Option Pricing and Estimation of Financial Models with R

Stefano M. Iacus

ISBN 10: 0470745843 / ISBN 13: 9780470745847

Published by John Wiley & Sons Inc, 2011

About this Item

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.

Seller Inventory # V9780470745847

Bibliographic Details

• Title: Option Pricing and Estimation of Financial Models with R
• Publisher: John Wiley & Sons Inc
• Publication Date: 2011
• Language: English
• ISBN 10: 0470745843
• ISBN 13: 9780470745847
• Binding: Hardcover
• Condition: New

About this title

Synopsis

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.

About the Author

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.