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-xxix
  2. Option Pricing

    1. Front Matter
      Pages 1-1
    2. Szymon Borak, Wolfgang Karl Härdle, Brenda López-Cabrera
      Pages 3-12
    3. Szymon Borak, Wolfgang Karl Härdle, Brenda López-Cabrera
      Pages 13-24
    4. Szymon Borak, Wolfgang Karl Härdle, Brenda López-Cabrera
      Pages 25-34
    5. Szymon Borak, Wolfgang Karl Härdle, Brenda López-Cabrera
      Pages 35-41
    6. Szymon Borak, Wolfgang Karl Härdle, Brenda López-Cabrera
      Pages 43-58
    7. Szymon Borak, Wolfgang Karl Härdle, Brenda López-Cabrera
      Pages 59-78
    8. Szymon Borak, Wolfgang Karl Härdle, Brenda López-Cabrera
      Pages 79-89
    9. Szymon Borak, Wolfgang Karl Härdle, Brenda López-Cabrera
      Pages 91-100
    10. Szymon Borak, Wolfgang Karl Härdle, Brenda López-Cabrera
      Pages 101-118
    11. Szymon Borak, Wolfgang Karl Härdle, Brenda López-Cabrera
      Pages 119-128
  3. Statistical Model of Financial Time Series

    1. Front Matter
      Pages 129-129
    2. Szymon Borak, Wolfgang Karl Härdle, Brenda López-Cabrera
      Pages 131-141
    3. Szymon Borak, Wolfgang Karl Härdle, Brenda López-Cabrera
      Pages 143-161
    4. Szymon Borak, Wolfgang Karl Härdle, Brenda López-Cabrera
      Pages 163-174
  4. Selected Financial Applications

    1. Front Matter
      Pages 175-175
    2. Szymon Borak, Wolfgang Karl Härdle, Brenda López-Cabrera
      Pages 177-188
    3. Szymon Borak, Wolfgang Karl Härdle, Brenda López-Cabrera
      Pages 189-195
    4. Szymon Borak, Wolfgang Karl Härdle, Brenda López-Cabrera
      Pages 197-221

About this book

Introduction

Practice 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.

Keywords

Copulas Financial Engineering GARCH Mathematical Finance Option Pricing Statistics of Extremes Value at Risk

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.L.v.Bortkiewicz Chair of Statistics, C.A.S.E. Centre f. Appl. Stat. & Econ.Humboldt-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/10.1007/978-3-642-33929-5
  • Copyright Information Springer-Verlag Berlin Heidelberg 2013
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-642-33928-8
  • Online ISBN 978-3-642-33929-5
  • Series Print ISSN 0172-5939
  • Series Online ISSN 2191-6675
  • About this book