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Option Pricing and Estimation of Financial Models with R
Stefano M. Iacus
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Description for Option Pricing and Estimation of Financial Models with R
Hardcover. 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.
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.
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 ... Read more
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.
Product Details
Format
Hardback
Publication date
2011
Publisher
John Wiley & Sons Inc United Kingdom
Number of pages
472
Condition
New
Number of Pages
472
Place of Publication
New York, United States
ISBN
9780470745847
SKU
V9780470745847
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
About Stefano M. Iacus
Stefano Maria Iacus, Professor (Professore Associato) of Probability and Mathematical Statistics at University of Milan, Department of Economics, Business and Statistics. Stefano is a member of the R development Core Team.
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