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 | |