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 mod...
Inhaltsverzeichnis
Preface.
1. A Synthetic View.
1.1 The World of Derivatives.
1.2 Bibliographic Notes.
References.
2. Probability, Random Variables and Statistics.
2.1 Probab...
Über den Autor
Stefano Maria Iacus, Professor (Professore Associato) of Probability and Mathematical Statistics at University of Milan, Department of Economics, Business and Statist...