Universitext

Statistics of Financial Markets

Exercises and Solutions

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

  • 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
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eBook $54.99
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  • ISBN 978-3-642-11134-1
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About this Textbook

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.

About the authors

Dr. Szymon Borak received in 2008 his Ph.D. in Quantitative Finance and Statistics from Humboldt- Universität zu Berlin. His research focused on dynamic semi parametric factor models applied to implied volatility structures and energy markets. Currently he is working as a risk analyst in the City of London on modelling, risk management and regulatory issues of structured financial products.

Wolfgang K. Härdle is a professor of statistics at the Humboldt-Universität zu Berlin and director of CASE - the Center for Applied Statistics and Economics. He teaches quantitative finance and semiparametric statistical methods. His research focuses on dynamic factor models, mulitvariate statistics in finance and computational statistics. He is an elected ISI member and advisor to the Guanghua School of Management, Peking University.

Dr. Brenda López Cabrera is a researcher at C.A.S.E. - Centre for Applied Statistics and Economics, Humboldt Universität zu Berlin. She teaches “Statistical Tools in Finance and Insurance” and “Advanced Methods in Quantitative Finance”. Her research interests are in applications within the field of statistical analysis of options, insurance and energy. She concentrates on economic risk of natural hazards and focuses on Catastrophe Bonds, Weather and Energy Markets.

Reviews

"This book provides an excellent introduction to the tools from probability and statistics necessary to analyze financial data. Clearly written and accessible, it will be very useful to students and practitioners alike." Yacine Ait-Sahalia, Hotto Hack 1903 Professor of Finance and Economics, Princeton University

Table of contents (18 chapters)

  • Derivatives

    Borak, Szymon (et al.)

    Pages 3-11

  • Introduction to Option Management

    Borak, Szymon (et al.)

    Pages 13-25

  • Basic Concepts of Probability Theory

    Borak, Szymon (et al.)

    Pages 27-36

  • Stochastic Processes in Discrete Time

    Borak, Szymon (et al.)

    Pages 37-43

  • Stochastic Integrals and Differential Equations

    Borak, Szymon (et al.)

    Pages 45-60

Buy this book

eBook $54.99
price for USA (gross)
  • ISBN 978-3-642-11134-1
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
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Bibliographic Information

Bibliographic Information
Book Title
Statistics of Financial Markets
Book Subtitle
Exercises and Solutions
Authors
Series Title
Universitext
Copyright
2010
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-642-11134-1
DOI
10.1007/978-3-642-11134-1
Series ISSN
0172-5939
Edition Number
1
Number of Pages
XX, 229
Topics