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Statistics of Financial Markets

Exercises and Solutions

  • Textbook
  • © 2010

Overview

Authors:
  1. Szymon Borak

    1. Ladislaus von Bortkiewicz Chair of Stati, C.A.S.E. Centre for Applied Statistics a, Humboldt-Universität zu Berlin, Berlin, Germany

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  2. Wolfgang Karl Härdle

    1. Ladislaus von Bortkiewicz Chair of Stati, C.A.S.E. Centre for Applied Statistics a, Humboldt-Universität zu Berlin, Berlin, Germany

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  3. Brenda López Cabrera

    1. Ladislaus von Bortkiewicz Chair of Stati, C.A.S.E. Centre for Applied Statistics a, Humboldt-Universität zu Berlin, Berlin, Germany

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  • Ideal basis for lectures, seminars and crash courses on statistical applications in finance
  • Interactive approach using statistical software
  • Includes exercises, soutions, and codes
  • Includes supplementary material: sn.pub/extras

Part of the book series: Universitext (UTX)

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Table of contents (18 chapters)

  1. Front Matter

    Pages I-XX
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  2. Option Pricing

    1. Front Matter

      Pages 1-1
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    2. Derivatives

      • Szymon Borak, Wolfgang Karl Härdle, Brenda López Cabrera
      Pages 3-11

    3. Introduction to Option Management

      • Szymon Borak, Wolfgang Karl Härdle, Brenda López Cabrera
      Pages 13-25

    4. Basic Concepts of Probability Theory

      • Szymon Borak, Wolfgang Karl Härdle, Brenda López Cabrera
      Pages 27-36

    5. Stochastic Processes in Discrete Time

      • Szymon Borak, Wolfgang Karl Härdle, Brenda López Cabrera
      Pages 37-43

    6. Stochastic Integrals and Differential Equations

      • Szymon Borak, Wolfgang Karl Härdle, Brenda López Cabrera
      Pages 45-60

    7. Black-Scholes Option Pricing Model

      • Szymon Borak, Wolfgang Karl Härdle, Brenda López Cabrera
      Pages 61-80

    8. Binomial Model for European Options

      • Szymon Borak, Wolfgang Karl Härdle, Brenda López Cabrera
      Pages 81-92

    9. American Options

      • Szymon Borak, Wolfgang Karl Härdle, Brenda López Cabrera
      Pages 93-102

    10. Exotic Options

      • Szymon Borak, Wolfgang Karl Härdle, Brenda López Cabrera
      Pages 103-109

    11. Models for the Interest Rate and Interest Rate Derivatives

      • Szymon Borak, Wolfgang Karl Härdle, Brenda López Cabrera
      Pages 111-120

  3. Statistical Model of Financial Time Series

    1. Front Matter

      Pages 122-122
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    2. Financial Time Series Models

      • Szymon Borak, Wolfgang Karl Härdle, Brenda López Cabrera
      Pages 123-133

    3. ARIMA Time Series Models

      • Szymon Borak, Wolfgang Karl Härdle, Brenda López Cabrera
      Pages 135-154

    4. Time Series with Stochastic Volatility

      • Szymon Borak, Wolfgang Karl Härdle, Brenda López Cabrera
      Pages 155-168

  4. Selected Financial Applications

    1. Front Matter

      Pages 170-170
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    2. Value at Risk and Backtesting

      • Szymon Borak, Wolfgang Karl Härdle, Brenda López Cabrera
      Pages 171-183

    3. Copulae and Value at Risk

      • Szymon Borak, Wolfgang Karl Härdle, Brenda López Cabrera
      Pages 185-189

    4. Statistics of Extreme Risks

      • Szymon Borak, Wolfgang Karl Härdle, Brenda López Cabrera
      Pages 191-211
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Keywords

About this book

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.

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

Authors and Affiliations

  • Ladislaus von Bortkiewicz Chair of Stati, C.A.S.E. Centre for Applied Statistics a, Humboldt-Universität zu Berlin, Berlin, Germany

    Szymon Borak, Wolfgang Karl Härdle, Brenda López Cabrera

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.

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