Option Pricing and Estimation of Financial Models With R - Couverture rigide

Iacus, Stefano M.

 
9780470745847: Option Pricing and Estimation of Financial Models With R
Couverture rigide
ISBN 10 : 0470745843 ISBN 13 : 9780470745847
Editeur : John Wiley & Sons Inc, 2011

Synopsis

Presents inference and simulation of stochastic process in the field of model calibration for financial times series modelled by continuous time processes and numerical option pricing. Introduces the bases of probability theory and goes on to explain how to model financial times series with continuous models, how to calibrate them from discrete data and further covers option pricing with one or more underlying assets based on these models.

Analysis and implementation of models goes beyond the standard Black and Scholes framework and includes Markov switching models, Lévy models and other models with jumps (e.g. the telegraph process); Topics other than option pricing include: volatility and covariation estimation, change point analysis, asymptotic expansion and classification of financial time series from a statistical viewpoint.

The book features problems with solutions and examples. All the examples and R code are available as an additional R package, therefore all the examples can be reproduced.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de l?auteur

Stefano Maria Iacus, Professor (Professore Associato) of Probability and Mathematical Statistics at University of Milan, Department of Economics, Business and Statistics. Stefano is a member of the R development Core Team.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
John Wiley & Sons Inc
Date d'édition
2011
Langue
anglais
ISBN 10 
0470745843
ISBN 13 
9780470745847
Reliure
Relié
Nombre de pages
472
Coordonnées du fabricant
non disponible
Personne responsable
non disponible