Statistics of Financial Markets Exercises and Solutions /

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Practice makes perfect. Therefore the best method of mastering models is working with them. In this book we present a collection of exercises and solutions which can be helpful in the comprehension of Statistics of Financial Markets. The exercises illustrate the theory by discussing practical exampl...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Borak, Szymon (Autor), Härdle, Wolfgang Karl (Autor), López-Cabrera, Brenda (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2010.
Edición:1st ed. 2010.
Colección:Universitext,
Temas:
Probabilities.
Finance, Public.
Statistics .
Social sciences-Mathematics.
Finance.
Probability Theory.
Public Economics.
Statistics in Business, Management, Economics, Finance, Insurance.
Mathematics in Business, Economics and Finance.
Financial Economics.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • Option Pricing
  • Derivatives
  • 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.

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