Statistics of Financial Markets: An Introduction (Paperback, 5, 2019)

Preface to the Fith Edition.- Part I Option Pricing.- 1 Derivatives.- 2 Introduction to Option Management.- 3 Basic Concepts of Probability Theory.- 4 Stochastic Processes in Discrete Time.- 5 Stochastic Integrals and Differential Equations.- 6 Black-Scholes Option Pricing Model.- 7 Binomial Model for European Options.- 8 American Options.- 9 Exotic Options.- 10 Interest Rates and Interest Rate Derivatives.- Part II Statistical Models of Financial Time Series.- 11 Introduction: Definitions and Concepts.- 12 ARIMA Time Series Models.- 13 Time Series with Stochastic Volatility.- 14 Long Memory Time Series.- 15 Non-Parametric and Flexible Time Series Estimators.- Part III Selected Financial Applications.- 16 Value at Risk and Backtesting.- 17 Copulae and Value at Risk.- 18 Statistics of Extreme Risks.- 19 Neural Networks and Deep Learning.- 20 Volatility Risk of Option Portfolios.- 21 Nonparametric Estimators for the Probability of Default.- 22 Credit Risk Management and Credit Derivatives.- 23 Financial econometrics of Crypto-currencies.- A Technical Appendix.- Symbols and Notations.