Statistics of Financial Markets [recurso electrónico] : Exercises and Solutions / by Szymon Borak, Wolfgang Karl Härdle, Brenda López Cabrera.

Por: Borak, Szymon [author.]Colaborador(es): Härdle, Wolfgang Karl [author.] | López Cabrera, Brenda [author.] | SpringerLink (Online service)Tipo de material: TextoTextoSeries UniversitextEditor: Berlin, Heidelberg : Springer Berlin Heidelberg, 2010Descripción: XX, 229 p. online resourceTipo de contenido: text Tipo de medio: computer Tipo de portador: online resourceISBN: 9783642111341Tema(s): Statistics | Finance | Economics -- Statistics | Banks and banking | Statistics | Statistics for Business/Economics/Mathematical Finance/Insurance | Quantitative Finance | Finance /BankingFormatos físicos adicionales: Printed edition:: Sin títuloClasificación CDD: 330.015195 Clasificación LoC:QA276-280Recursos en línea: Libro electrónicoTexto
Contenidos:
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.
En: Springer eBooksResumen: 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.
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Existencias
Tipo de ítem Biblioteca actual Colección Signatura Copia número Estado Fecha de vencimiento Código de barras
Libro Electrónico Biblioteca Electrónica
Colección de Libros Electrónicos QA276 -280 (Browse shelf(Abre debajo)) 1 No para préstamo 373948-2001

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.

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.

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