rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Statistics of Financial Markets
    sub title: Exercises and Solutions
  name:
    name part: Borak, Szymon.
    role:
      role term: creator
    role:
      role term: author.
  name:
    name part: Härdle, Wolfgang Karl.
    role:
      role term: author.
  name:
    name part: López-Cabrera, Brenda.
    role:
      role term: author.
  name:
    name part: SpringerLink (Online service)
  type of resource: text
  origin info:
    place:
      place term: gw
    date issued: 2013
    edition: 2nd ed. 2013.
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: electronic
    form: electronic resource
    reformatting quality: access
    form: remote
    extent: XXIX, 246 p. 271 illus., 241 illus. in color. online resource.
  abstract: Practice makes perfect. Therefore the best method of mastering models is working with them. This book contains a large collection of exercises and solutions which will help explain the statistics of financial markets. These practical examples are carefully presented and provide computational solutions to specific problems, all of which are calculated using R and Matlab. This study additionally looks at the concept of corresponding Quantlets, the name given to these program codes and which follow the name scheme SFSxyz123. The book is divided into three main parts, in which option pricing, time series analysis and advanced quantitative statistical techniques in finance is thoroughly discussed. The authors have overall successfully created the ideal balance between theoretical presentation and practical challenges.
  table of contents: Part I Option Pricing: Derivatives -- Introduction to Option Management -- Basic Concepts of Probability Theory -- Stochastic Processes in Discrete Time -- Stochastic Integrals and Di erential Equations -- Black-Scholes Option Pricing Model -- Binomial Model for European Options -- American Options -- Models for the Interest Rate and Interest Rate Derivatives -- Part II Statistical Model of Financial Time Series: Financial Time Series Models -- ARIMA Time Series Models -- Time Series with Stochastic Volatility -- Part III 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 -- References.
  note: by Szymon Borak, Wolfgang Karl Härdle, Brenda López-Cabrera.
  subject:
    topic: Statistics
  subject:
    topic: Finance
  subject:
    topic: Economics, Mathematical
  subject:
    topic: Statistics
  subject:
    topic: Statistics for Business/Economics/Mathematical Finance/Insurance
  subject:
    topic: Quantitative Finance
  subject:
    topic: Finance, general
  classification: QA276-280
  classification: 330.015195
  related item:
    title info:
      title: Springer eBooks
  related item:
    title info:
      title: Universitext
  identifier: 9783642339295
  identifier: http://dx.doi.org/10.1007/978-3-642-33929-5
  record info:
    record creation date: 130125
    record change date: 20151204150648.0
    record identifier: 978-3-642-33929-5