rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    non sort: A
    title: Time Series Approach to Option Pricing
    sub title: Models, Methods and Empirical Performances
  name:
    name part: Chorro, Christophe.
    role:
      role term: creator
    role:
      role term: author.
  name:
    name part: Guégan, Dominique.
    role:
      role term: author.
  name:
    name part: Ielpo, Florian.
    role:
      role term: author.
  name:
    name part: SpringerLink (Online service)
  type of resource: text
  origin info:
    place:
      place term: gw
    date issued: 2015
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: electronic
    form: electronic resource
    reformatting quality: access
    form: remote
    extent: XVI, 188 p. 31 illus., 1 illus. in color. online resource.
  abstract: 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.
  table of contents: Introduction -- 1 The Time Series Toolbox for Financial Returns -- 2 The Stochastic Discount Factor Approach -- 3 Empirical Performances -- Mathematical Appendix -- Index.
  note: by Christophe Chorro, Dominique Guégan, Florian Ielpo.
  subject:
    topic: Finance
  subject:
    topic: Economics, Mathematical
  subject:
    topic: Statistics
  subject:
    topic: Macroeconomics
  subject:
    topic: Finance
  subject:
    topic: Finance, general
  subject:
    topic: Macroeconomics/Monetary Economics//Financial Economics
  subject:
    topic: Quantitative Finance
  subject:
    topic: Statistics for Business/Economics/Mathematical Finance/Insurance
  classification: HG1-HG9999
  classification: 332
  related item:
    title info:
      title: Springer eBooks
  identifier: 9783662450376
  identifier: http://dx.doi.org/10.1007/978-3-662-45037-6
  record info:
    record creation date: 141204
    record change date: 20151204173857.0
    record identifier: 978-3-662-45037-6