A Time Series Approach to Option Pricing: Models, Methods and Empirical Performances - Tapa blanda

Chorro, Christophe; Guégan, Dominique; Ielpo, Florian

 
9783662522400: A Time Series Approach to Option Pricing: Models, Methods and Empirical Performances
Tapa blanda
ISBN 10: 3662522403 ISBN 13: 9783662522400
Editorial: Springer, 2016

Sinopsis

The current world financial scene indicates at an intertwined and interdependent relationship between financial market activity and economic health. This book explains how the economic messages delivered by the dynamic evolution of financial asset returns are strongly related to option prices. The Black Scholes framework is introduced and by underlining its shortcomings, an alternative approach is presented that has emerged over the past ten years of academic research, an approach that is much more grounded on a realistic statistical analysis of data rather than on ad hoc tractable continuous time option pricing models. The reader then learns what it takes to understand and implement these option pricing models based on time series analysis in a self-contained way. The discussion covers modeling choices available to the quantitative analyst, as well as the tools to decide upon a particular model based on the historical datasets of financial returns. The reader is then guided into numerical deduction of option prices from these models and illustrations with real examples are used to reflect the accuracy of the approach using datasets of options on equity indices.

"Sinopsis" puede pertenecer a otra edición de este libro.

De la contraportada

The current world financial scene indicates at an intertwined and interdependent relationship between financial market activity and economic health. This book explains how the economic messages delivered by the dynamic evolution of financial asset returns are strongly related to option prices. The Black Scholes framework is introduced and by underlining its shortcomings,an alternative approach is presented that has emerged over the past ten years of academic research, an approach that is much more grounded on a realistic statistical analysis of data rather than on ad hoc tractable continuous time option pricing models. The reader then learns what it takes to understand and implement these option pricing models based on time series analysis in a self-contained way. The discussion covers modeling choices available to the quantitative analyst, as well as the tools to decide upon a particular model based on the historical datasets of financial returns. The reader is then guided into numerical deduction of option prices from these models and illustrations with real examples are used to reflect the accuracy of the approach using datasets of options on equity indices.?

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
Springer
Año de publicación
2016
Idioma
Inglés
ISBN 10 
3662522403
ISBN 13 
9783662522400
Encuadernación
Tapa blanda
Número de páginas
208
Contacto del fabricante
no disponible
Persona responsable
CMN Printpool Inh. Mathis Neumann
https://www.also.com/ec/cms5/en_6000/6000/index.jsp

Friedrich-Karl-Str. 9
Hamburg
Alemania

Otras ediciones populares con el mismo título

9783662450369: A Time Series Approach to Option Pricing: Models, Methods and Empirical Performances

Edición Destacada

ISBN 10:  3662450364 ISBN 13:  9783662450369
Editorial: Springer, 2014
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