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Statistics of financial markets : exercises and solutions / Szymon Borak, Wolfgang Karl H�ardle, Brenda L�opez-Cabrera.

By: Contributor(s): Material type: TextTextSeries: UniversitextPublication details: Heidelberg ; New York : Springer, c2013.Edition: 2nd edDescription: xxix, 246 p. : ill. (some col.) ; 23 cmISBN:
  • 364233928X
  • 9783642339288
Subject(s): DDC classification:
  • 000SB:332 B726
Online resources:
Contents:
Option Pricing -- Derivatives -- Introduction 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.
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Includes bibliographical references (p. 243) and index.

Option Pricing -- Derivatives -- Introduction 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.

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