Book description
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 models goes beyond the standard Black
and Scholes framework and includes Markov switching models, Lévy
models and other models with jumps (e. g. the telegraph process);
Topics other than option pricing include: volatility and covariation
estimation, change point analysis, asymptotic expansion and
classification of financial time series from a statistical viewpoint.
The book features problems with solutions and examples. All the
examples and R code are available as an additional R package,
therefore all the examples can be reproduced.
