised. Several new aspects have been included: new chapters on long memory models, copulae and CDO valuation.