Financial Statistics and Mathematical Finance

This is a compagnion website of the book Financial Statistics and Mathematical Finance by Ansgar Steland, available from Wiley & Sons.

The book provides an introduction to financial statistics and mathematical finance. First you learn basic issues such as how to price derivatives, compute equivalent martingale measures and analyse data from financial markets. Further chapters provide introductions to advanced topics such as martingale theory, stochastic processes, Itô calculus and time series analysis. As special topics, hot topics such as copula methodology, the financial crisis and sequential detection of structural changes are covered.

On this site you can download supplemental material, data files and R scripts.