Statistics of Financial Markets Exercises and Solutions /

Practice makes perfect. Therefore the best method of mastering models is working with them. In this book we present a collection of exercises and solutions which can be helpful in the comprehension of Statistics of Financial Markets. The exercises illustrate the theory by discussing practical exampl...

Πλήρης περιγραφή

Λεπτομέρειες βιβλιογραφικής εγγραφής
Κύριοι συγγραφείς: Borak, Szymon (Συγγραφέας), Härdle, Wolfgang Karl (Συγγραφέας), López Cabrera, Brenda (Συγγραφέας)
Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
Γλώσσα:English
Έκδοση: Berlin, Heidelberg : Springer Berlin Heidelberg, 2010.
Σειρά:Universitext
Θέματα:
Διαθέσιμο Online:Full Text via HEAL-Link
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100 1 |a Borak, Szymon.  |e author. 
245 1 0 |a Statistics of Financial Markets  |h [electronic resource] :  |b Exercises and Solutions /  |c by Szymon Borak, Wolfgang Karl Härdle, Brenda López Cabrera. 
264 1 |a Berlin, Heidelberg :  |b Springer Berlin Heidelberg,  |c 2010. 
300 |a XX, 229 p.  |b online resource. 
336 |a text  |b txt  |2 rdacontent 
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338 |a online resource  |b cr  |2 rdacarrier 
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490 1 |a Universitext 
505 0 |a Option Pricing -- Derivatives -- to Option Management -- Basic Concepts of Probability Theory -- Stochastic Processes in Discrete Time -- Stochastic Integrals and Differential Equations -- Black-Scholes Option Pricing Model -- Binomial Model for European Options -- American Options -- Exotic Options -- Models for the Interest Rate and Interest Rate Derivatives -- Statistical Model of Financial Time Series -- Financial Time Series Models -- ARIMA Time Series Models -- Time Series with Stochastic Volatility -- Selected Financial Applications -- Value at Risk and Backtesting -- Copulae and Value at Risk -- Statistics of Extreme Risks -- Volatility Risk of Option Portfolios -- Portfolio Credit Risk. 
520 |a Practice makes perfect. Therefore the best method of mastering models is working with them. In this book we present a collection of exercises and solutions which can be helpful in the comprehension of Statistics of Financial Markets. The exercises illustrate the theory by discussing practical examples in detail. We provide computational solutions for the problems, which are all calculated using R and Matlab. The corresponding Quantlets - a name we give to these program codes - are provided in this book. They follow the name scheme SFSxyz123 and can be downloaded from the Springer homepage. We have sought to strike a balance between theoretical presentation and practical challenges. The book is divided into three main parts, in which we discuss option pricing, time series analysis and advanced quantitative statistical techniques in finance. 
650 0 |a Mathematics. 
650 0 |a Finance. 
650 0 |a Economics, Mathematical. 
650 0 |a Probabilities. 
650 0 |a Statistics. 
650 0 |a Public finance. 
650 1 4 |a Mathematics. 
650 2 4 |a Probability Theory and Stochastic Processes. 
650 2 4 |a Public Economics. 
650 2 4 |a Statistics for Business/Economics/Mathematical Finance/Insurance. 
650 2 4 |a Quantitative Finance. 
650 2 4 |a Finance, general. 
700 1 |a Härdle, Wolfgang Karl.  |e author. 
700 1 |a López Cabrera, Brenda.  |e author. 
710 2 |a SpringerLink (Online service) 
773 0 |t Springer eBooks 
776 0 8 |i Printed edition:  |z 9783642111334 
830 0 |a Universitext 
856 4 0 |u http://dx.doi.org/10.1007/978-3-642-11134-1  |z Full Text via HEAL-Link 
912 |a ZDB-2-SMA 
950 |a Mathematics and Statistics (Springer-11649)