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"Presents inference and simulation of stochastic process in the field of model calibration for financial times series modeled with continuous time processes and numerical option pricing. Introduces the basis of probability theory and goes on to explain how to model financial times series with continuous models, how to calibrate them and covers option pricing with one or more underlying assets based on these models. Analysis and implementation of models based on switching models or models with jumps are featured along with new models (Levy and telegraph process modeling) and topics such as; volatilty, covariation, p-variation and regime switching analysis, attention is focused on the calibration of these topics 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"--Provided by publisher.

Options (Finance) --- Probabilities --- Stochastic processes --- Time-series analysis --- 332.6453 --- 305.91 --- AA / International- internationaal --- Analysis of time series --- Random processes --- Probability --- Statistical inference --- Call options --- Calls (Finance) --- Listed options --- Options exchange --- Options market --- Options trading --- Put and call transactions --- Put options --- Puts (Finance) --- Prices --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Actuarial mathematics --- Autocorrelation (Statistics) --- Harmonic analysis --- Mathematical statistics --- Combinations --- Mathematics --- Chance --- Least squares --- Risk --- Derivative securities --- Investments

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The scientific debate of recent years about option pricing with respect to fractional Brownian motion was focused on the feasibility of the no arbitrage pricing approach. As the unrestricted fractional market setting allows for arbitrage, the conventional reasoning is that fractional Brownian motion does not qualify for modeling price process. In this book, the author points out that arbitrage can only be excluded in case that market prices move at least slightly faster than any market participant can react. He clarifies that continuous tradability always eliminates the risk of the fractional price process, irrespective of the interpretation of the stochastic integral as an integral of Stratonovich or Itô type. Being left with an incomplete market setting, the author shows that option valuation with respect to fractional Brownian motion may be solved by applying a risk preference based approach. The latter provides us with an intuitive closed-form solution for European options within the fractional context.

Brownian motion processes. --- Business mathematics -- Congresses. --- Business mathematics. --- Options (Finance) -- Prices -- Mathematical models. --- Mathematics --- Physical Sciences & Mathematics --- Mathematical Statistics --- Brownian motion processes --- -Options (Finance) --- -519.233 --- 332.6453 --- Call options --- Calls (Finance) --- Listed options --- Options exchange --- Options market --- Options trading --- Put and call transactions --- Put options --- Puts (Finance) --- Derivative securities --- Investments --- Wiener processes --- Brownian movements --- Fluctuations (Physics) --- Markov processes --- Electronic information resources --- Prices --- -Mathematical models --- -Electronic information resources --- E-books --- Options (Finance) --- Mathematical models. --- Finance. --- Economics, Mathematical. --- Macroeconomics. --- Finance, general. --- Macroeconomics/Monetary Economics//Financial Economics. --- Quantitative Finance. --- Economics --- Funding --- Funds --- Currency question --- Economics, Mathematical . --- Mathematical economics --- Econometrics --- Methodology --- AA / International- internationaal --- 305.91 --- 305.6 --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Risicotheorie, speltheorie. Risicokapitaal. Beslissingsmodellen --- Social sciences --- Financial Economics. --- Macroeconomics and Monetary Economics. --- Mathematics in Business, Economics and Finance. --- Mathematics.