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Author : Kaushik I. Amin
Publisher :
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4.3/5 ( download)
Download or read book A Discrete Model for Evaluating Option Values with Jump Diffusion Processes written by Kaushik I. Amin and published by . This book was released on 1991 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gunter H Meyer
Publisher : World Scientific
ISBN 13 : 9814619698
Total Pages : 286 pages
Book Rating : 4.8/5 (146 download)
Download or read book Time-discrete Method Of Lines For Options And Bonds, The: A Pde Approach written by Gunter H Meyer and published by World Scientific. This book was released on 2014-11-27 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: Few financial mathematical books have discussed mathematically acceptable boundary conditions for the degenerate diffusion equations in finance. In The Time-Discrete Method of Lines for Options and Bonds, Gunter H Meyer examines PDE models for financial derivatives and shows where the Fichera theory requires the pricing equation at degenerate boundary points, and what modifications of it lead to acceptable tangential boundary conditions at non-degenerate points on computational boundaries when no financial data are available.Extensive numerical simulations are carried out with the method of lines to examine the influence of the finite computational domain and of the chosen boundary conditions on option and bond prices in one and two dimensions, reflecting multiple assets, stochastic volatility, jump diffusion and uncertain parameters. Special emphasis is given to early exercise boundaries, prices and their derivatives near expiration. Detailed graphs and tables are included which may serve as benchmark data for solutions found with competing numerical methods.
Author : Sanjiv R. Das
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (334 download)
Download or read book Discrete-time Bond and Option Pricing for Jump-diffusion Processes written by Sanjiv R. Das and published by . This book was released on 1994 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a methodology for pricing American type interest rate contingent claims for jump-diffusion processes. The method enhances the standard finite-differencing approach to deal with partial differential-difference equations derived in a jump-diffusion world. The numerical stability and convergence of the scheme is also proved. Numerical illustrations compare jump-diffusion and pure-diffusion models. Whereas the existence of jumps affects call options on bonds very much like those on stocks, this is not the case for puts which are affected by the asymmetric convexity of the bond pricing function. Early exercise behavior is also analyzed.
Author : Abdelilah Jraifi
Publisher : LAP Lambert Academic Publishing
ISBN 13 : 9783659564895
Total Pages : 104 pages
Book Rating : 4.5/5 (648 download)
Download or read book Numerical Analysis Of Stochastic Volatility Jump Diffusion Models written by Abdelilah Jraifi and published by LAP Lambert Academic Publishing. This book was released on 2014-06-30 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the modern economic world, the options contracts are used because they allow to hedge against the vagaries and risks refers to fluctuations in the prices of the underlying assets. The determination of the price of these contracts is of great importance for investors.We are interested in problems of options pricing, actually the European and Quanto options on a financial asset. The price of that asset is modeled by a multi-dimentional jump diffusion with stochastic volatility. Otherwise, the first model considers the volatility as a continuous process and the second model considers it as a jump process. Finally in the 3rd model, the underlying asset is without jump and volatility follows a model CEV without jump. This model allow better to take into account some phenomena observed in the markets. We develop numerical methods that determine the values of prices for these options. We first write the model as an integro-differential stochastic equations system "EIDS," of which we study existence and unicity of solutions. Then we relate the resolution of PIDE to the computation of the option value.
Author : Peter Tankov
Publisher : CRC Press
ISBN 13 : 1135437947
Total Pages : 552 pages
Book Rating : 4.1/5 (354 download)
Download or read book Financial Modelling with Jump Processes written by Peter Tankov and published by CRC Press. This book was released on 2003-12-30 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic
Author : Sanjiv Ranjan Das
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Discrete-Time Bond and Options Pricing for Jump-Diffusion Processes written by Sanjiv Ranjan Das and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a methodology for pricing American type interest rate contingent claims for jump-diffusion processes. The method enhances the standard finite- differencing approach to deal with partial differential- difference equations derived in a jump-diffusion world. The numerical stability and convergence of the scheme is also proved. Numerical illustrations compare jump-diffusion and pure-diffusion models. Whereas the existence of jumps affects call options on bonds very much like those on stocks, this is not the case for puts which are affected by the asymmetric convexity of the bond pricing functions. Early exercise behavior is also analyzed.
Author : Simon Sivyer Clift
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Linear and Non-linear Monotone Methods for Valuing Financial Options Under Two-Factor, Jump-Diffusion Models written by Simon Sivyer Clift and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mark Suresh Joshi
Publisher : Cambridge University Press
ISBN 13 : 9780521823555
Total Pages : 496 pages
Book Rating : 4.8/5 (235 download)
Download or read book The Concepts and Practice of Mathematical Finance written by Mark Suresh Joshi and published by Cambridge University Press. This book was released on 2003-12-24 with total page 496 pages. Available in PDF, EPUB and Kindle. Book excerpt: For those starting out as practitioners of mathematical finance, this is an ideal introduction. It provides the reader with a clear understanding of the intuition behind derivatives pricing, how models are implemented, and how they are used and adapted in practice. Strengths and weaknesses of different models, e.g. Black-Scholes, stochastic volatility, jump-diffusion and variance gamma, are examined. Both the theory and the implementation of the industry-standard LIBOR market model are considered in detail. Uniquely, the book includes extensive discussion of the ideas behind the models, and is even-handed in examining various approaches to the subject. Thus each pricing problem is solved using several methods. Worked examples and exercises, with answers, are provided in plenty, and computer projects are given for many problems. The author brings to this book a blend of practical experience and rigorous mathematical background, and supplies here the working knowledge needed to become a good quantitative analyst.
Author : Erwin Bolthausen
Publisher : Birkhäuser
ISBN 13 : 3034870264
Total Pages : 392 pages
Book Rating : 4.0/5 (348 download)
Download or read book Seminar on Stochastic Analysis, Random Fields and Applications written by Erwin Bolthausen and published by Birkhäuser. This book was released on 2012-12-06 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt: Pure and applied stochastic analysis and random fields form the subject of this book. The collection of articles on these topics represent the state of the art of the research in the field, with particular attention being devoted to stochastic models in finance. Some are review articles, others are original papers; taken together, they will apprise the reader of much of the current activity in the area.
Author : Gianluca Fusai
Publisher : Springer Science & Business Media
ISBN 13 : 3540499598
Total Pages : 606 pages
Book Rating : 4.5/5 (44 download)
Download or read book Implementing Models in Quantitative Finance: Methods and Cases written by Gianluca Fusai and published by Springer Science & Business Media. This book was released on 2007-12-20 with total page 606 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book puts numerical methods in action for the purpose of solving practical problems in quantitative finance. The first part develops a toolkit in numerical methods for finance. The second part proposes twenty self-contained cases covering model simulation, asset pricing and hedging, risk management, statistical estimation and model calibration. Each case develops a detailed solution to a concrete problem arising in applied financial management and guides the user towards a computer implementation. The appendices contain "crash courses" in VBA and Matlab programming languages.
Author : Yiu-Kuen Tse
Publisher : Cambridge University Press
ISBN 13 : 0521764653
Total Pages : 541 pages
Book Rating : 4.5/5 (217 download)
Download or read book Nonlife Actuarial Models written by Yiu-Kuen Tse and published by Cambridge University Press. This book was released on 2009-09-17 with total page 541 pages. Available in PDF, EPUB and Kindle. Book excerpt: This class-tested undergraduate textbook covers the entire syllabus for Exam C of the Society of Actuaries (SOA).
Author : S.T Rachev
Publisher : Elsevier
ISBN 13 : 0080557732
Total Pages : 707 pages
Book Rating : 4.0/5 (85 download)
Download or read book Handbook of Heavy Tailed Distributions in Finance written by S.T Rachev and published by Elsevier. This book was released on 2003-03-05 with total page 707 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbooks in Finance are intended to be a definitive source for comprehensive and accessible information in the field of finance. Each individual volume in the series should present an accurate self-contained survey of a sub-field of finance, suitable for use by finance and economics professors and lecturers, professional researchers, graduate students and as a teaching supplement. The goal is to have a broad group of outstanding volumes in various areas of finance. The Handbook of Heavy Tailed Distributions in Finance is the first handbook to be published in this series. This volume presents current research focusing on heavy tailed distributions in finance. The contributions cover methodological issues, i.e., probabilistic, statistical and econometric modelling under non- Gaussian assumptions, as well as the applications of the stable and other non -Gaussian models in finance and risk management.
Author : Cheng-Few Lee
Publisher : Springer Science & Business Media
ISBN 13 : 0387262849
Total Pages : 861 pages
Book Rating : 4.3/5 (872 download)
Download or read book Encyclopedia of Finance written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2006-07-27 with total page 861 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a major new reference work covering all aspects of finance. Coverage includes finance (financial management, security analysis, portfolio management, financial markets and instruments, insurance, real estate, options and futures, international finance) and statistical applications in finance (applications in portfolio analysis, option pricing models and financial research). The project is designed to attract both an academic and professional market. It also has an international approach to ensure its maximum appeal. The Editors' wish is that the readers will find the encyclopedia to be an invaluable resource.
Author : Yue Kuen Kwok
Publisher : CRC Press
ISBN 13 : 1000584259
Total Pages : 283 pages
Book Rating : 4.0/5 (5 download)
Download or read book Pricing Models of Volatility Products and Exotic Variance Derivatives written by Yue Kuen Kwok and published by CRC Press. This book was released on 2022-05-08 with total page 283 pages. Available in PDF, EPUB and Kindle. Book excerpt: Pricing Models of Volatility Products and Exotic Variance Derivatives summarizes most of the recent research results in pricing models of derivatives on discrete realized variance and VIX. The book begins with the presentation of volatility trading and uses of variance derivatives. It then moves on to discuss the robust replication strategy of variance swaps using portfolio of options, which is one of the major milestones in pricing theory of variance derivatives. The replication procedure provides the theoretical foundation of the construction of VIX. This book provides sound arguments for formulating the pricing models of variance derivatives and establishes formal proofs of various technical results. Illustrative numerical examples are included to show accuracy and effectiveness of analytic and approximation methods. Features Useful for practitioners and quants in the financial industry who need to make choices between various pricing models of variance derivatives Fabulous resource for researchers interested in pricing and hedging issues of variance derivatives and VIX products Can be used as a university textbook in a topic course on pricing variance derivatives
Author : Osvaldo Gervasi
Publisher : Springer Science & Business Media
ISBN 13 : 354069840X
Total Pages : 1297 pages
Book Rating : 4.5/5 (46 download)
Download or read book Computational Science and Its Applications - ICCSA 2008 written by Osvaldo Gervasi and published by Springer Science & Business Media. This book was released on 2008-06-24 with total page 1297 pages. Available in PDF, EPUB and Kindle. Book excerpt: The two-volume set LNCS 5072 and 5073 constitutes the refereed proceedings of the International Conference on Computational Science and Its Applications, ICCSA 2008, held in Perugia, Italy in June/July 2008. The two volumes contain papers presenting a wealth of original research results in the field of computational science, from foundational issues in computer science and mathematics to advanced applications in virtually all sciences making use of computational techniques. The topics of the refereed papers are structured according to the five major conference themes: computational methods, algorithms and applications, high performance technical computing and networks, advanced and emerging applications, geometric modelling, graphics and visualization, information systems and information technologies.
Author : Irena Andreevska
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (297 download)
Download or read book Mathematical Modeling and Analysis of Options with Jump-diffusion Volatility written by Irena Andreevska and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: ABSTRACT: Several existing pricing models of financial derivatives as well as the effects of volatility risk are analyzed. A new option pricing model is proposed which assumes that stock price follows a diffusion process with square-root stochastic volatility. The volatility itself is mean-reverting and driven by both diffusion and compound Poisson process. These assumptions better reflect the randomness and the jumps that are readily apparent when the historical volatility data of any risky asset is graphed. The European option price is modeled by a homogeneous linear second-order partial differential equation with variable coefficients. The case of underlying assets that pay continuous dividends is considered and implemented in the model, which gives the capability of extending the results to American options. An American option price model is derived and given by a non-homogeneous linear second order partial integro-differential equation. Using Fourier and Laplace transforms an exact closed-form solution for the price formula for European call/put options is obtained.
Author : Paul Glasserman
Publisher : Springer Science & Business Media
ISBN 13 : 0387216170
Total Pages : 603 pages
Book Rating : 4.3/5 (872 download)
Download or read book Monte Carlo Methods in Financial Engineering written by Paul Glasserman and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 603 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency Analysis
