Statistics of financial markets exercises and solutions Szymon Borak, Wolfgang Karl Härdle, Brenda López-Cabrera

Format:

Book

Author/Creator:

Borak, Szymon

Contributor:

Härdle, Wolfgang

López Cabrera, Brenda

Series:

Universitext

Universitext 0172-5939

Language:

English

Subjects (All):

Finance--Statistical methods.

Finance.

Finance--Mathematical models.

Statistics.

Statistics as Topic.

statistics.

Medical Subjects:

Statistics as Topic.

Physical Description:

1 online resource

Edition:

2nd ed.

Place of Publication:

Berlin New York Springer ©2013

System Details:

text file

PDF

Summary:

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

Contents:

Option Pricing Derivatives Introduction 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

Notes:

Includes bibliographical references and index

Other Format:

Printed edition:

ISBN:

9783642339295

3642339298

364233928X

9783642339288

OCLC:

826681531

Access Restriction:

Restricted for use by site license