Statistics of Financial Markets Exercises and Solutions
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...
| Main Authors: | , , |
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| Format: | eBook |
| Language: | English |
| Published: |
Berlin, Heidelberg
Springer Berlin Heidelberg
2013, 2013
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| Edition: | 2nd ed. 2013 |
| Series: | Universitext
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| Subjects: | |
| Online Access: | |
| Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
Table of Contents:
- 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