Statistics of Financial Markets: Exercises and Solutions

Description

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 ContentsCoverStatistics of Financial Markets - Exercises and Solutions, Second EditionISBN 9783642339288 ISBN 9783642339295Preface to the Second EditionPreface to the First EditionContentsLanguage ListSymbols and NotationSome TerminologyList of FiguresPart 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 DerivativesPart 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 VolatilityPart 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 RiskReferencesIndex