Product Description & Reviews
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.
Features & Highlights
|Item Weight:||1.72 pounds|
|Item Size:||1.2 x 9.3 x 9.3 inches|
|Package Weight:||1.8 pounds|
|Package Size:||6.4 x 1.2 x 1.2 inches|
Have questions about this item, or would like to inquire about a custom or bulk order?
If you have any questions about this product, contact us by completing and submitting the form below. If you are looking for a specif part number, please include it with your message.
By Traders Management
mpn: black & white illustrations, ean: 9780578140551, isbn: 0578140551,
The majority of professional and individual traders use some kind of trading software on which to base their strategies. With over 100,000 users, the ...
By Prentice Hall
ean: 9780131499065, isbn: 0131499068,
As in the fifth edition, the Student Solutions Manual contains solutions to the Questions and Problems that appear at the end of each chapter of the t...