Центральный Дом Знаний - Borak S, Hardle W.K, Cabrera B.L. Statistics of Financial Markets: Exercises and Solutions

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Borak S, Hardle W.K, Cabrera B.L. Statistics of Financial Markets: Exercises and Solutions

Borak S, Hardle W.K, Cabrera B.L. 
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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  

Preface

"Wir behalten von unseren Studien am Ende doch nur das, was wir praktisch anwenden."

"In the end, we really only retain from our studies that which we apply in a practical way."

J. W. Goethe, Gesprache mit Eckermann, 24. Feb. 1824.

The complexity of modern financial markets requires good comprehension of economic processes, which are understood through the formulation of statistical models. Nowadays one can hardly imagine the successful performance of financial products without the support of quantitative methodology. Risk management, option pricing, portfolio optimization are typical examples of extensive usage of mathematical and statistical modeling. Models simplify complex reality; the simplification though might still demand a high level of mathematical fitness. One has to be familiar with the basic notions of probability theory, stochastic calculus and statistical techniques. In addition, data analysis, numerical and computational skills are a must.

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 advanced comprehension of Statistics of Financial Markets. Our exercises are correlated to Franke, Hardle and Hafner (2008). The exercises illustrate the theory by discussing practical examples in detail. We provide computational solutions for the majority of the problems. All numerical solutions are calculated with R and Matlab. The corresponding quantlets - a name we give to these program codes - are indicated by Q in the text of this book. They follow the name scheme SFSxyz123 and can be downloaded from the Springer homepage of this book or from the authors' homepages.

Financial Markets are global. We have therefore added, below each chapter title, the corresponding translation in one of the world languages. We also head each section with a proverb in one of those world languages. We start with a German proverb from Goethe on the importance of practice.

We have tried to achieve a good balance between theoretical illustration and practical challenges. We have also kept the presentation relatively smooth and, for more detailed discussion, refer to more advanced text books that are cited in the reference sections.

The book is divided into three main parts where we discuss the issues relating to option pricing, time series analysis and advanced quantitative statistical techniques.

The main motivation for writing this book came from our students of the course Statistics of Financial Markets which we teach at the Humboldt-Universitat zu Berlin. The students expressed a strong demand for solving additional problems and assured us that (in line with Goethe) giving plenty of examples improves learning speed and quality. We are grateful for their highly motivating comments, commitment and positive feedback. Very special thanks go to our very active PhD students Mengmeng Guo, Maria Osipenko, Weining Wang. In particular we would like to thank Richard Song, Julius Mungo, Vinh Han Lien, Guo Xu, Vladimir Georgescu and Uwe Ziegenhagen for advise and ideas on solutions. We are grateful to our colleagues Ying Chen, Matthias Fen-gler and Michel Benko for their inspiring contributions to the preparation of lectures. We thank Niels Thomas from Springer Verlag for continuous support and for valuable suggestions on writing style and the content covered.

Szymon Borak, Wolfgang Karl Hardle and Brenda Lopez Cabrera

January 2010, Berlin

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