Option pricing and estimation of financial models with R
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 continuo...
| Autor principal: | |
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Chichester, West Sussex, U.K. :
Wiley
2011.
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| Edición: | 1st edition |
| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009629021706719 |
| Sumario: | 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 mod |
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| Notas: | Description based upon print version of record. |
| Descripción Física: | 1 online resource (474 p.) |
| Bibliografía: | Includes bibliographical references and index. |
| ISBN: | 9781283405195 9786613405197 9781119990086 9781119990079 |
