Statistics of Financial Markets

Exercises and Solutions

  • Szymon Borak
  • Wolfgang Karl Härdle
  • Brenda López Cabrera

Part of the Universitext book series (UTX)

Table of contents

  1. Front Matter
    Pages I-XX
  2. Option Pricing

    1. Front Matter
      Pages 1-1
    2. Szymon Borak, Wolfgang Karl Härdle, Brenda López Cabrera
      Pages 3-11
    3. Szymon Borak, Wolfgang Karl Härdle, Brenda López Cabrera
      Pages 13-25
    4. Szymon Borak, Wolfgang Karl Härdle, Brenda López Cabrera
      Pages 27-36
    5. Szymon Borak, Wolfgang Karl Härdle, Brenda López Cabrera
      Pages 37-43
    6. Szymon Borak, Wolfgang Karl Härdle, Brenda López Cabrera
      Pages 45-60
    7. Szymon Borak, Wolfgang Karl Härdle, Brenda López Cabrera
      Pages 61-80
    8. Szymon Borak, Wolfgang Karl Härdle, Brenda López Cabrera
      Pages 81-92
    9. Szymon Borak, Wolfgang Karl Härdle, Brenda López Cabrera
      Pages 93-102
    10. Szymon Borak, Wolfgang Karl Härdle, Brenda López Cabrera
      Pages 103-109
    11. Szymon Borak, Wolfgang Karl Härdle, Brenda López Cabrera
      Pages 111-120
  3. Statistical Model of Financial Time Series

    1. Front Matter
      Pages 122-122
    2. Szymon Borak, Wolfgang Karl Härdle, Brenda López Cabrera
      Pages 123-133
    3. Szymon Borak, Wolfgang Karl Härdle, Brenda López Cabrera
      Pages 135-154
    4. Szymon Borak, Wolfgang Karl Härdle, Brenda López Cabrera
      Pages 155-168
  4. Selected Financial Applications

    1. Front Matter
      Pages 170-170
    2. Szymon Borak, Wolfgang Karl Härdle, Brenda López Cabrera
      Pages 171-183
    3. Szymon Borak, Wolfgang Karl Härdle, Brenda López Cabrera
      Pages 185-189
    4. Szymon Borak, Wolfgang Karl Härdle, Brenda López Cabrera
      Pages 191-211

About this book

Introduction

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.

Keywords

Copulas Financial Engineering GARCH MATLAB Mathematical Finance Option Pricing Probability theory Statistics of Extremes Stochastic Processes Time series Value at Risk linear optimization

Authors and affiliations

  • Szymon Borak
    • 1
  • Wolfgang Karl Härdle
    • 2
  • Brenda López Cabrera
    • 3
  1. 1.Ladislaus von Bortkiewicz Chair of Stati, C.A.S.E. Centre for Applied Statistics aHumboldt-Universität zu BerlinBerlinGermany
  2. 2.Ladislaus von Bortkiewicz Chair of Stati, C.A.S.E. Centre for Applied Statistics aHumboldt-Universität zu BerlinBerlinGermany
  3. 3.Ladislaus von Bortkiewicz Chair of Stati, C.A.S.E. Centre for Applied Statistics aHumboldt-Universität zu BerlinBerlinGermany

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-11134-1
  • Copyright Information Springer-Verlag Berlin Heidelberg 2010
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-642-11133-4
  • Online ISBN 978-3-642-11134-1
  • About this book