Option pricing and estimation of financial models with R /

Option pricing and estimation of financial models with R /

"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 c...

Πλήρης περιγραφή

Λεπτομέρειες βιβλιογραφικής εγγραφής
Κύριος συγγραφέας: Iacus, Stefano M. (Stefano Maria)
Μορφή: Ηλ. βιβλίο
Γλώσσα:English
Έκδοση: Chichester, West Sussex, United Kingdom ; Hoboken, N.J. : Wiley, 2011.
Θέματα:
Options (Finance) > Prices.
Probabilities.
Stochastic processes.
Time-series analysis.
Business.
BUSINESS & ECONOMICS > Investments & Securities > General.
Electronic books.
Διαθέσιμο Online:Full Text via HEAL-Link
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037 |a 10.1002/9781119990079  |b Wiley InterScience  |n http://www3.interscience.wiley.com 
050 4 |a HG6024.A3  |b .I23 2011 
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082 0 4 |a 332.64/53  |2 22 
049 |a MAIN 
100 1 |a Iacus, Stefano M.  |q (Stefano Maria) 
245 1 0 |a Option pricing and estimation of financial models with R /  |c Stefano M. Iacus. 
264 1 |a Chichester, West Sussex, United Kingdom ;  |a Hoboken, N.J. :  |b Wiley,  |c 2011. 
300 |a 1 online resource (885 pages) 
336 |a text  |b txt  |2 rdacontent 
337 |a computer  |b c  |2 rdamedia 
338 |a online resource  |b cr  |2 rdacarrier 
505 0 |a Front Matter -- A Synthetic View -- Probability, Random Variables and Statistics -- Stochastic Processes -- Numerical Methods -- Estimation of Stochastic Models for Finance -- European Option Pricing -- American Options -- Pricing Outside the Standard Black and Scholes Model -- Miscellanea -- Appendix A: ₁How to₂ Guide to R -- Appendix B: R in Finance -- Index. 
505 8 |a Machine generated contents note: Preface -- 1. A Synthetic View -- 1.1 The World of Derivatives -- 1.2 Bibliographic Notes -- References -- 2. Probability, Random Variables and Statistics -- 2.1 Probability -- 2.2 Bayes' Rule -- 2.3 Random Variables -- 2.4 Asymptotics -- 2.5 Conditional Expectation -- 2.6 Statistics -- 2.7 Solution to Exercises -- 2.8 Bibliographic Notes -- References -- 3. Stochastic Processes -- 3.1 Definition and First Properties -- 3.3 Stopping Times -- 3.4 Markov Property -- 3.5 Mixing Property -- 3.6 Stable Convergence -- 3.7 Brownian Motion -- 3.8 Counting and Marked Processes -- 3.9 Poisson Process -- 3.10 Compound Poisson process -- 3.11 Compensated Poisson processes -- 3.12 Telegraph Process -- 3.13 Stochastic Integrals -- 3.14 More Properties and Inequalities for the Itô Integral -- 3.15 Stochastic Differential Equations -- 3.16 Girsanov's theorem for diffusion processes -- 3.17 Local Martingales and Semimartingales -- 3.18 Levy Processes -- 3.19 Stochastic Differential Equations in Rn -- 3.20 Markov Switching Diffusions -- 3.21 Solution to Exercises -- 3.22 Bibliographic Notes -- References -- 4. Numerical Methods -- 4.1 Monte Carlo Method -- 4.2 Numerical Differentiation -- 4.3 Root Finding -- 4.4 Numerical Optimization -- 4.5 Simulation of Stochastic Processes -- 4.6 Solution to Exercises -- 4.7 Bibliographic Notes -- References -- 5. Estimation of Stochastic Models for Finance -- 5.1 Geometric Brownian Motion -- 5.2 Quasi-Maximum Likelihood Estimation -- 5.3 Short-Term Interest Rates Models -- 5.4 Exponential Levy Model -- 5.5 Telegraph and Geometric Telegraph Process -- 5.6 Solution to Exercises -- 5.7 Bibliographic Notes -- References -- 6. European Option Pricing -- 6.1 Contingent Claims -- 6.2 Solution of the Black & Scholes Equation -- 6.3 The Hedging and the Greeks -- 6.4 Pricing Under the Equivalent Martingale Measure -- 6.5 More on Numerical Option Pricing -- 6.6 Implied Volatility and Volatility Smiles -- 6.7 Pricing of Basket Options -- 6.8 Solution to Exercises -- 6.9 Bibliographic Notes -- References -- 7. American Options -- 7.1 Finite Difference Methods -- 7.2 Explicit Finite-Difference Method -- 7.3 Implicit Finite-Difference Method -- 7.4 The Quadratic Approximation -- 7.5 Geske & Johnson and Other Approximations -- 7.6 Monte Carlo Methods -- 7.7 Bibliographic Notes -- References -- 8. Pricing Outside the Standard Black & Scholes Model -- 8.1 The Levy Market Model -- 8.2 Pricing Under the Jump Telegraph Process -- 8.3 Markov Switching Diffusions -- 8.4 The Benchmark approach -- 8.5 Bibliographic Notes -- References -- 9. Miscellanea -- 9.1 Monitoring of the Volatility -- 9.2 Asynchronous Covariation Estimation -- 9.3 LASSO Model Selection -- 9.4 Clustering of Financial Time Series -- 9.5 Bibliographic Notes -- References -- A. How to Guide to R -- A.1 Something to Know Soon About R -- A.2 Objects -- A.3 S4 Objects -- A.4 Functions -- A.5 Vectorization -- A.6 Parallel Computing in R -- A.7 Bibliographic Notes -- References -- B.R in Finance -- B.1 Overview of Existing R Frameworks -- B.2 Summary of Main Time Series Objects in R -- B.3 Dates and Time Handling -- B.4 Binding of Time Series -- B.5 Loading Data From Financial Data Servers -- B.6 Bibliographic Notes -- References -- Index. 
520 |a "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"--  |c Provided by publisher. 
504 |a Includes bibliographical references and index. 
588 0 |a Print version record. 
650 0 |a Options (Finance)  |x Prices. 
650 0 |a Probabilities. 
650 0 |a Stochastic processes. 
650 0 |a Time-series analysis. 
650 4 |a Business. 
650 7 |a BUSINESS & ECONOMICS  |x Investments & Securities  |x General.  |2 bisacsh 
650 7 |a Options (Finance)  |x Prices.  |2 fast  |0 (OCoLC)fst01046900 
650 7 |a Probabilities.  |2 fast  |0 (OCoLC)fst01077737 
650 7 |a Stochastic processes.  |2 fast  |0 (OCoLC)fst01133519 
650 7 |a Time-series analysis.  |2 fast  |0 (OCoLC)fst01151190 
655 4 |a Electronic books. 
776 0 8 |i Print version:  |a Iacus, Stefano M. (Stefano Maria).  |t Option pricing and estimation of financial models with r.  |d Chichester, West Sussex, United Kingdom ; Hoboken, N.J. : Wiley, 2011  |z 9780470745847  |w (DLC) 2010045655  |w (OCoLC)665137231 
856 4 0 |u https://doi.org/10.1002/9781119990079  |z Full Text via HEAL-Link 
994 |a 92  |b DG1 

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