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Option Pricing and Estimation of Financial Models with R by Stefano M. Iacus

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Chapter 1

A synthetic view

Mathematical finance has been an exponentially growing field of research in the last decades and is still impressively active. There are also many directions and subfields under the hat of ‘finance’ and researchers from very different fields, such as economics (of course), engineering, mathematics, numerical analysis and recently statistics, have been involved in this area.

This chapter is intended to give a guidance on the reading of the book and to provide a better focus on the topics discussed herein. The book is intended to be self-contained in its exposition, introducing all the concepts, including very preliminary ones, which are required to better understand more complex topics and to appreciate the details and the beauty of some of the results.

This book is also very computer-oriented and it often moves from theory to applications and examples. The images/c01_I0001.gif statistical environment has been chosen as a basis. All the code presented in this book is free and available as an images/c01_I0002.gif statistical package called opefimor on CRAN.1

There are many good publications on mathematical finance on the market. Some of them consider only mathematical aspects of the matter at different level of complexity. Other books that mix theoretical results and software applications are usually ...

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