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Statistics of Financial Markets

Statistics of Financial Markets
Author: J. Franke, W. Härdle, C. Hafner
Url: http://www.xplore-stat.de/ebooks/e-books_mva.html
Format: Html, Pdf
Year: 2004
Category: Statistics
Pages: 101
Clicks: 2835

Contents: Option Pricing; Derivatives; Introduction to Option Management; Basic Concepts of Probability Theory; Stochastic Processes in Discrete Time; Stochastic Integrals and Differential Equation; Black-Scholes Option Pricing Model; Binomial Model for European Options; American Options; Exotic Options and Interest Rate Derivatives; Statistical Model of Financial Time Series; Introduction: De nitions and Concepts; ARIMA Time Series Models; Time Series with Stochastic Volatility; Non-parametric Concepts for Financial Time Series; Selected Financial Applications; Valuing Options with Flexible Volatility Estimators; Value at Risk and Backtesting; Copulas and Value-at-Risk; Statistics of Extreme Risks; Neural Networks; Volatility Risk of Option Portfolios; Nonparametric Estimators for the Probability of Default.

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