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Impressum
1 Preface
Frequently Used Notation
Part I Option Pricing
2 Derivatives
3 Introduction to Option Management
4 Basic Concepts of Probability Theory
5 Stochastic Processes in Discrete Time
6 Stochastic Integrals and Differential Equations
7 Black-Scholes Option Pricing Model
8 Binomial Model for European Options
9 American Options
10 Exotic Options and Interest Rate Derivatives
Part II Statistical Model of Financial Time Series
11 Introduction: Definitions and Concepts
12 ARIMA Time Series Models
13 Time Series with Stochastic Volatility
14 Non-parametric Concepts for Financial Time Series
Part III Selected Financial Applications
15 Valuing Options with Flexible Volatility Estimators
16 Value at Risk and Backtesting
17 Copulas and Value-at-Risk
18 Statistics of Extreme Risks
19 Neural Networks
20 Volatility Risk of Option Portfolios
21 Nonparametric Estimators for the Probability of Default
22 Technical Appendix
Bibliography
Index