Statistics of Financial Markets Exercises and Solutions /

• Main Authors: Borak, Szymon. (Author), Hr̃dle, Wolfgang Karl. (Author), Lp̤ez-Cabrera, Brenda. (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2013.
• Edition: 2nd ed. 2013.
• Series: Universitext,
• Subjects: Statistics.; Finance.; Economics > Statistics.; Statistics for Business/Economics/Mathematical Finance/Insurance.; Quantitative Finance.; Finance/Investment/Banking.
• Online Access: https://ezaccess.library.uitm.edu.my/login?url=http://dx.doi.org/10.1007/978-3-642-33929-5

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...

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.