9780470745847 - Option Pricing and Estimation of Financial Models with R de Iacus, Stefano M. (13 resultados)

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Hardcover. Condición: new. Hardcover. 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. 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. Shipping may be from multiple locations in the US or from the UK, depending on stock availability.

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Condición: New. 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. . 2011. 1st Edition. Hardcover. . . . .

Condición: New.

Condición: New. 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. . 2011. 1st Edition. Hardcover. . . . . Books ship from the US and Ireland.

Gebunden. Condición: New. Option Pricing and Estimation of Financial Models with RStefano M. Iacus, Department of Economics, Business and Statistics, University of Milan, ItalyThe aim of this book is twofold. The first goal is to summarize elementary and advanced topics on modern op.

Hardcover. Condición: new. Hardcover. 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. 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. Shipping may be from our UK warehouse or from our Australian or US warehouses, depending on stock availability.

Hardcover. Condición: new. Hardcover. 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. 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. Shipping may be from our Sydney, NSW warehouse or from our UK or US warehouse, depending on stock availability.