Option pricing and estimation of financial models with R

Stefano M. Iacus

Presents inference and simulation of stochastic process in the field of model calibration for financial times series modelled by continuous time processes and numerical option pricing. Introduces the bases of probability theory and goes on to explain how to model financial times series with continuous models, how to calibrate them from discrete data and further covers option pricing with one or more underlying assets based on these models. Analysis and implementation of models goes beyond the standard Black and Scholes framework and includes Markov switching models, Lévy models and other model

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Year of publication:	2011 ; Online-Ausg.
Authors:	Iacus, Stefano Maria
Publisher:	Chichester, West Sussex, U.K. : Wiley
Subject:	Stochastischer Prozess \| Stochastic process \| Optionspreistheorie \| Option pricing theory \| Zeitreihenanalyse \| Time series analysis \| Wahrscheinlichkeitsrechnung \| Probability theory
Description of contents:	Includes bibliographical references and index Table of Contents [swbplus.bsz-bw.de] ; Table of Contents [external.dandelon.com]