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Pathwise Estimation and Inference for Diffusion Market Models

Hin Lin Yee (author), Nikolai Dokuchaev (author)

Hardback Published on: 22/08/2020

£100

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Synopsis

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.