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.
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.
Nikolai Dokuchaev is an associate professor in Mathematics and Statistics at Curtin University. His research interests include mathematical and statistical finance, stochastic analysis, PDEs, control, and signal processing. Lin Yee Hin is a practitioner in the capital market facing industry. His research interests include econometrics, non-parametric regression, and scientific computing.
Inhaltsangabe
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.
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.
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