Market Parameter from Historical Time Series

Abstract

Having shown in the previous sections how statistical parameters such as the volatility can be obtained implicitly from the prices of derivatives traded in the market, we now proceed with what is perhaps the more natural approach, which builds directly on the definition of the statistical values, namely the analysis of historical time series. Time series analysis is a broad topic in the field of statistics whose application here will be limited to those areas which serve the purposes of this book. A much more general and wide-reaching presentation can be found in [72], for example.