Titlebook: Statistics of Financial Markets; Exercises and Soluti Szymon Borak,Wolfgang Karl H?rdle,Brenda López-Cab Textbook 2013Latest edition Spring

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Derivativesiables. Options, future contracts, forward contracts, and swaps are examples of derivatives. The aim of this chapter is to present and discuss various options strategies. The exercises emphasize the differences of the strategies through an intuitive approach using payoff graphs.

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Exotic Optionsver the counter) to meet special needs of corporate customers. For example, a compound option allows one to acquire an ordinary option at a later date, and a chooser option is a form of the compound option where the buyer can decide at a later date which type of option he would like to have.

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Value at Risk and Backtestingl importance to a credit institute. The description of risk is attained with the help of an “internal model”, whose job is to reflect the market risk of portfolios and similar uncertain investments over time. The objective parameter in the model is the probability forecast of portfolio changes over a given period.

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Szymon Borak,Wolfgang Karl H?rdle,Brenda López-Cabrera

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