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LEADER 00000cam a2200697 a 4500
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082 04 332.64/53
082 04 332.64/53|222
099 eBook O’Reilly for Public Libraries
100 1 Iacus, Stefano M.|q(Stefano Maria)
245 10 Option pricing and estimation of financial models with R /
|cStefano M. Iacus.|h[O'Reilly electronic resource]
260 Chichester, U.K. :|bJ. Wiley & Sons,|c2011.
300 1 online resource (xv, 456 pages) :|billustrations
336 text|btxt|2rdacontent
337 computer|bc|2rdamedia
338 online resource|bcr|2rdacarrier
340 |gpolychrome.|2rdacc|0http://rdaregistry.info/termList/
RDAColourContent/1003
347 text file|2rdaft|0http://rdaregistry.info/termList/
fileType/1002
504 Includes bibliographical references and index.
505 0 Option Pricing and Estimation of Financial Models with R;
Contents; Preface; 1 A synthetic view; 1.1 The world of
derivatives; 1.1.1 Different kinds of contracts; 1.1.2
Vanilla options; 1.1.3 Why options?; 1.1.4 A variety of
options; 1.1.5 How to model asset prices; 1.1.6 One step
beyond; 1.2 Bibliographical notes; References; 2
Probability, random variables and statistics; 2.1
Probability; 2.1.1 Conditional probability; 2.2 Bayes'
rule; 2.3 Random variables; 2.3.1 Characteristic function;
2.3.2 Moment generating function; 2.3.3 Examples of random
variables; 2.3.4 Sum of random variables
505 8 2.8 Bibliographical notesReferences; 3 Stochastic
processes; 3.1 Definition and first properties; 3.1.1
Measurability and filtrations; 3.1.2 Simple and quadratic
variation of a process; 3.1.3 Moments, covariance, and
increments of stochastic processes; 3.2 Martingales; 3.2.1
Examples of martingales; 3.2.2 Inequalities for
martingales; 3.3 Stopping times; 3.4 Markov property;
3.4.1 Discrete time Markov chains; 3.4.2 Continuous time
Markov processes; 3.4.3 Continuous time Markov chains; 3.5
Mixing property; 3.6 Stable convergence; 3.7 Brownian
motion; 3.7.1 Brownian motion and random walks
505 8 3.7.2 Brownian motion is a martingale3.7.3 Brownian motion
and partial differential equations; 3.8 Counting and
marked processes; 3.9 Poisson process; 3.10 Compound
Poisson process; 3.11 Compensated Poisson processes; 3.12
Telegraph process; 3.12.1 Telegraph process and partial
differential equations; 3.12.2 Moments of the telegraph
process; 3.12.3 Telegraph process and Brownian motion;
3.13 Stochastic integrals; 3.13.1 Properties of the
stochastic integral; 3.13.2 Itô formula; 3.14 More
properties and inequalities for the Itô integral; 3.15
Stochastic differential equations
505 8 3.15.1 Existence and uniqueness of solutions3.16
Girsanov's theorem for diffusion processes; 3.17 Local
martingales and semimartingales; 3.18 Lévy processes;
3.18.1 Lévy-Khintchine formula; 3.18.2 Lévy jumps and
random measures; 3.18.3 Itô-Lévy decomposition of a Lévy
process; 3.18.4 More on the Lévy measure; 3.18.5 The Itô
formula for Lévy processes; 3.18.6 Lévy processes and
martingales; 3.18.7 Stochastic differential equations with
jumps; 3.18.8 Itô formula for Lévy driven stochastic
differential equations; 3.19 Stochastic differential
equations in Rn; 3.20 Markov switching diffusions
520 "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"--|cProvided by
publisher
542 |fCopyright © John Wiley & Sons|g2011
588 0 Print version record.
590 O'Reilly|bO'Reilly Online Learning: Academic/Public
Library Edition
650 0 Options (Finance)|xPrices|xMathematical models.
650 0 R (Computer program language)
650 0 Probabilities|xMathematical models.
650 0 Stochastic processes|xMathematical models.
650 0 Time-series analysis|xMathematical models.
650 6 Options (Finances)|xPrix|xModèles mathématiques.
650 6 R (Langage de programmation)
650 6 Probabilités|xModèles mathématiques.
650 6 Processus stochastiques|xModèles mathématiques.
650 6 Série chronologique|xModèles mathématiques.
650 7 Options (Finance)|xPrices|xMathematical models|2fast
650 7 Probabilities|xMathematical models|2fast
650 7 R (Computer program language)|2fast
650 7 Stochastic processes|xMathematical models|2fast
650 7 Time-series analysis|xMathematical models|2fast
776 08 |iPrint version:|aIacus, Stefano M. (Stefano Maria).
|tOption pricing and estimation of financial models with
r.|dChichester, West Sussex, United Kingdom ; Hoboken,
N.J. : Wiley, 2011|z9780470745847|w(DLC) 2010045655
|w(OCoLC)665137231
856 40 |uhttps://ezproxy.naperville-lib.org/login?url=https://
learning.oreilly.com/library/view/~/9781119990208/?ar
|zAvailable on O'Reilly for Public Libraries
938 ebrary|bEBRY|nebr10510385
994 92|bJFN