现货Pathwise Estimation and Inference for Diffusion Market Models[9781138591646]

1075 九五品

库存2件

上海宝山

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作者Dokuchaev, Nikolai ; Hin, Lin Yee

出版社CRC Press

ISBN9781138591646

出版时间2019-03

装帧精装

纸张其他

页数238页

正文语种英语

上书时间2023-06-06

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商品描述: Pathwise estimation and inference for diffusion market models 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, future interest rate, and their uncertainty thereof. The focus is on the pathwise inference methods that are applicable to a sole path of the observed prices and do not require the observation of an ensemble of such paths. This book is pitched at the level of senior undergraduate students undertaking research at honors year, and postgraduate candidates undertaking Master's or PhD degree by research. From a research perspective, this book reaches out to academic researchers from backgrounds as diverse as mathematics and probability, econometrics and statistics, and computational mathematics and optimization whose interest lie in analysis and modelling of financial market data from a multi-disciplinary approach. Additionall

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