Statistics of Financial Markets. Exercises and Solutions

Dr. Szymon Borak received in 2008 his Ph.D. in Quantitative Finance and Statistics from Humboldt- Universitat zu Berlin. His research focused on dynamic semi parametric factor models applied to implied volatility structures and energy markets. Currently he is working as a risk analyst in the City of London on modelling, risk management and regulatory issues of structured financial products. Wolfgang K. Hardle is a professor of statistics at the Humboldt-Universitat zu Berlin and director of CASE - the Center for Applied Statistics and Economics. He teaches quantitative finance and semiparametric statistical methods. His research focuses on dynamic factor models, mulitvariate statistics in finance and computational statistics. He is an elected ISI member and advisor to the Guanghua School of Management, Peking University. Dr. Brenda Lopez Cabrera is a researcher at C.A.S.E. - Centre for Applied Statistics and Economics, Humboldt Universitat zu Berlin. She teaches "Statistical Tools in Finance and Insurance" and "Advanced Methods in Quantitative Finance". Her research interests are in applications within the field of statistical analysis of options, insurance and energy. She concentrates on economic risk of natural hazards and focuses on Catastrophe Bonds, Weather and Energy Markets.