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

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 B...

Πλήρης περιγραφή

Λεπτομέρειες βιβλιογραφικής εγγραφής
Κύριοι συγγραφείς: Chorro, Christophe (Συγγραφέας), Guégan, Dominique (Συγγραφέας), Ielpo, Florian (Συγγραφέας)
Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
Γλώσσα:English
Έκδοση: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2015.
Θέματα:
Διαθέσιμο Online:Full Text via HEAL-Link
LEADER 03119nam a22004935i 4500
001 978-3-662-45037-6
003 DE-He213
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007 cr nn 008mamaa
008 141204s2015 gw | s |||| 0|eng d
020 |a 9783662450376  |9 978-3-662-45037-6 
024 7 |a 10.1007/978-3-662-45037-6  |2 doi 
040 |d GrThAP 
050 4 |a HG1-HG9999 
072 7 |a KFF  |2 bicssc 
072 7 |a BUS027000  |2 bisacsh 
082 0 4 |a 332  |2 23 
100 1 |a Chorro, Christophe.  |e author. 
245 1 2 |a A Time Series Approach to Option Pricing  |h [electronic resource] :  |b Models, Methods and Empirical Performances /  |c by Christophe Chorro, Dominique Guégan, Florian Ielpo. 
264 1 |a Berlin, Heidelberg :  |b Springer Berlin Heidelberg :  |b Imprint: Springer,  |c 2015. 
300 |a XVI, 188 p. 31 illus., 1 illus. in color.  |b online resource. 
336 |a text  |b txt  |2 rdacontent 
337 |a computer  |b c  |2 rdamedia 
338 |a online resource  |b cr  |2 rdacarrier 
347 |a text file  |b PDF  |2 rda 
505 0 |a Introduction -- 1 The Time Series Toolbox for Financial Returns -- 2 The Stochastic Discount Factor Approach -- 3 Empirical Performances -- Mathematical Appendix -- Index. 
520 |a 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. 
650 0 |a Finance. 
650 0 |a Economics, Mathematical. 
650 0 |a Statistics. 
650 0 |a Macroeconomics. 
650 1 4 |a Finance. 
650 2 4 |a Finance, general. 
650 2 4 |a Macroeconomics/Monetary Economics//Financial Economics. 
650 2 4 |a Quantitative Finance. 
650 2 4 |a Statistics for Business/Economics/Mathematical Finance/Insurance. 
700 1 |a Guégan, Dominique.  |e author. 
700 1 |a Ielpo, Florian.  |e author. 
710 2 |a SpringerLink (Online service) 
773 0 |t Springer eBooks 
776 0 8 |i Printed edition:  |z 9783662450369 
856 4 0 |u http://dx.doi.org/10.1007/978-3-662-45037-6  |z Full Text via HEAL-Link 
912 |a ZDB-2-SBE 
950 |a Business and Economics (Springer-11643)