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Statistics of Financial Markets Exercises and Solutions

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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Bibliographic Details
Main Authors: Borak, Szymon, Härdle, Wolfgang Karl (Author), López-Cabrera, Brenda (Author)
Format: eBook
Language:English
Published: Berlin, Heidelberg Springer Berlin Heidelberg 2010, 2010
Edition:1st ed. 2010
Series:Universitext
Subjects:
Finance, Public
Mathematics In Business, Economics And Finance
Finance
Statistics 
Probability Theory
Statistics In Business, Management, Economics, Finance, Insurance
Public Economics
Social Sciences / Mathematics
Financial Economics
Probabilities
Online Access:
Collection: Springer eBooks 2005- - Collection details see MPG.ReNa
Table of Contents:
  • 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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