Advertisement

Derivatives

  • Szymon Borak
  • Wolfgang Karl Härdle
  • Brenda López-Cabrera
Chapter
Part of the Universitext book series (UTX)

Abstract

A derivative (derivative security or contingent claim) is a financial instrument whose value depends on the value of others, more basic underlying variables. Options, future contracts, forward contracts, and swaps are examples of derivatives. The aim of this chapter is to present and discuss various options strategies. The exercises emphasize the differences of the strategies through an intuitive approach using payoff graphs.

References

  1. Breiman, L. (1973). Statistics: With a view towards application. Boston: Houghton Mifflin Company.Google Scholar
  2. Cizek, P., Härdle, W., & Weron, R. (2011). Statistical tools in finance and insurance (2nd ed.). Berlin/Heidelberg: Springer.Google Scholar
  3. Feller, W. (1966). An introduction to probability theory and its application (Vol. 2). New York: Wiley.Google Scholar
  4. Franke, J., Härdle, W., & Hafner, C. (2011). Statistics of financial markets (3rd ed.). Berlin/ Heidelberg: Springer.Google Scholar
  5. Härdle, W., & Simar, L. (2012). Applied multivariate statistical analysis (3rd ed.). Berlin: Springer.Google Scholar
  6. Härdle, W., Müller, M., Sperlich, S., & Werwatz, A. (2004). Nonparametric and semiparametric models. Berlin: Springer.Google Scholar
  7. Harville, D. A. (2001). Matrix algebra: Exercises and solutions. New York: Springer.Google Scholar
  8. Klein, L. R. (1974). A textbook of econometrics (2nd ed., 488 p.). Englewood Cliffs: Prentice Hall.Google Scholar
  9. MacKinnon, J. G. (1991). Critical values for cointegration tests. In R. F. Engle & C. W. J. Granger (Eds.), Long-run economic relationships readings in cointegration (pp. 266–277). New York: Oxford University Press.Google Scholar
  10. Mardia, K. V., Kent, J. T., & Bibby, J. M. (1979). Multivariate analysis. Duluth/London: Academic.Google Scholar
  11. RiskMetrics. (1996). J.P. Morgan/Reuters (4th ed.). RiskMetricsTM.Google Scholar
  12. Serfling, R. J. (2002). Approximation theorems of mathematical statistics. New York: Wiley.Google Scholar
  13. Tsay, R. S. (2002). Analysis of financial time series. New York: Wiley.Google Scholar

Copyright information

© Springer-Verlag Berlin Heidelberg 2013

Authors and Affiliations

  • Szymon Borak
    • 1
  • Wolfgang Karl Härdle
    • 1
  • Brenda López-Cabrera
    • 1
  1. 1.Humboldt-Universität zu Berlin Ladislaus von Bortkiewicz Chair of StatisticsC.A.S.E. Centre for Applied Statistics and Economics School of Business and EconomicsBerlinGermany

Personalised recommendations