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Index
Cover
Frontmatter
1. Option Pricing
1. Derivatives
2. Introduction to Option Management
3. Basic Concepts of Probability Theory
4. Stochastic Processes in Discrete Time
5. Stochastic Integrals and Differential Equations
6. Black–Scholes Option Pricing Model
7. Binomial Model for European Options
8. American Options
9. Exotic Options
10. Interest Rates and Interest Rate Derivatives
2. Statistical Models of Financial Time Series
11. Introduction: Definitions and Concepts
12. ARIMA Time Series Models
13. Time Series with Stochastic Volatility
14. Long Memory Time Series
15. Non-parametric and Flexible Time Series Estimators
3. Selected Financial Applications
16. Value-at-Risk and Backtesting
17. Copulae and Value at Risk
18. Statistics of Extreme Risks
19. Neural Networks
20. Volatility Risk of Option Portfolios
21. Non-parametric Estimators for the Probability of Default
22. Credit Risk Management and Credit Derivatives
Backmatter
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