Hugendubel.info - Die B2B Online-Buchhandlung 

Merkliste
Die Merkliste ist leer.
Bitte warten - die Druckansicht der Seite wird vorbereitet.
Der Druckdialog öffnet sich, sobald die Seite vollständig geladen wurde.
Sollte die Druckvorschau unvollständig sein, bitte schliessen und "Erneut drucken" wählen.

Statistics of Financial Markets

Exercises and Solutions
BuchKartoniert, Paperback
246 Seiten
Englisch
Springererschienen am11.01.20132. Aufl.
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.mehr
Verfügbare Formate
BuchKartoniert, Paperback
EUR74,89
E-BookPDF1 - PDF WatermarkE-Book
EUR50,28
E-BookPDF1 - PDF WatermarkE-Book
EUR74,89

Produkt

KlappentextThis 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.
ZusammenfassungThis book offers exercises and solutions to help readers learn the statistics of financial markets. It features exercises in option pricing, time series analysis and advanced quantitative statistical techniques, with solutions calculated using R and Matlab.
Details
ISBN/GTIN978-3-642-33928-8
ProduktartBuch
EinbandartKartoniert, Paperback
Verlag
Erscheinungsjahr2013
Erscheinungsdatum11.01.2013
Auflage2. Aufl.
ReiheUniversitext
Seiten246 Seiten
SpracheEnglisch
Gewicht422 g
IllustrationenXXIX, 246 p. 271 illus., 241 illus. in color.
Artikel-Nr.15327041
Rubriken
GenreWirtschaft

Inhalt/Kritik

Inhaltsverzeichnis
Part I Option Pricing: Derivatives.- Introduction to Option Management.- Basic Concepts of Probability Theory.- Stochastic Processes in Discrete Time.- Stochastic Integrals and Dierential 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.mehr
Kritik
From the book reviews:

"This edition in total presents 18 chapters, four pages of 'Symbols and Notations,' and another four and a half pages are devoted to providing definitions to commonly used terminology. ... this book is a useful supplement for students, professionals, and practitioners in the area of financial statistics and related fields. ... All the chapters of the book are carefully structured with natural flow. It is an interesting and useful collection of exercises, teaching theory by solving the related problems." (Technometrics, Vol. 55 (2), May, 2013)mehr

Schlagworte

Autor

Wolfgang Karl Härdle is a Professor of Statistics at the Humboldt-Universität zu Berlin and the Director of CASE the Centre for Applied Statistics and Economics. He teaches quantitative finance and semi-parametric statistical methods. His research focuses on dynamic factor models, multivariate statistics in finance and computational statistics. He is an elected member of the ISI and an advisor to the Guanghua School of Management, Peking University and to National Central University, Taiwan.
Weitere Artikel von
Borak, Szymon
Weitere Artikel von
López-Cabrera, Brenda