# Statistics of Financial Markets

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# Statistics of Financial Markets

Statistics of Finance data; Quantitative finance; Forecasting

• 4.9 Rating
• 9 Reviews
• 31 Students Enrolled
• Free
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### Course Content

49 courselets
 26 min 1.08 K
 583 24 min
 34 min 2.86 K
 26 min 2.7 K
 1.04 K 27 min
 1.52 K 24 min
 1.5 K 29 min
 47 min 4.46 K
 10.37 K 31 min
 10.37 K 28 min
 10.37 K 30 min
 18 min 9.24 K
 6.7 K 23 min
 8.43 K 27 min
 7.42 K 27 min
 4.46 K 31 min
 3.73 K 33 min
 4.46 K 27 min
 8.95 K 36 min
 2.83 K 26 min
 4.27 K 17 min
 1.41 K 20 min
 1.33 K 21 min
 8.55 K 32 min
 2.71 K 31 min
 3.43 K 40 min
 1.74 K 17 min
 4.11 K 34 min
 915 19 min
 3.28 K 28 min
 16.63 K
 5.07 K
 1.82 K 9 min
 3.27 K 11 min
 2.1 K 9 min
 6 min 760
 2.02 K
 3.41 K 13 min
 2.6 K
 1.15 K 20 min
 2.01 K 18 min
 8 min 1.6 K
 624 9 min
 879 17 min
 1.75 K 20 min
 2.26 K
 8.2 K
 1.37 K
 1.85 K

### Requirements

• Good knowledge in multivariate statistical analysis

### Description

This course gives an introduction to the basic concepts of option pricing and its probabilistic foundations. Next, stochastic processes in discrete time are presented and the Wiener process is introduced. Itô's Lemma is derived and the Black- Scholes (BS) Option model is presented leading to the analytic solution for the BS Option price. Numerical solutions via binomial or trinomial tree constructions are discussed in detail. SFM is continued with Interest Rate Dynamics, valuation of options in spot rate dynamic models, like CIR or the HJM framework.  A credit risk portfolio with the discussion of CDOs is finally presented.

Requirements: Multivariate Statistical Analysis (MVA) (or prove equivalent knowledge)

Material：

Statistics of Financial Markets (Franke, Härdle, Hafner), 2019, 5th ed. Springer.

http://www.springer.com/de/book/9783642545382

Statistics of Financial Markets (Borak, Härdle, Lopez Cabrera), 2013, 2nd ed. Springer.

### Bibliography and Sources

• Härdle, W., Chen, C.Y.H. and Overbeck, L. (2017) Applied Quantitative Finance, 3rd ed., Springer Verlag, Heidelberg. ISBN 978-3-662-54485-3 (372 p)
• Härdle, W., Simar, L. (2019) Applied Multivariate Statistical Analysis, 5th ed., Springer Verlag, Berlin Heidelberg. ISBN: 978-3-030-26006-4 (580 p) https://link.springer.com/book/10.1007/978-3-030-26006-4
• Hull (2005) Options, Futures, and Other Derivatives, 6th ed., Prentice Hall. ISBN 0-13-149908-4 (816 p)
• Cizek, P., Härdle, W., Weron, R. (2011) Statistical Tools for Finance and Insurance, 2nd ed., Springer Verlag, Heidelberg. ISBN: 978-3-642-18061-3 (420 p)

Last Updated 16th January 2023
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