Statistics of Financial Markets

Exercises and Solutions

ISBN: 978-3-642-33928-8 (Print) 978-3-642-33929-5 (Online)

Table of contents (18 chapters)

  1. Front Matter

    Pages i-xxix

  2. Option Pricing

    1. Front Matter

      Pages 1-1

    2. No Access

      Book Chapter

      Pages 3-12

      Derivatives

    3. No Access

      Book Chapter

      Pages 13-24

      Introduction to Option Management

    4. No Access

      Book Chapter

      Pages 25-34

      Basic Concepts of Probability Theory

    5. No Access

      Book Chapter

      Pages 35-41

      Stochastic Processes in Discrete Time

    6. No Access

      Book Chapter

      Pages 43-58

      Stochastic Integrals and Differential Equations

    7. No Access

      Book Chapter

      Pages 59-78

      Black-Scholes Option Pricing Model

    8. No Access

      Book Chapter

      Pages 79-89

      Binomial Model for European Options

    9. No Access

      Book Chapter

      Pages 91-100

      American Options

    10. No Access

      Book Chapter

      Pages 101-118

      Exotic Options

    11. No Access

      Book Chapter

      Pages 119-128

      Models for the Interest Rate and Interest Rate Derivatives

  3. Statistical Model of Financial Time Series

    1. Front Matter

      Pages 129-129

    2. No Access

      Book Chapter

      Pages 131-141

      Financial Time Series Models

    3. No Access

      Book Chapter

      Pages 143-161

      ARIMA Time Series Models

    4. No Access

      Book Chapter

      Pages 163-174

      Time Series with Stochastic Volatility

  4. Selected Financial Applications

    1. Front Matter

      Pages 175-175

    2. No Access

      Book Chapter

      Pages 177-188

      Value at Risk and Backtesting

    3. No Access

      Book Chapter

      Pages 189-195

      Copulae and Value at Risk

    4. No Access

      Book Chapter

      Pages 197-221

      Statistics of Extreme Risks

    5. No Access

      Book Chapter

      Pages 223-230

      Volatility Risk of Option Portfolios

    6. No Access

      Book Chapter

      Pages 231-241

      Portfolio Credit Risk

  5. Back Matter

    Pages 243-246