Titlebook: Statistics of Financial Markets; An Introduction Jürgen Franke,Wolfgang K. Härdle,Christian M. Hafn Textbook 20082nd edition Springer-Verla

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Stochastic Integrals and Differential Equationschastic differential equations, has an important role to play. To illustrate these notions we use repeated approximations by stochastic processes in discrete time and refer to the results from Chapter 4.

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Introduction: Definitions and Conceptsdifferent economic theories exist in different markets (currency, interest rates, stocks, derivatives, etc.). Well known examples include the purchasing power parity for exchange rates, interest rate term structure models, the . (CAPM) and the Black-Scholes option pricing model. Most of these models

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Non-parametric Concepts for Financial Time Seriesements about the future mean, the future volatility, etc., for example, one would like to estimate the expectation and variance of the underlying process conditional on the past. One method of producing such estimates will be introduced in this chapter.

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Pricing Options with Flexible Volatility Estimatorsd to financial market data. Thus, it is natural to discuss option pricing models where the underlying instrument follows an ARCH process. From an empirical point of view the form of the ., which is defined as a function of the current volatility dependent on yesterday’s returns, is the dominant fact

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Value at Risk and Backtesting central importance to a credit institute, since it is the basis for a regulatory notification technique and for required equity investments. The description of risk is done with the help of an “internal model”, whose job is to reflect the market risk of portfolios and similar risky investments over

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. Where does Aristotle draw the line?  Plant-like animals bring this question into focus and demonstrate the indeterminacy of any potential solution to the division. This analysis of Parts of Animals shows t978-3-319-37652-3978-3-319-01421-0Series ISSN 1871-7381 Series E-ISSN 2215-1958