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.
Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.
Stefano M. Iacus, Department of Economics, Business and Statistics, University of Milan, Italy
The aim of this book is twofold. The first goal is to summarize elementary and advanced topics on modern option pricing: from the basic models of the Black & Scholes theory to the more sophisticated approach based on Lévy processes and other jump processes.
At the same time, the other goal of the book is to identify, estimate and justify, with the use of statistically sound techniques, the choice of particular financial models starting from real financial data.
In the spirit of modern finance, this book considers only continuous time models like diffusion of Lévy processes. Therefore, the statistical techniques presented are those designed to work on real discrete time data obtained from these continuous time models.
Key Features:
This book is an invaluable resource for post graduate students and researchers in economics, mathematics and statistics who want to approach mathematical finance from an applied point of view. Statisticians and data analysts working in a field related to finance will also benefit from this book.
Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.
Spese di spedizione:
EUR 17,47
Da: Regno Unito a: U.S.A.
Descrizione libro Condizione: New. Codice articolo 5912333-n
Descrizione libro Condizione: New. Brand New. Codice articolo 0470745843
Descrizione libro Condizione: New. Codice articolo 5912333-n
Descrizione libro Hardback. Condizione: New. New copy - Usually dispatched within 4 working days. A practical text for calibrating financial models and numerical option pricing featuring R, Option Pricing and Estimation of Financial Models With R distills inference and simulation of stochastic process in the field of model calibration for financial times series modeled with continuous time processes and numerical option pricing. Codice articolo B9780470745847
Descrizione libro HRD. Condizione: New. New Book. Shipped from UK. Established seller since 2000. Codice articolo FW-9780470745847
Descrizione libro Hardcover. Condizione: New. Codice articolo 6666-WLY-9780470745847
Descrizione libro Condizione: New. A practical text for calibrating financial models and numerical option pricing featuring R, Option Pricing and Estimation of Financial Models With R distills inference and simulation of stochastic process in the field of model calibration for financial times series modeled with continuous time processes and numerical option pricing. Num Pages: 472 pages, Illustrations. BIC Classification: KFFM; KJ; PB. Category: (P) Professional & Vocational. Dimension: 237 x 163 x 29. Weight in Grams: 810. . 2011. 1st Edition. Hardcover. . . . . Codice articolo V9780470745847
Descrizione libro Hardcover. Condizione: new. Hardcover. 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, Levy 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. A practical text for calibrating financial models and numerical option pricing featuring R, Option Pricing and Estimation of Financial Models With R distills inference and simulation of stochastic process in the field of model calibration for financial times series modeled with continuous time processes and numerical option pricing. Shipping may be from multiple locations in the US or from the UK, depending on stock availability. Codice articolo 9780470745847
Descrizione libro Hardcover. Condizione: Brand New. 1st edition. 472 pages. 9.00x6.25x1.25 inches. In Stock. Codice articolo __0470745843
Descrizione libro Condizione: New. Option Pricing and Estimation of Financial Models with RStefano M. Iacus, Department of Economics, Business and Statistics, University of Milan, ItalyThe aim of this book is twofold. The first goal is to summarize elementary and advanced topics on modern op. Codice articolo 556558035