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A time series approach to option pricing [electronic resource] : models, methods and empirical performances

A time series approach to option pricing [electronic resource] : models, methods and empirical performances

자료유형
E-Book(소장)
개인저자
Chorro, Christophe. Guégan, Dominique. Ielpo, Florian.
서명 / 저자사항
A time series approach to option pricing [electronic resource] : models, methods and empirical performances / [edited by] Christophe Chorro, Dominique Guégan, Florian Ielpo.
발행사항
Berlin;   Heidelberg :   Springer Berlin Heidelberg :   Imprint: Springer,   2015.  
형태사항
1 online resource (xvi, 188 p.) : ill. (some col.).
기타형태 저록
Print version:   A time series approach to option pricing : models, methods and empirical performances   9783662450369   (211009) 000045823521  
ISBN
9783662450376
요약
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.
일반주기
Title from e-Book title page.  
내용주기
Introduction -- 1 The Time Series Toolbox for Financial Returns -- 2 The Stochastic Discount Factor Approach -- 3 Empirical Performances -- Mathematical Appendix -- Index.
서지주기
Includes bibliographical references and index.
이용가능한 다른형태자료
Issued also as a book.  
일반주제명
Options (Finance) --Mathematical models. Time-series analysis.
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008 200728s2015 gw a ob 001 0 eng d
020 ▼a 9783662450376
040 ▼a 211009 ▼c 211009 ▼d 211009
082 0 4 ▼a 332.6453 ▼2 23
084 ▼a 332.6453 ▼2 DDCK
090 ▼a 332.6453
245 0 2 ▼a A time series approach to option pricing ▼h [electronic resource] : ▼b models, methods and empirical performances / ▼c [edited by] Christophe Chorro, Dominique Guégan, Florian Ielpo.
260 ▼a Berlin; ▼a Heidelberg : ▼b Springer Berlin Heidelberg : ▼b Imprint: Springer, ▼c 2015.
300 ▼a 1 online resource (xvi, 188 p.) : ▼b ill. (some col.).
500 ▼a Title from e-Book title page.
504 ▼a Includes bibliographical references and index.
505 0 ▼a Introduction -- 1 The Time Series Toolbox for Financial Returns -- 2 The Stochastic Discount Factor Approach -- 3 Empirical Performances -- Mathematical Appendix -- Index.
520 ▼a 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.
530 ▼a Issued also as a book.
538 ▼a Mode of access: World Wide Web.
650 0 ▼a Options (Finance) ▼x Mathematical models.
650 0 ▼a Time-series analysis.
700 1 ▼a Chorro, Christophe.
700 1 ▼a Guégan, Dominique.
700 1 ▼a Ielpo, Florian.
776 0 8 ▼i Print version: ▼t A time series approach to option pricing : models, methods and empirical performances ▼z 9783662450369 ▼w (211009) 000045823521
856 4 0 ▼u https://oca.korea.ac.kr/link.n2s?url=http://dx.doi.org/10.1007/978-3-662-45037-6
945 ▼a KLPA
991 ▼a E-Book(소장)

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