Option Pricing and Estimation of Financial Models with R

Business & Finance, Finance & Investing, Investments & Securities
Cover of the book Option Pricing and Estimation of Financial Models with R by Stefano M. Iacus, Wiley
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Stefano M. Iacus ISBN: 9781119990208
Publisher: Wiley Publication: February 23, 2011
Imprint: Wiley Language: English
Author: Stefano M. Iacus
ISBN: 9781119990208
Publisher: Wiley
Publication: February 23, 2011
Imprint: Wiley
Language: English

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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.

More books from Wiley

Cover of the book The Blackwell Companion to The Problem of Evil by Stefano M. Iacus
Cover of the book Yellow Book: Government Auditing Standards by Stefano M. Iacus
Cover of the book The Social Work and Human Services Treatment Planner, with DSM 5 Updates by Stefano M. Iacus
Cover of the book Computational Colour Science Using MATLAB by Stefano M. Iacus
Cover of the book A Companion to Greek and Roman Political Thought by Stefano M. Iacus
Cover of the book College Admission Essays For Dummies by Stefano M. Iacus
Cover of the book Innovative Drug Synthesis by Stefano M. Iacus
Cover of the book Historicising Gender and Sexuality by Stefano M. Iacus
Cover of the book Relativistic Quantum Chemistry by Stefano M. Iacus
Cover of the book Genomic Selection in Animals by Stefano M. Iacus
Cover of the book Forensic Microbiology by Stefano M. Iacus
Cover of the book Microbial Functional Foods and Nutraceuticals by Stefano M. Iacus
Cover of the book Formal Languages, Automata and Numeration Systems 1 by Stefano M. Iacus
Cover of the book Tomography by Stefano M. Iacus
Cover of the book Production of Plasma Proteins for Therapeutic Use by Stefano M. Iacus
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy