Nikolai Dokuchaev, Lin Yee Hin

Gebundenes Buch

Pathwise Estimation and Inference for Diffusion Market Models

Beschreibung

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.

Autor

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.

Produktdetails

• Verlag: Chapman and Hall/CRC
• Seitenzahl: 238
• Erscheinungstermin: 28. März 2019
• Englisch
• Abmessung: 240mm x 161mm x 17mm
• Gewicht: 526g
• ISBN-13: 9781138591646
• ISBN-10: 1138591645
• Artikelnr.: 55982684