Option pricing and estimation of financial models with R

XV, 456 S.

graph. Darst.

Literaturverz. S. 445

Formerly CIP Uk. - Includes bibliographical references and index

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.

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