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E-book
Author Borak, Szymon

Title Statistics of financial markets : exercises and solutions / Szymon Borak, Wolfgang Karl Härdle, Brenda López-Cabrera
Edition 2nd ed
Published Berlin ; New York : Springer, ©2013

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Description 1 online resource
Series Universitext, 0172-5939
Universitext.
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
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
Analysis Finance
Economics -- Statistics
Statistics for Business/Economics/Mathematical Finance/Insurance
Quantitative Finance
Finance/Investment/Banking
Bibliography Includes bibliographical references and index
Subject Finance -- Statistical methods
Finance -- Mathematical models.
Statistics.
Statistics as Topic
statistics.
Finanzas -- Métodos estadísticos
Finanzas -- Modelos matemáticos
Estadística
Statistics
Finance -- Mathematical models
Finance -- Statistical methods
Kreditmarkt
Finanzmathematik
Optionspreis
Preisbildung
Zeitreihenanalyse
Statistisches Modell
Form Electronic book
Author Härdle, Wolfgang
López Cabrera, Brenda
ISBN 9783642339295
3642339298
364233928X
9783642339288