000 03391nam a22005297a 4500
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