Option Pricing and Estimation of Financial Models with R

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9780470745847: 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 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.

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From the Back Cover:

Option Pricing and Estimation of Financial Models with R

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:

  • 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.
  • Provides a comprehensive survey on empirical finance in the R statistical environment.
  • Addresses model selection and identification of financial models from empirical financial data.

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.

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Stefano M. Iacus
Editorial: John Wiley and Sons Ltd, United States (2011)
ISBN 10: 0470745843 ISBN 13: 9780470745847
Nuevos Tapa dura Cantidad: 10
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The Book Depository
(London, Reino Unido)
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Descripción John Wiley and Sons Ltd, United States, 2011. Hardback. Estado de conservación: New. New.. Language: English . Brand New Book. 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. Nº de ref. de la librería AAH9780470745847

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Stefano M. Iacus
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ISBN 10: 0470745843 ISBN 13: 9780470745847
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Descripción John Wiley and Sons Ltd. Hardback. Estado de conservación: new. BRAND NEW, Option Pricing and Estimation of Financial Models with R, Stefano M. Iacus, 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. Nº de ref. de la librería B9780470745847

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Stefano M. Iacus
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ISBN 10: 0470745843 ISBN 13: 9780470745847
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Descripción Wileyand#8211;Blackwell, 2011. HRD. Estado de conservación: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Nº de ref. de la librería FW-9780470745847

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Stefano M. Iacus
Editorial: John Wiley and Sons Ltd, United States (2011)
ISBN 10: 0470745843 ISBN 13: 9780470745847
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Descripción John Wiley and Sons Ltd, United States, 2011. Hardback. Estado de conservación: New. New.. Language: English . Brand New Book. 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. Nº de ref. de la librería AAH9780470745847

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Editor: Stefano Iacus (University of Milan, Italy)
Editorial: John Wiley and Sons
ISBN 10: 0470745843 ISBN 13: 9780470745847
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Descripción John Wiley and Sons. Estado de conservación: New. Brand New. Nº de ref. de la librería 0470745843

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Stefano M. Iacus
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ISBN 10: 0470745843 ISBN 13: 9780470745847
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Descripción Wiley, 2011. Hardcover. Estado de conservación: New. 1. Nº de ref. de la librería DADAX0470745843

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STEFANO M. IACUS
ISBN 10: 0470745843 ISBN 13: 9780470745847
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Descripción 2011. Hardback. Estado de conservación: NEW. 9780470745847 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. Nº de ref. de la librería HTANDREE0778552

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Iacus, Stefano (Editor)
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ISBN 10: 0470745843 ISBN 13: 9780470745847
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Descripción John Wiley & Sons Inc, 2011. Hardcover. Estado de conservación: Brand New. 1st edition. 472 pages. 9.00x6.25x1.25 inches. In Stock. Nº de ref. de la librería __0470745843

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Stefano M. Iacus
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ISBN 10: 0470745843 ISBN 13: 9780470745847
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Descripción Wiley, 2011. Hardcover. Estado de conservación: New. book. Nº de ref. de la librería 0470745843

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Stefano M. Iacus
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ISBN 10: 0470745843 ISBN 13: 9780470745847
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Descripción John Wiley and Sons Ltd, United States, 2011. Hardback. Estado de conservación: New. New.. Language: English . This book usually ship within 10-15 business days and we will endeavor to dispatch orders quicker than this where possible. Brand New Book. 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. Nº de ref. de la librería BZV9780470745847

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