Ebook: 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 solutions to specific problems, all of which are calculated using R and Matlab. This study additionally looks at the concept of corresponding Quantlets, the name given to these program codes and which follow the name scheme SFSxyz123. The book is divided into three main parts, in which option pricing, time series analysis and advanced quantitative statistical techniques in finance is thoroughly discussed. The authors have overall successfully created the ideal balance between theoretical presentation and practical challenges.

Table of Contents

Cover

Statistics of Financial Markets - Exercises and Solutions, Second Edition

ISBN 9783642339288 ISBN 9783642339295

Preface to the Second Edition

Preface to the First Edition

Contents

Language List

Symbols and Notation

Some Terminology

List of Figures

Part I Option Pricing

Chapter 1 Derivatives
Chapter 2 Introduction to Option Management
Chapter 3 Basic Concepts of Probability Theory
Chapter 4 Stochastic Processes in Discrete Time
Chapter 5 Stochastic Integrals and Differential Equations
Chapter 6 Black-Scholes Option Pricing Model
Chapter 7 Binomial Model for European Options
Chapter 8 American Options
Chapter 9 Exotic Options
Chapter 10 Models for the Interest Rate and Interest Rate Derivatives

Part II Statistical Model of Financial Time Series

Chapter 11 Financial Time Series Models
Chapter 12 ARIMA Time Series Models
Chapter 13 Time Series with Stochastic Volatility

Part III Selected Financial Applications

Chapter 14 Value at Risk and Backtesting
Chapter 15 Copulae and Value at Risk
Chapter 16 Statistics of Extreme Risks
Chapter 17 Volatility Risk of Option Portfolios
Chapter 18 Portfolio Credit Risk

References

Index