Inside Volatility Filtering Secrets of the Skew【電子書籍】[ Alireza Javaheri ]

＜p＞＜strong＞A new, more accurate take on the classical approach to volatility evaluation＜/strong＞＜/p＞ ＜p＞＜em＞Inside Volatility Filtering＜/em＞ presents a new approach to volatility estimation, using financial econometrics based on a more accurate estimation of the hidden state. Based on the idea of "filtering", this book lays out a two-step framework involving a Chapman-Kolmogorov prior distribution followed by Bayesian posterior distribution to develop a robust estimation based on all available information. This new second edition includes guidance toward basing estimations on historic option prices instead of stocks, as well as Wiener Chaos Expansions and other spectral approaches. The author's statistical trading strategy has been expanded with more in-depth discussion, and the companion website offers new topical insight, additional models, and extra charts that delve into the profitability of applied model calibration. You'll find a more precise approach to the classical time series．．．楽天市場のショップで商品詳細の続きを見る