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. 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 solutio...

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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, 2013.
Edición:2nd ed. 2013.
Colección:Universitext,
Temas:
Statistics .
Social sciences-Mathematics.
Finance.
Statistics in Business, Management, Economics, Finance, Insurance.
Mathematics in Business, Economics and Finance.
Financial Economics.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • 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.

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