Statistics of Financial Markets

  • 4.9 Rating
  • 5 Reviews
  • 0 Students Enrolled

Statistics of Financial Markets

Statistics of Finance data; Quantitative finance; Forecasting

  • 4.9 Rating
  • 5 Reviews
  • 0 Students Enrolled
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Course Content

28 courselets • 52 courselet components • 11h 35m total length

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.

http://www.springer.com/statistics/business%2C+economics+%26+finance/book/978-3-642-33928-8

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. (2015) Applied Multivariate Statistical Analysis, 4th ed., Springer Verlag, Berlin Heidelberg. ISBN 978-3-662-45170-0 (580 p)
  • 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)

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About the Instructor

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About the Instructor

Wolfgang Karl HÄRDLE attained his Dr. rer. nat. in Mathematics at Universität Heidelberg in 1982 and in 1988 his habilitation at Universität Bonn.  He is Ladislaus von Bortkiewicz Professor of Statistics at Humboldt-Universität zu Berlin and the director of the Sino German Graduate School (洪堡大学 + 厦门大学) IRTG1792 on “High dimensional non stationary time series analysis”.  He also serves as head of the joint BRC Blockchain Research Center (with U Zürich).  He is guest professor at WISE, Xiamen U, SMU, Singapore, NCTU, Hsinchu TW, Charles U, Prague CZ.

 

His research focuses on data sciences, dimension reduction and quantitative finance.  He has published over 30 books and more than 300 papers in top statistical, econometrics and finance journals. He is highly ranked and cited on Google Scholar, REPEC and SSRN. He has professional experience in financial engineering, smart (specific, measurable, achievable, relevant, timely) data analytics, machine learning and cryptocurrency markets. He has created a financial risk meter, FRM  hu.berlin/frm, a cryptocurrency index, CRIX thecrix.de. and organises regularly blockchainnights.com   His web page is: hu.berlin/wkh  

 

Student Feedback

4.9
Course Rating
96%  
96%  
100%  

CW
27-06-2022
Connie Wu

This courselet provides a bunch of information, good for self-learning!


JB
27-06-2022
Justin Bbox

Nice and detailed course. Learned a lot in both statistic and finance. But may get a little hard time starting from options.


D
27-06-2022
Deyu Li

It is totally valuable course, with well-structured presentation and clearly explained content . recommended.


A
28-06-2022
Alexander Hölzer

I'm currently taking the same course offered by the Humboldt University of Berlin. Here on Quantinar, I have the possibility to revisit course content at my own pace and check the complementary materials such as the codes. The course content is top-notch. Perfect course to get started with financial statistics. It's great to see that such quality content is online available for everyone with a Quantinar account.