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Statistics of Financial Markets: Exercises and Solutions
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Feldname
Details
Dewey Class
330.015195
Titel
Statistics of Financial Markets (EB) : Exercises and Solutions / by by Szymon Borak, Wolfgang Karl Härdle, Brenda López-Cabrera.
Verfasser
Borak, Szymon
Added Personal Name
Härdle, Wolfgang Karl. , 1953-
López Cabrera, Brenda
Other name(s)
SpringerLink (Online service)
Edition statement
2nd ed. 2013.
Veröffentl
Berlin, Heidelberg : Springer
, 2013.
Physical Details
XXIX, 246 pages : 271 illus., 241 illus. in color. : online resource.
Reihe
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
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Schlagwörter:
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Economics
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Finance
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Finance/Investment/Banking
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Quantitative Finance
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Statistics
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Statistics for Business/Economics/Mathematical Finance/Insurance
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Authors:
author
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Borak, Szymon
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Härdle, Wolfgang Karl. 1953-
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López Cabrera, Brenda
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Corporate Authors:
SpringerLink (Online service)
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Series:
Universitext
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Classification:
330.015195
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330.015195 (DDC 23)
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