Statistics of Financial Markets Exercises and Solutions /

• Main Authors: Borak, Szymon (Author), Härdle, Wolfgang Karl (Author), López Cabrera, Brenda (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2010.
• Series: Universitext
• Subjects: Mathematics.; Finance.; Economics, Mathematical.; Probabilities.; Statistics.; Public finance.; Probability Theory and Stochastic Processes.; Public Economics.; Statistics for Business/Economics/Mathematical Finance/Insurance.; Quantitative Finance.; Finance, general.

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...

Table of Contents:

• 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.