Iacus, Stefano M.
Option Pricing and Estimation of Financial Models with R
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.
- Författare
- Iacus, Stefano M.
- Utgivare
- John Wiley and Sons, Inc.
- Utgivningsår
- 2010
- Språk
- en
- Utgåva
- 1
- Sidantal
- 472 sidor
- Kategori
- Ekonomisk
- Format
- E-bok
- eISBN (ePUB)
- 9781119990208
- Tryckt ISBN
- 9780470745847