Pathwise estimation and inference for diffusion market models
Auteur :
Dokuchaev, Nikolai / Hin, Lin Yee
Éditeur :
Taylor & Francis Ltd
ISBN :
9780367731212
Date de publication :
18 déc. 2020
Dimensions :
23,4 x 15,6 cm
Poids :
453 g
Langue :
Anglais
Pays d'origine :
Grande Bretagne
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.