Statistics of Financial Markets Exercises and Solutions /

Statistics of Financial Markets Exercises and Solutions /

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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 solutio...

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Bibliographic Details
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 : Imprint: Springer, 2013.
Edition:2nd ed. 2013.
Series:Universitext,
Subjects:
Statistics.
Finance.
Economics, Mathematical.
Statistics for Business/Economics/Mathematical Finance/Insurance.
Quantitative Finance.
Finance, general.
Online Access:Full Text via HEAL-Link
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.

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