Statistics of financial markets. An introduction. (Q5917546)

The participants in financial markets are permanently facing decisions that involve the potential joint evolution of a sizable number of financial variables. These variables may be interest rates, equity prices, credit spreads, ratings of companies, commodity prices, exchange rates, macroeconomic indices and so on. The participants may be interested in hedging risks, pricing financial instruments or trading and investing. Statistical techniques are used for all those purposes; heavily used, of course. This book, a textbook as a matter of fact, deals with some of the statistical techniques which are most actively used in the analysis of financial time series: basic econometric modelling, Arima and Garch models (of different levels of generality and dimension), and then exhibits their use in a number of selected applications: option pricing, value and risk and extreme risk, prediction (via neural networks) or credit scoring. Those are Parts 2 and 3. Part 1 is a very direct (at times, brisk) introduction to financial markets and instruments and its mathematical modelling, including stochastic calculus, and ending with a description of the standard Black-Scholes framework. The book does not intend to be a treatise, although it covers a lot of material. Important issues like interest rates or credit are only lightly discussed. These are the lecture notes of a course on the subject, which have been carefully edited, and presented in book format. As such, it is a good textbook: lots of insights, careful presentations, ordered introduction. No exercises or questions for the students are included, but a large collection of data sets, those which are used for illustrative purposes in the book may be downloaded from a website.