Statistics of Financial Markets Exercises and Solutions /

• 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 : Imprint: Springer, 2013.
• Έκδοση: 2nd ed. 2013.
• Σειρά: Universitext,
• Θέματα: Statistics.; Finance.; Economics, Mathematical.; 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. 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...

Πίνακας περιεχομένων:

• 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.