Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
A Note On Melnikov Petrachenko Option Pricing In Binomial Market With Transaction Costs
Download A Note On Melnikov Petrachenko Option Pricing In Binomial Market With Transaction Costs full books in PDF, epub, and Kindle. Read online A Note On Melnikov Petrachenko Option Pricing In Binomial Market With Transaction Costs ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis A Note on Melnikov-Petrachenko Option Pricing in Binomial Market with Transaction Costs by : Alet Roux
Download or read book A Note on Melnikov-Petrachenko Option Pricing in Binomial Market with Transaction Costs written by Alet Roux and published by . This book was released on 2019 with total page 5 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the paper by Melnikov and Petrachenko published in Finance and Stochastics 9 (2005), 141--149, a procedure is put forward for pricing and replicating an arbitrary European contingent claim in the binomial market with transaction costs. We present an example to show that the option price arrived at by this replication procedure can lead to arbitrage. This is related to the fact that under transaction costs a superreplicating strategy may cost less to set up than a strictly replicating one.
Book Synopsis Model Risk In Financial Markets: From Financial Engineering To Risk Management by : Radu Sebastian Tunaru
Download or read book Model Risk In Financial Markets: From Financial Engineering To Risk Management written by Radu Sebastian Tunaru and published by World Scientific. This book was released on 2015-06-08 with total page 382 pages. Available in PDF, EPUB and Kindle. Book excerpt: The financial systems in most developed countries today build up a large amount of model risk on a daily basis. However, this is not particularly visible as the financial risk management agenda is still dominated by the subprime-liquidity crisis, the sovereign crises, and other major political events. Losses caused by model risk are hard to identify and even when they are internally identified, as such, they are most likely to be classified as normal losses due to market evolution.Model Risk in Financial Markets: From Financial Engineering to Risk Management seeks to change the current perspective on model innovation, implementation and validation. This book presents a wide perspective on model risk related to financial markets, running the gamut from financial engineering to risk management, from financial mathematics to financial statistics. It combines theory and practice, both the classical and modern concepts being introduced for financial modelling. Quantitative finance is a relatively new area of research and much has been written on various directions of research and industry applications. In this book the reader gradually learns to develop a critical view on the fundamental theories and new models being proposed.
Book Synopsis Option Pricing with Transaction Costs by : Christoforos Christofides
Download or read book Option Pricing with Transaction Costs written by Christoforos Christofides and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Option Pricing with Transaction Costs and a Nonlinear Black Scholes Equation by : Guy Barles
Download or read book Option Pricing with Transaction Costs and a Nonlinear Black Scholes Equation written by Guy Barles and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In a market with transaction costs, generally, there is no nontrivial portfolio that dominates a contingent claim. Therefore, in such a market, preferences have to be introduced in order to evaluate the prices of options. The main goal of this article is to quantify this dependence on preferences in the specific example of a European call option. This is achieved by using the utility function approach of Hodges and Neuberger together with an asymptotic analysis of partial differential equations. We are led to a nonlinear Black-Scholes equation with an adjusted volatility which is a function of the second derivative of the price itself. In this model, our attitude towards risk is summarized in one free parameter a which appears in the nonlinear Black-Scholes equation : we provide an upper bound for the probability of missing the hedge in terms of a and the magnitude of the proportional transaction cost which shows the connections between this parameter a and the risk.
Book Synopsis Option Pricing with Transaction Costs by : Vassilios Gerassimos Panas
Download or read book Option Pricing with Transaction Costs written by Vassilios Gerassimos Panas and published by . This book was released on 1993 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Note on Parameters in Binomial Option Pricing by : Garry De Jager
Download or read book A Note on Parameters in Binomial Option Pricing written by Garry De Jager and published by . This book was released on 1991 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Option Pricing with Transaction Costs by : A. E. Whalley
Download or read book Option Pricing with Transaction Costs written by A. E. Whalley and published by . This book was released on 1998 with total page 398 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Option Pricing with Transaction Costs Using a Markov Chain Approximation by : Michael Monoyios
Download or read book Option Pricing with Transaction Costs Using a Markov Chain Approximation written by Michael Monoyios and published by . This book was released on 2001 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis European Option Pricing with Transaction Costs by : Asadullah Jawid
Download or read book European Option Pricing with Transaction Costs written by Asadullah Jawid and published by . This book was released on 2011 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Option Pricing and Replication with Transaction Costs and Dividends by : Stylianos Perrakis
Download or read book Option Pricing and Replication with Transaction Costs and Dividends written by Stylianos Perrakis and published by . This book was released on 1999 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Basic Principles and Applications of Probability Theory by : Valeriy Skorokhod
Download or read book Basic Principles and Applications of Probability Theory written by Valeriy Skorokhod and published by Springer Science & Business Media. This book was released on 2005-12-05 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book is an introduction to modern probability theory written by one of the famous experts in this area. Readers will learn about the basic concepts of probability and its applications, preparing them for more advanced and specialized works.
Book Synopsis Markets with Transaction Costs by : Yuri Kabanov
Download or read book Markets with Transaction Costs written by Yuri Kabanov and published by Springer Science & Business Media. This book was released on 2009-12-04 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book is the first monograph on this highly important subject.
Book Synopsis Financial Optimization by : Stavros A. Zenios
Download or read book Financial Optimization written by Stavros A. Zenios and published by Cambridge University Press. This book was released on 1993 with total page 374 pages. Available in PDF, EPUB and Kindle. Book excerpt: The use of formal mathematical models and optimization in finance has become common practice in the 1980s and 1990s. This book clearly presents the exciting symbiosis between the fields of finance and management science/operations research. Prominent researchers present the state of the art in financial optimization, while analysts from industry discuss the latest business techniques practised by financial firms in New York, London and Tokyo. The book covers a wide range of topics: portfolio management of equities and fixed income investments, the pricing of complex insurance, mortgage and other asset-backed products, and models for risk-management and diversification.
Book Synopsis Equity-Linked Life Insurance by : Alexander Melnikov
Download or read book Equity-Linked Life Insurance written by Alexander Melnikov and published by CRC Press. This book was released on 2017-09-07 with total page 213 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on the application of the partial hedging approach from modern math finance to equity-linked life insurance contracts. It provides an accessible, up-to-date introduction to quantifying financial and insurance risks. The book also explains how to price innovative financial and insurance products from partial hedging perspectives. Each chapter presents the problem, the mathematical formulation, theoretical results, derivation details, numerical illustrations, and references to further reading.
Book Synopsis Advances in Futures and Options Research by : Phelim P. Boyle
Download or read book Advances in Futures and Options Research written by Phelim P. Boyle and published by JAI Press Incorporated. This book was released on 1999-11-22 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: Part of a series which focuses on advances in futures and options research, this title discusses a variety of topics in the field.
Book Synopsis Seminaire de Probabilites XXXV by : J. Azema
Download or read book Seminaire de Probabilites XXXV written by J. Azema and published by Springer. This book was released on 2004-10-21 with total page 434 pages. Available in PDF, EPUB and Kindle. Book excerpt: Annotation. Researchers and graduate students in the theory of stochastic processes will find in this 35th volume some thirty articles on martingale theory, martingales and finance, analytical inequalities and semigroups, stochastic differential equations, functionals of Brownian motion and of Lévy processes. Ledoux's article contains a self-contained introduction to the use of semigroups in spectral gaps and logarithmic Sobolev inequalities; the contribution by Emery and Schachermayer includes an exposition for probabilists of Vershik's theory of backward discrete filtrations.
Book Synopsis Game-Theoretic Foundations for Probability and Finance by : Glenn Shafer
Download or read book Game-Theoretic Foundations for Probability and Finance written by Glenn Shafer and published by John Wiley & Sons. This book was released on 2019-03-21 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: Game-theoretic probability and finance come of age Glenn Shafer and Vladimir Vovk’s Probability and Finance, published in 2001, showed that perfect-information games can be used to define mathematical probability. Based on fifteen years of further research, Game-Theoretic Foundations for Probability and Finance presents a mature view of the foundational role game theory can play. Its account of probability theory opens the way to new methods of prediction and testing and makes many statistical methods more transparent and widely usable. Its contributions to finance theory include purely game-theoretic accounts of Ito’s stochastic calculus, the capital asset pricing model, the equity premium, and portfolio theory. Game-Theoretic Foundations for Probability and Finance is a book of research. It is also a teaching resource. Each chapter is supplemented with carefully designed exercises and notes relating the new theory to its historical context. Praise from early readers “Ever since Kolmogorov's Grundbegriffe, the standard mathematical treatment of probability theory has been measure-theoretic. In this ground-breaking work, Shafer and Vovk give a game-theoretic foundation instead. While being just as rigorous, the game-theoretic approach allows for vast and useful generalizations of classical measure-theoretic results, while also giving rise to new, radical ideas for prediction, statistics and mathematical finance without stochastic assumptions. The authors set out their theory in great detail, resulting in what is definitely one of the most important books on the foundations of probability to have appeared in the last few decades.” – Peter Grünwald, CWI and University of Leiden “Shafer and Vovk have thoroughly re-written their 2001 book on the game-theoretic foundations for probability and for finance. They have included an account of the tremendous growth that has occurred since, in the game-theoretic and pathwise approaches to stochastic analysis and in their applications to continuous-time finance. This new book will undoubtedly spur a better understanding of the foundations of these very important fields, and we should all be grateful to its authors.” – Ioannis Karatzas, Columbia University
