Statistics of Financial Markets

An Introduction

  • Jürgen Franke
  • Wolfgang K. Härdle
  • Christian M. Hafner

Part of the Universitext book series (UTX)

Table of contents

  1. Front Matter
    Pages i-xxii
  2. Option Pricing

  3. Statistical Models of Financial Time Series

  4. Selected Financial Applications

  5. Back Matter
    Pages 467-505

About this book


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.


Derivatives Estimator Financial Market Financial Markets Option Pricing Options Portfolio Statistical Models Stochastic Integrals Stochastic Processes Time series

Authors and affiliations

  • Jürgen Franke
    • 1
  • Wolfgang K. Härdle
    • 2
  • Christian M. Hafner
    • 3
  1. 1.University of KaiserslauternKaiserslauternGermany
  2. 2.CASE-Center for Applied Statistics and EconomicsHumboldt-Universität zu BerlinBerlinGermany
  3. 3.Institut de statistiqueUniversité catholique de LouvainLouvain-la-NeuveBelgium

Bibliographic information