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A Monte Carlo Method For Pricing American Options
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Book Synopsis Monte Carlo Methods in Financial Engineering by : Paul Glasserman
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
Book Synopsis A Monte Carlo Method for Pricing American Options by : Diego Garcia
Download or read book A Monte Carlo Method for Pricing American Options written by Diego Garcia and published by . This book was released on 1999 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Numerical Methods in Finance by : René Carmona
Download or read book Numerical Methods in Finance written by René Carmona and published by Springer Science & Business Media. This book was released on 2012-03-23 with total page 478 pages. Available in PDF, EPUB and Kindle. Book excerpt: Numerical methods in finance have emerged as a vital field at the crossroads of probability theory, finance and numerical analysis. Based on presentations given at the workshop Numerical Methods in Finance held at the INRIA Bordeaux (France) on June 1-2, 2010, this book provides an overview of the major new advances in the numerical treatment of instruments with American exercises. Naturally it covers the most recent research on the mathematical theory and the practical applications of optimal stopping problems as they relate to financial applications. By extension, it also provides an original treatment of Monte Carlo methods for the recursive computation of conditional expectations and solutions of BSDEs and generalized multiple optimal stopping problems and their applications to the valuation of energy derivatives and assets. The articles were carefully written in a pedagogical style and a reasonably self-contained manner. The book is geared toward quantitative analysts, probabilists, and applied mathematicians interested in financial applications.
Book Synopsis Monte Carlo Methods and Models in Finance and Insurance by : Ralf Korn
Download or read book Monte Carlo Methods and Models in Finance and Insurance written by Ralf Korn and published by CRC Press. This book was released on 2010-02-26 with total page 485 pages. Available in PDF, EPUB and Kindle. Book excerpt: Offering a unique balance between applications and calculations, Monte Carlo Methods and Models in Finance and Insurance incorporates the application background of finance and insurance with the theory and applications of Monte Carlo methods. It presents recent methods and algorithms, including the multilevel Monte Carlo method, the statistical Rom
Book Synopsis Nonlinear Option Pricing by : Julien Guyon
Download or read book Nonlinear Option Pricing written by Julien Guyon and published by CRC Press. This book was released on 2013-12-19 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: New Tools to Solve Your Option Pricing ProblemsFor nonlinear PDEs encountered in quantitative finance, advanced probabilistic methods are needed to address dimensionality issues. Written by two leaders in quantitative research-including Risk magazine's 2013 Quant of the Year-Nonlinear Option Pricing compares various numerical methods for solving hi
Book Synopsis Monte Carlo and Quasi-Monte Carlo Methods 2000 by : Kai-Tai Fang
Download or read book Monte Carlo and Quasi-Monte Carlo Methods 2000 written by Kai-Tai Fang and published by Springer Science & Business Media. This book was released on 2011-06-28 with total page 570 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book represents the refereed proceedings of the Fourth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing which was held at Hong Kong Baptist University in 2000. An important feature are invited surveys of the state-of-the-art in key areas such as multidimensional numerical integration, low-discrepancy point sets, random number generation, and applications of Monte Carlo and quasi-Monte Carlo methods. These proceedings include also carefully selected contributed papers on all aspects of Monte Carlo and quasi-Monte Carlo methods. The reader will be informed about current research in this very active field.
Book Synopsis An Introduction to Financial Option Valuation by : Desmond J. Higham
Download or read book An Introduction to Financial Option Valuation written by Desmond J. Higham and published by Cambridge University Press. This book was released on 2004-04-15 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a lively textbook providing a solid introduction to financial option valuation for undergraduate students armed with a working knowledge of a first year calculus. Written in a series of short chapters, its self-contained treatment gives equal weight to applied mathematics, stochastics and computational algorithms. No prior background in probability, statistics or numerical analysis is required. Detailed derivations of both the basic asset price model and the Black–Scholes equation are provided along with a presentation of appropriate computational techniques including binomial, finite differences and in particular, variance reduction techniques for the Monte Carlo method. Each chapter comes complete with accompanying stand-alone MATLAB code listing to illustrate a key idea. Furthermore, the author has made heavy use of figures and examples, and has included computations based on real stock market data.
Book Synopsis Pricing American Options Using Monte Carlo Simulation by : Victoria Zhanna Averbukh
Download or read book Pricing American Options Using Monte Carlo Simulation written by Victoria Zhanna Averbukh and published by . This book was released on 1997 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis PDE and Martingale Methods in Option Pricing by : Andrea Pascucci
Download or read book PDE and Martingale Methods in Option Pricing written by Andrea Pascucci and published by Springer Science & Business Media. This book was released on 2011-04-15 with total page 727 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers an introduction to the mathematical, probabilistic and numerical methods used in the modern theory of option pricing. The text is designed for readers with a basic mathematical background. The first part contains a presentation of the arbitrage theory in discrete time. In the second part, the theories of stochastic calculus and parabolic PDEs are developed in detail and the classical arbitrage theory is analyzed in a Markovian setting by means of of PDEs techniques. After the martingale representation theorems and the Girsanov theory have been presented, arbitrage pricing is revisited in the martingale theory optics. General tools from PDE and martingale theories are also used in the analysis of volatility modeling. The book also contains an Introduction to Lévy processes and Malliavin calculus. The last part is devoted to the description of the numerical methods used in option pricing: Monte Carlo, binomial trees, finite differences and Fourier transform.
Book Synopsis Monte Carlo and Quasi-Monte Carlo Methods by : Ronald Cools
Download or read book Monte Carlo and Quasi-Monte Carlo Methods written by Ronald Cools and published by Springer. This book was released on 2016-06-13 with total page 624 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the refereed proceedings of the Eleventh International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of Leuven (Belgium) in April 2014. These biennial conferences are major events for Monte Carlo and quasi-Monte Carlo researchers. The proceedings include articles based on invited lectures as well as carefully selected contributed papers on all theoretical aspects and applications of Monte Carlo and quasi-Monte Carlo methods. Offering information on the latest developments in these very active areas, this book is an excellent reference resource for theoreticians and practitioners interested in solving high-dimensional computational problems, arising, in particular, in finance, statistics and computer graphics.
Book Synopsis The Complete Guide to Option Pricing Formulas by : Espen Gaarder Haug
Download or read book The Complete Guide to Option Pricing Formulas written by Espen Gaarder Haug and published by Professional Finance & Investment. This book was released on 2007-01-08 with total page 586 pages. Available in PDF, EPUB and Kindle. Book excerpt: Accompanying CD-ROM contains ... "all pricing formulas, with VBA code and ready-to-use Excel spreadsheets and 3D charts for Greeks (or Option Sensitivities)."--Jacket.
Book Synopsis Numerical Methods in Finance by : L. C. G. Rogers
Download or read book Numerical Methods in Finance written by L. C. G. Rogers and published by Cambridge University Press. This book was released on 1997-06-26 with total page 348 pages. Available in PDF, EPUB and Kindle. Book excerpt: Numerical Methods in Finance describes a wide variety of numerical methods used in financial analysis.
Book Synopsis Numerical Probability by : Gilles Pagès
Download or read book Numerical Probability written by Gilles Pagès and published by Springer. This book was released on 2018-07-31 with total page 591 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook provides a self-contained introduction to numerical methods in probability with a focus on applications to finance. Topics covered include the Monte Carlo simulation (including simulation of random variables, variance reduction, quasi-Monte Carlo simulation, and more recent developments such as the multilevel paradigm), stochastic optimization and approximation, discretization schemes of stochastic differential equations, as well as optimal quantization methods. The author further presents detailed applications to numerical aspects of pricing and hedging of financial derivatives, risk measures (such as value-at-risk and conditional value-at-risk), implicitation of parameters, and calibration. Aimed at graduate students and advanced undergraduate students, this book contains useful examples and over 150 exercises, making it suitable for self-study.
Book Synopsis Python for Finance Cookbook by : Eryk Lewinson
Download or read book Python for Finance Cookbook written by Eryk Lewinson and published by Packt Publishing Ltd. This book was released on 2020-01-31 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: Solve common and not-so-common financial problems using Python libraries such as NumPy, SciPy, and pandas Key FeaturesUse powerful Python libraries such as pandas, NumPy, and SciPy to analyze your financial dataExplore unique recipes for financial data analysis and processing with PythonEstimate popular financial models such as CAPM and GARCH using a problem-solution approachBook Description Python is one of the most popular programming languages used in the financial industry, with a huge set of accompanying libraries. In this book, you'll cover different ways of downloading financial data and preparing it for modeling. You'll calculate popular indicators used in technical analysis, such as Bollinger Bands, MACD, RSI, and backtest automatic trading strategies. Next, you'll cover time series analysis and models, such as exponential smoothing, ARIMA, and GARCH (including multivariate specifications), before exploring the popular CAPM and the Fama-French three-factor model. You'll then discover how to optimize asset allocation and use Monte Carlo simulations for tasks such as calculating the price of American options and estimating the Value at Risk (VaR). In later chapters, you'll work through an entire data science project in the financial domain. You'll also learn how to solve the credit card fraud and default problems using advanced classifiers such as random forest, XGBoost, LightGBM, and stacked models. You'll then be able to tune the hyperparameters of the models and handle class imbalance. Finally, you'll focus on learning how to use deep learning (PyTorch) for approaching financial tasks. By the end of this book, you’ll have learned how to effectively analyze financial data using a recipe-based approach. What you will learnDownload and preprocess financial data from different sourcesBacktest the performance of automatic trading strategies in a real-world settingEstimate financial econometrics models in Python and interpret their resultsUse Monte Carlo simulations for a variety of tasks such as derivatives valuation and risk assessmentImprove the performance of financial models with the latest Python librariesApply machine learning and deep learning techniques to solve different financial problemsUnderstand the different approaches used to model financial time series dataWho this book is for This book is for financial analysts, data analysts, and Python developers who want to learn how to implement a broad range of tasks in the finance domain. Data scientists looking to devise intelligent financial strategies to perform efficient financial analysis will also find this book useful. Working knowledge of the Python programming language is mandatory to grasp the concepts covered in the book effectively.
Book Synopsis An Option Greeks Primer by : Jawwad Farid
Download or read book An Option Greeks Primer written by Jawwad Farid and published by Springer. This book was released on 2015-03-23 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a hands-on, practical guide to understanding derivatives pricing. Aimed at the less quantitative practitioner, it provides a balanced account of options, Greeks and hedging techniques avoiding the complicated mathematics inherent to many texts, and with a focus on modelling, market practice and intuition.
Book Synopsis Sequential Monte Carlo Methods in Practice by : Arnaud Doucet
Download or read book Sequential Monte Carlo Methods in Practice written by Arnaud Doucet and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 590 pages. Available in PDF, EPUB and Kindle. Book excerpt: Monte Carlo methods are revolutionizing the on-line analysis of data in many fileds. They have made it possible to solve numerically many complex, non-standard problems that were previously intractable. This book presents the first comprehensive treatment of these techniques.
Book Synopsis Probabilistic Constrained Optimization by : Stanislav Uryasev
Download or read book Probabilistic Constrained Optimization written by Stanislav Uryasev and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 319 pages. Available in PDF, EPUB and Kindle. Book excerpt: Probabilistic and percentile/quantile functions play an important role in several applications, such as finance (Value-at-Risk), nuclear safety, and the environment. Recently, significant advances have been made in sensitivity analysis and optimization of probabilistic functions, which is the basis for construction of new efficient approaches. This book presents the state of the art in the theory of optimization of probabilistic functions and several engineering and finance applications, including material flow systems, production planning, Value-at-Risk, asset and liability management, and optimal trading strategies for financial derivatives (options). Audience: The book is a valuable source of information for faculty, students, researchers, and practitioners in financial engineering, operation research, optimization, computer science, and related areas.
