An edition of Statistics of Financial Markets (2013)

Statistics of Financial Markets

Exercises and Solutions

2nd ed. 2013.
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Last edited by MARC Bot
November 13, 2020 | History
An edition of Statistics of Financial Markets (2013)

Statistics of Financial Markets

Exercises and Solutions

2nd ed. 2013.
  • 0 Ratings
  • 0 Want to read
  • 0 Currently reading
  • 0 Have read

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.

Publish Date
Language
English
Pages
271

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Previews available in: English

Edition Availability
Cover of: Statistics of Financial Markets
Statistics of Financial Markets: Exercises and Solutions
2013, Springer Berlin / Heidelberg
in English
Cover of: Statistics of Financial Markets
Statistics of Financial Markets: Exercises and Solutions
2013, Springer Berlin Heidelberg, Imprint: Springer
electronic resource : in English - 2nd ed. 2013.

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Book Details


Table of Contents

<p><b>Part I Option Pricing: </b>Derivatives
Introduction to Option Management
Basic Concepts of Probability Theory
Stochastic Processes in Discrete Time
Stochastic Integrals and Di<br>erential Equations
Black-Scholes Option Pricing Model
Binomial Model for European Options
American Options
Models for the Interest Rate and Interest Rate Derivatives.-<b> Part II Statistical Model of Financial Time Series:</b> Financial Time Series Models
ARIMA Time Series Models
Time Series with Stochastic Volatility
<b>Part III Selected Financial Applications: </b>Value at Risk and Backtesting
Copulae and Value at Risk
Statistics of Extreme Risks
Volatility Risk of Option Portfolios
Portfolio Credit Risk
References.<b></p>.

Edition Notes

Published in
Berlin, Heidelberg
Series
Universitext

Classifications

Dewey Decimal Class
330.015195
Library of Congress
QA276-280, HG106 .B67 2013

The Physical Object

Format
[electronic resource] :
Pagination
XXIX, 246 p. 271 illus., 241 illus. in color.
Number of pages
271

ID Numbers

Open Library
OL27089192M
Internet Archive
statisticsfinanc00bora_965
ISBN 13
9783642339295
LCCN
2012954542

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November 13, 2020 Edited by MARC Bot import existing book
July 7, 2019 Created by MARC Bot import new book