WorldCat Identities

Borak, Szymon

Overview
Works: 15 works in 43 publications in 1 language and 886 library holdings
Roles: Author, Other
Publication Timeline
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Most widely held works by Szymon Borak
Statistics of financial markets : exercises and solutions by Szymon Borak( )

28 editions published between 2010 and 2013 in English and held by 840 WorldCat member libraries worldwide

"Practice makes perfect. Therefore the best method of mastering models is working with them. This book contains a large collection of exercises and solutions which will help explain the statistics of financial markets. These practical examples are carefully presented and provide computational solutions to specific problems, all of which are calculated using R and Matlab. This study additionally looks at the concept of corresponding Quantlets, the name given to these program codes and which follow the name scheme SFSxyz123. The book is divided into three main parts, in which option pricing, time series analysis and advanced quantitative statistical techniques in finance is thoroughly discussed. The authors have overall successfully created the ideal balance between theoretical presentation and practical challenges."--Publisher's website
Dynamic semiparametric factor models( )

1 edition published in 2008 in English and held by 24 WorldCat member libraries worldwide

Dynamic semiparametric factor models by Szymon Borak( )

1 edition published in 2008 in English and held by 3 WorldCat member libraries worldwide

Models for heavy-tailed asset returns by Szymon Borak( )

1 edition published in 2010 in English and held by 2 WorldCat member libraries worldwide

Many of the concepts in theoretical and empirical finance developed over the past decades - including the classical portfolio theory, the Black-Scholes-Merton option pricing model or the RiskMetrics variance-covariance approach to VaR - rest upon the assumption that asset returns follow a normal distribution. But this assumption is not justified by empirical data! Rather, the empirical observations exhibit excess kurtosis, more colloquially known as fat tails or heavy tails. This chapter is intended as a guide to heavy-tailed models. We first describe the historically oldest heavy-tailed model - the stable laws. Next, we briefly characterize their recent lighter-tailed generalizations, the socalled truncated and tempered stable distributions. Then we study the class of generalized hyperbolic laws, which - like tempered stable distributions - can be classified somewhere between infinite variance stable laws and the Gaussian distribution. Finally, we provide numerical examples. -- Heavy-tailed distribution ; Stable distribution ; Tempered stable distribution ; Generalized hyperbolic distribution ; Asset return ; Random number generation ; Parameter estimation
Time series modelling with semiparametric factor dynamics( )

1 edition published in 2007 in English and held by 2 WorldCat member libraries worldwide

High-dimensional regression problems which reveal dynamic behavior are typically analyzed by time propagation of a few number of factors. The inference on the whole system is then based on the low-dimensional time series analysis. Such highdimensional problems occur frequently in many different fields of science. In this paper we address the problem of inference when the factors and factor loadings are estimated by semiparametric methods. This more flexible modelling approach poses an important question: Is it justified, from inferential point of view, to base statistical inference on the estimated times series factors? We show that the difference of the inference based on the estimated time series and 'true' unobserved time series is asymptotically negligible. Our results justify fitting vector autoregressive processes to the estimated factors, which allows one to study the dynamics of the whole high-dimensional system with a low-dimensional representation. We illustrate the theory with a simulation study. Also, we apply the method to a study of the dynamic behavior of implied volatilities and discuss other possible applications in finance and economics. -- semiparametric models ; factor models ; implied volatility surface ; vector autoregressive process ; asymptotic inference
FFT based option pricing( )

1 edition published in 2005 in English and held by 2 WorldCat member libraries worldwide

Stable distributions( )

1 edition published in 2005 in English and held by 2 WorldCat member libraries worldwide

DSFM fitting of implied volatility surfaces( )

1 edition published in 2005 in English and held by 2 WorldCat member libraries worldwide

The implied volatility became one of the key issues in modern quantitative finance, since the plain vanilla option prices contain vital information for pricing and hedging of exotic and illiquid options. European plain vanilla options are nowadays widely traded, which results in a great amount of high-dimensional data especially on an intra day level. The data reveal a degenerated string structure. Dynamic Semiparametric Factor Models (DSFM) are tailored to handle complex, degenerated data and yield low dimensional representation of the implied volatility surface (IVS). We discuss estimation issues of the model and apply it to DAX option prices
Convenience yields for CO2 emission allowance futures contracts( )

1 edition published in 2006 in English and held by 2 WorldCat member libraries worldwide

A semiparametric factor model for electricity forward( )

1 edition published in 2008 in English and held by 2 WorldCat member libraries worldwide

In this paper we introduce the dynamic semiparametric factor model (DSFM) for electricity forward curves. The biggest advantage of our approach is that it not only leads to smooth, seasonal forward curves extracted from exchange traded futures and forward electricity contracts, but also to a parsimonious factor representation of the curve. Using closing prices from the Nordic power market Nord Pool we provide empirical evidence that the DSFM is an efficient tool for approximating forward curve dynamics. -- Power market ; forward electricity curve ; dynamic semiparametric factor model
Convenience yields for CO 2 emission allowance futures contracts( Book )

1 edition published in 2006 in English and held by 1 WorldCat member library worldwide

FFT based option pricing by Szymon Borak( Book )

1 edition published in 2005 in English and held by 1 WorldCat member library worldwide

Time series modelling with semiparametric factor dynamics( Book )

1 edition published in 2007 in English and held by 1 WorldCat member library worldwide

Stable distributions by Szymon Borak( Book )

1 edition published in 2005 in English and held by 1 WorldCat member library worldwide

Statistics of Financial Markets : Exercises and Solutions( )

1 edition published in 2010 in English and held by 0 WorldCat member libraries worldwide

 
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Statistics of financial markets : exercises and solutions
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English (42)