LIBERO WebOPAC Catalogue Display (W561)

Catalogue Information
Field name	Details
Dewey Class	330.015195
Title	Statistics of Financial Markets (EB) : Exercises and Solutions / by by Szymon Borak, Wolfgang Karl Härdle, Brenda López-Cabrera.
Author	Borak, Szymon
Added Personal Name	Härdle, Wolfgang Karl. , 1953-
Added Personal Name	López Cabrera, Brenda
Other name(s)	SpringerLink (Online service)
Edition statement	2nd ed. 2013.
Publication	Berlin, Heidelberg : Springer
Publication	, 2013.
Physical Details	XXIX, 246 pages : 271 illus., 241 illus. in color. : online resource.
Series	Universitext 0172-5939
ISBN	9783642339295
Summary Note	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 note	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.
System details note	Online access to this digital book is restricted to subscription institutions through IP address (only for SISSA internal users).
Internet Site	http://dx.doi.org/10.1007/978-3-642-33929-5
Links to Related Works	Subject References: Economics . Finance . Finance/Investment/Banking . Quantitative Finance . Statistics . Statistics for Business/Economics/Mathematical Finance/Insurance . Authors: author . Borak, Szymon . Härdle, Wolfgang Karl. 1953- . López Cabrera, Brenda . Corporate Authors: SpringerLink (Online service) . Series: Universitext . Classification: 330.015195 . 330.015195 (DDC 23) .

Catalogue Display

Statistics of Financial Markets: Exercises and Solutions

Reviews