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Option Pricing and Estimation of Financial Models with R Hardcover – April 4, 2011

ISBN-13: 978-0470745847 ISBN-10: 0470745843 Edition: 1st

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Editorial Reviews

From the Back Cover

Option Pricing and Estimation of Financial Models with R

Stefano M. Iacus, Department of Economics, Business and Statistics, University of Milan, Italy

The aim of this book is twofold. The first goal is to summarize elementary and advanced topics on modern option pricing: from the basic models of the Black & Scholes theory to the more sophisticated approach based on Lévy processes and other jump processes.

At the same time, the other goal of the book is to identify, estimate and justify, with the use of statistically sound techniques, the choice of particular financial models starting from real financial data.

In the spirit of modern finance, this book considers only continuous time models like diffusion of Lévy processes. Therefore, the statistical techniques presented are those designed to work on real discrete time data obtained from these continuous time models.

Key Features:

  • Provides a comprehensive and in-depth guide to financial modeling.
  • Looks at basic and advanced option pricing with R.
  • Explores simulation of multidimensional stochastic differential equations with jumps.
  • Provides a comprehensive survey on empirical finance in the R statistical environment.
  • Addresses model selection and identification of financial models from empirical financial data.

This book is an invaluable resource for post graduate students and researchers in economics, mathematics and statistics who want to approach mathematical finance from an applied point of view. Statisticians and data analysts working in a field related to finance will also benefit from this book.

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Product Details

  • Hardcover: 472 pages
  • Publisher: Wiley; 1 edition (April 4, 2011)
  • Language: English
  • ISBN-10: 0470745843
  • ISBN-13: 978-0470745847
  • Product Dimensions: 6.3 x 1.2 x 9.3 inches
  • Shipping Weight: 1.8 pounds (View shipping rates and policies)
  • Average Customer Review: 2.3 out of 5 stars  See all reviews (3 customer reviews)
  • Amazon Best Sellers Rank: #370,816 in Books (See Top 100 in Books)

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1 of 1 people found the following review helpful By Derek Borba on March 21, 2012
Format: Kindle Edition Verified Purchase
Great book but the R code in the Kindle version is a mess. Buy the hard copy. I wish the subject was approached from a practical sense rather than from such a strict mathematical perspective. Practical examples would be a great addition.
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0 of 1 people found the following review helpful By 100pcHonk on September 13, 2012
Format: Kindle Edition Verified Purchase
If Amazon wants anybody to be more serious about technical books of kindle version, they have to be serious about the editing especially the codes or math equations, which I see is the weakest point among Kindle e-book so far.
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0 of 1 people found the following review helpful By Win Prapinmongkolkarn on April 6, 2012
Format: Kindle Edition Verified Purchase
R code in Kindle version is in poor format.
- improper line break; no line break between commands
- "<-" is wrongly replaced with "-"
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Option Pricing and Estimation of Financial Models with R
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