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Option pricing and Estimation of Financial Models with R
Anglais
342 b
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Presents 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. Introduces the basis of probability theory and goes on to explain how to model financial times series with continuous models, how to calibrate them and covers option pricing with one or more underlying assets based on these models.§Analysis and implementation of models based on switching models or models with jumps are featured along with new models (Levy and telegraph process modeling) and topics such as; volatilty, covariation, p-variation and regime switching analysis, attention is focused on the calibration of these topics 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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Anglais
