Statistics of Financial Markets
Exercises and Solutions
1st Edition
Published on 21. June 2010
XX, 229 pages
978-3-642-11134-1 (ISBN)
Description
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 examples in detail. We provide computational solutions for the problems, which are all calculated using R and Matlab. The corresponding Quantlets - a name we give to these program codes - are provided in this book. They follow the name scheme SFSxyz123 and can be downloaded from the Springer homepage. We have sought to strike a balance between theoretical presentation and practical challenges. The book is divided into three main parts, in which we discuss option pricing, time series analysis and advanced quantitative statistical techniques in finance.
Reviews / Votes
"This book provides an excellent introduction to the tools from probability and statistics necessary to analyze financial data. Clearly written and accessible, it will be very useful to students and practitioners alike." Yacine Ait-Sahalia, Hotto Hack 1903 Professor of Finance and Economics, Princeton UniversityMore details
Other editions
New editions
Szymon Borak | Wolfgang Karl Härdle | Brenda López-Cabrera
Statistics of Financial Markets
Exercises and Solutions
E-Book
01/2013
2nd Edition
Springer
€74.89
Available for download
Jürgen Franke | Wolfgang Karl Härdle | Christian Matthias Hafner
Statistics of Financial Markets
An Introduction
E-Book
01/2008
2nd Edition
Springer
€78.10
Available for download
Additional editions
Szymon Borak | Wolfgang Karl Härdle | Brenda López-Cabrera
Statistics of Financial Markets
Exercises and Solutions
Book
06/2010
Springer
€53.45
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Persons
Dr. Szymon Borak received in 2008 his Ph.D. in Quantitative Finance and Statistics from Humboldt- Universität zu Berlin. His research focused on dynamic semi parametric factor models applied to implied volatility structures and energy markets. Currently he is working as a risk analyst in the City of London on modelling, risk management and regulatory issues of structured financial products. Wolfgang K. Härdle is a professor of statistics at the Humboldt-Universität zu Berlin and director of CASE - the Center for Applied Statistics and Economics. He teaches quantitative finance and semiparametric statistical methods. His research focuses on dynamic factor models, mulitvariate statistics in finance and computational statistics. He is an elected ISI member and advisor to the Guanghua School of Management, Peking University. Dr. Brenda López Cabrera is a researcher at C.A.S.E. - Centre for Applied Statistics and Economics, Humboldt Universität zu Berlin. She teaches "Statistical Tools in Finance and Insurance" and "Advanced Methods in Quantitative Finance". Her research interests are in applications within the field of statistical analysis of options, insurance and energy. She concentrates on economic risk of natural hazards and focuses on Catastrophe Bonds, Weather and Energy Markets.
Content
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.
