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eBook Option Pricing and Estimation of Financial Models with R download

by Stefano M. Iacus

eBook Option Pricing and Estimation of Financial Models with R download ISBN: 0470745843
Author: Stefano M. Iacus
Publisher: Wiley; 1 edition (April 4, 2011)
Language: English
Pages: 472
ePub: 1788 kb
Fb2: 1354 kb
Rating: 4.4
Other formats: lit rtf mobi txt
Category: Math Sciences
Subcategory: Mathematics

Use features like bookmarks, note taking and highlighting while reading Option Pricing and Estimation of Financial . In the spirit of modern finance, this book considers only continuous time models like diffusion of Lévy processes.

Use features like bookmarks, note taking and highlighting while reading Option Pricing and Estimation of Financial Models with . Therefore, the statistical techniques presented are those designed to work on real discrete time data obtained from these continuous time models. Key Features: Provides a comprehensive and in-depth guide to financial modeling. Looks at basic and advanced option pricing with R. Explores simulation of multidimensional stochastic differential equations with jumps.

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. Provides a comprehensive survey on empirical finance in the R statistical environment.

2011 John Wiley & Sons, Ltd. Published 2011 by John Wiley & Sons, Ltd. 2 option pricing and estimation of financial models with r. time, the book considers jump diffusions and telegraph process models and pricing under these dynamics. The world of derivatives.

The paper deals with the estimation of parameters of multidimensional diffusion processes that are discretely observed

The paper deals with the estimation of parameters of multidimensional diffusion processes that are discretely observed. We construct estimator of the parameters based on the minimum Hellinger distance method.

Mobile version (beta). Option Pricing and Estimation of Financial Models with R. Stefano M. Iacus. Download (pdf, . 4 Mb) Donate Read. Epub FB2 mobi txt RTF.

The book features problems with solutions and examples.

You are in the United States store. The book features problems with solutions and examples. You are in the United States store.

The aim of this book is twofold. 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.

Read by Stefano M.

models, Lévy models and other models with jumps (.

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 (. 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. 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.

Publisher: John Wiley & Sons. 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

Publisher: John Wiley & Sons. Release Date: May 2011. 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.

Presents inference and simulation of stochastic process in thefield of model calibration for financial times series modelled bycontinuous time processes and numerical option pricing. Introducesthe bases of probability theory and goes on to explain how to modelfinancial times series with continuous models, how to calibratethem from discrete data and further covers option pricing with oneor more underlying assets based on these models.

Analysis and implementation of models goes beyond the standardBlack and Scholes framework and includes Markov switching models,Lévy models and other models with jumps (e.g. the telegraphprocess); Topics other than option pricing include: volatility andcovariation estimation, change point analysis, asymptotic expansionand classification of financial time series from a statisticalviewpoint.

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

Comments: (3)
Styphe
Great book but the R code in the Kindle version is a mess. Buy the hard copy. I wish the subject was approached from a practical sense rather than from such a strict mathematical perspective. Practical examples would be a great addition.
Lianeni
If Amazon wants anybody to be more serious about technical books of kindle version, they have to be serious about the editing especially the codes or math equations, which I see is the weakest point among Kindle e-book so far.
Altad
R code in Kindle version is in poor format.
- improper line break; no line break between commands
- "<-" is wrongly replaced with "-"