A Time Series Approach to Option Pricing: Models, Methods and Empirical Performances (Hardback)
  • A Time Series Approach to Option Pricing: Models, Methods and Empirical Performances (Hardback)
zoom

A Time Series Approach to Option Pricing: Models, Methods and Empirical Performances (Hardback)

(author), (author), (author)
£89.99
Hardback 188 Pages / Published: 18/12/2014
  • We can order this

Usually dispatched within 3 weeks

  • This item has been added to your basket
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.

Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN: 9783662450369
Number of pages: 188
Weight: 4321 g
Dimensions: 235 x 155 x 13 mm
Edition: 2015 ed.

You may also be interested in...

The Philosophy of Money
Added to basket
The History Of Money
Added to basket
The Death of Money
Added to basket
Economics: A Very Short Introduction
Added to basket
Free
Added to basket
£8.99
Paperback
Logic Problems for Money Minds
Added to basket
Foreign Exchange: The Complete Deal
Added to basket
Wildcat Currency
Added to basket
Bitcoins
Added to basket
£4.75
Paperback
Globalizing Capital
Added to basket
All About Forex Trading
Added to basket
The Money Machine
Added to basket
£10.99
Paperback
Stress Test
Added to basket
£9.99
Paperback
The Rotten Heart of Europe
Added to basket

Please sign in to write a review

Your review has been submitted successfully.