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OverviewThe 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. Full Product DetailsAuthor: Christophe Chorro , Dominique Guégan , Florian IelpoPublisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Imprint: Springer-Verlag Berlin and Heidelberg GmbH & Co. K Edition: 2015 ed. Dimensions: Width: 15.50cm , Height: 1.30cm , Length: 23.50cm Weight: 4.321kg ISBN: 9783662450369ISBN 10: 3662450364 Pages: 188 Publication Date: 18 December 2014 Audience: Professional and scholarly , Professional & Vocational Format: Hardback Publisher's Status: Active Availability: Manufactured on demand We will order this item for you from a manufactured on demand supplier. Table of ContentsReviewsAuthor InformationTab Content 6Author Website:Countries AvailableAll regions |