Ebook: Statistics of Financial Markets: Exercises and Solutions
- Tags: Statistics for Business/Economics/Mathematical Finance/Insurance, Quantitative Finance, Finance/Investment/Banking
- Series: Universitext
- Year: 2013
- Publisher: Springer-Verlag Berlin Heidelberg
- Edition: 2
- Language: English
- pdf
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.
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.
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.
Content:
Front Matter....Pages i-xxix
Front Matter....Pages 1-1
Derivatives....Pages 3-12
Introduction to Option Management....Pages 13-24
Basic Concepts of Probability Theory....Pages 25-34
Stochastic Processes in Discrete Time....Pages 35-41
Stochastic Integrals and Differential Equations....Pages 43-58
Black-Scholes Option Pricing Model....Pages 59-78
Binomial Model for European Options....Pages 79-89
American Options....Pages 91-100
Exotic Options....Pages 101-118
Models for the Interest Rate and Interest Rate Derivatives....Pages 119-128
Front Matter....Pages 129-129
Financial Time Series Models....Pages 131-141
ARIMA Time Series Models....Pages 143-161
Time Series with Stochastic Volatility....Pages 163-174
Front Matter....Pages 175-175
Value at Risk and Backtesting....Pages 177-188
Copulae and Value at Risk....Pages 189-195
Statistics of Extreme Risks....Pages 197-221
Volatility Risk of Option Portfolios....Pages 223-230
Portfolio Credit Risk....Pages 231-241
Back Matter....Pages 243-246
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.
Content:
Front Matter....Pages i-xxix
Front Matter....Pages 1-1
Derivatives....Pages 3-12
Introduction to Option Management....Pages 13-24
Basic Concepts of Probability Theory....Pages 25-34
Stochastic Processes in Discrete Time....Pages 35-41
Stochastic Integrals and Differential Equations....Pages 43-58
Black-Scholes Option Pricing Model....Pages 59-78
Binomial Model for European Options....Pages 79-89
American Options....Pages 91-100
Exotic Options....Pages 101-118
Models for the Interest Rate and Interest Rate Derivatives....Pages 119-128
Front Matter....Pages 129-129
Financial Time Series Models....Pages 131-141
ARIMA Time Series Models....Pages 143-161
Time Series with Stochastic Volatility....Pages 163-174
Front Matter....Pages 175-175
Value at Risk and Backtesting....Pages 177-188
Copulae and Value at Risk....Pages 189-195
Statistics of Extreme Risks....Pages 197-221
Volatility Risk of Option Portfolios....Pages 223-230
Portfolio Credit Risk....Pages 231-241
Back Matter....Pages 243-246
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