Titlebook: Statistics of Financial Markets; An Introduction Jürgen Franke,Wolfgang Karl Härdle,Christian Matth Textbook 2019Latest edition Springer Na

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American OptionsPricing American options is a more complex task than for European options since they can be exercised any time up to expiry. The moment the holder chooses to exercise option depends on the spot price of the underlying asset ..

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Time Series with Stochastic VolatilityIn the previous chapters we have already discussed that volatility plays an important role in modelling financial systems and time series. Unlike the term structure, volatility is unobservable and thus must be estimated from the data.

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Non-Parametric and Flexible Time Series EstimatorsWith the analysis of (financial) time series, one of the most important goals is to produce forecasts. Using past data one can argue about the future mean, the future volatility and so on; however, a flexible method of producing such estimates will be introduced in this chapter.

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Jürgen Franke,Wolfgang Karl Härdle,Christian MatthOffers an essential introduction to the growing field of statistical applications in finance.Addresses option pricing, analysis of financial time series, portfolio selection and risk management, and v

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Interest Rates and Interest Rate Derivativesular especially among large institutional investors. Thus, the valuation of these instruments has been a major challenge for both practitioners and academics. Pricing interest rate derivatives fundamentally depends on the term structure of interest rates.

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