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Mathematics - Probability Theory and Stochastic Processes | Statistics of Financial Markets - Exercises and Solutions

Statistics of Financial Markets

Exercises and Solutions

Series: Universitext

Borak, Szymon, Härdle, Wolfgang Karl, López-Cabrera, Brenda

2010, XX, 229 p.


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  • Strikes a balance between theoretical presentation and practical challenges
  • Offers excercises in option pricing, time series analysis and advanced quantitative statistical techniques in finance
  • Provides computational solutions calculated using R and Matlab

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.

Content Level » Graduate

Keywords » Copulas - Financial Engineering - GARCH - MATLAB - Mathematical Finance - Option Pricing - Probability theory - Statistics of Extremes - Stochastic Processes - Time series - Value at Risk - linear optimization

Related subjects » Business, Economics & Finance - Finance & Banking - Probability Theory and Stochastic Processes - Public Finance - Quantitative Finance

Table of contents 

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.

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