Pathwise Estimation and Inference for Diffusion Market Models

Hin Lin Yee, Nikolai Dokuchaev (Autoren)

Buch | Hardcover

220 Seiten

2020
CRC Press (Verlag)
978-1-138-54918-0 (ISBN)

Infos

This book discusses contemporary techniques for inferring, from options and bond prices, the market participants' aggregate view on important financial parameters such as implied volatility, discount rate, and future interest rate, and their uncertainty thereof.

Inhalt

1. Introduction. 2. Background of Stochastic Analysis. 3. The Diffusion Market Model. 4. Some Special Market Models. 5. Statistical Inference from Historical Data. 6. Models for Bond Prices. 7. Review of Methods of Inverse Inference from Observed Prices. 8. Implied Volatility and Risk-Free Rate: Basic Facts. 9. Inference of Implied Parameters from Underdefined Systems. 10. Inference of Implied Parameters from Overdefined Systems. 11. Forecast of Short Rate Based on the CIR Model.

Produkt-Details

• Erscheint lt. Verlag: 15.8.2020
• Reihe/Serie: Chapman and Hall/CRC Financial Mathematics Series
• Verlagsort: London
• Sprache: englisch
• Maße: 156 x 234 mm
• Themenwelt: Mathematik / Informatik ► Mathematik ► Angewandte Mathematik
• Themenwelt: Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie
• ISBN-10: 1-138-54918-5 / 1138549185
• ISBN-13: 978-1-138-54918-0 / 9781138549180
• Zustand: Neuware