000 | 03391nam a22005297a 4500 | ||
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001 | sulb-eb0024290 | ||
003 | BD-SySUS | ||
005 | 20160413122432.0 | ||
007 | cr nn 008mamaa | ||
008 | 130125s2013 gw | s |||| 0|eng d | ||
020 |
_a9783642339295 _9978-3-642-33929-5 |
||
024 | 7 |
_a10.1007/978-3-642-33929-5 _2doi |
|
050 | 4 | _aQA276-280 | |
072 | 7 |
_aPBT _2bicssc |
|
072 | 7 |
_aK _2bicssc |
|
072 | 7 |
_aBUS061000 _2bisacsh |
|
082 | 0 | 4 |
_a330.015195 _223 |
100 | 1 |
_aBorak, Szymon. _eauthor. |
|
245 | 1 | 0 |
_aStatistics of Financial Markets _h[electronic resource] : _bExercises and Solutions / _cby Szymon Borak, Wolfgang Karl Härdle, Brenda López-Cabrera. |
250 | _a2nd ed. 2013. | ||
264 | 1 |
_aBerlin, Heidelberg : _bSpringer Berlin Heidelberg : _bImprint: Springer, _c2013. |
|
300 |
_aXXIX, 246 p. 271 illus., 241 illus. in color. _bonline resource. |
||
336 |
_atext _btxt _2rdacontent |
||
337 |
_acomputer _bc _2rdamedia |
||
338 |
_aonline resource _bcr _2rdacarrier |
||
347 |
_atext file _bPDF _2rda |
||
490 | 1 |
_aUniversitext, _x0172-5939 |
|
505 | 0 | _aPart I Option Pricing: Derivatives -- Introduction to Option Management -- Basic Concepts of Probability Theory -- Stochastic Processes in Discrete Time -- Stochastic Integrals and Di erential Equations -- Black-Scholes Option Pricing Model -- Binomial Model for European Options -- American Options -- Models for the Interest Rate and Interest Rate Derivatives -- Part II Statistical Model of Financial Time Series: Financial Time Series Models -- ARIMA Time Series Models -- Time Series with Stochastic Volatility -- Part III 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 -- References. | |
520 | _aPractice 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. | ||
650 | 0 | _aStatistics. | |
650 | 0 | _aFinance. | |
650 | 0 | _aEconomics, Mathematical. | |
650 | 1 | 4 | _aStatistics. |
650 | 2 | 4 | _aStatistics for Business/Economics/Mathematical Finance/Insurance. |
650 | 2 | 4 | _aQuantitative Finance. |
650 | 2 | 4 | _aFinance, general. |
700 | 1 |
_aHärdle, Wolfgang Karl. _eauthor. |
|
700 | 1 |
_aLópez-Cabrera, Brenda. _eauthor. |
|
710 | 2 | _aSpringerLink (Online service) | |
773 | 0 | _tSpringer eBooks | |
776 | 0 | 8 |
_iPrinted edition: _z9783642339288 |
830 | 0 |
_aUniversitext, _x0172-5939 |
|
856 | 4 | 0 | _uhttp://dx.doi.org/10.1007/978-3-642-33929-5 |
912 | _aZDB-2-SMA | ||
942 |
_2Dewey Decimal Classification _ceBooks |
||
999 |
_c46382 _d46382 |