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Author : Yu-Yao Wu
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (15 download)
Download or read book A Study of Stochastic Volatility Models with Jump Risk and Option Valuation written by Yu-Yao Wu and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jim Gatheral
Publisher : John Wiley & Sons
ISBN 13 : 1118046455
Total Pages : 204 pages
Book Rating : 4.1/5 (18 download)
Download or read book The Volatility Surface written by Jim Gatheral and published by John Wiley & Sons. This book was released on 2011-03-10 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for The Volatility Surface "I'm thrilled by the appearance of Jim Gatheral's new book The Volatility Surface. The literature on stochastic volatility is vast, but difficult to penetrate and use. Gatheral's book, by contrast, is accessible and practical. It successfully charts a middle ground between specific examples and general models--achieving remarkable clarity without giving up sophistication, depth, or breadth." --Robert V. Kohn, Professor of Mathematics and Chair, Mathematical Finance Committee, Courant Institute of Mathematical Sciences, New York University "Concise yet comprehensive, equally attentive to both theory and phenomena, this book provides an unsurpassed account of the peculiarities of the implied volatility surface, its consequences for pricing and hedging, and the theories that struggle to explain it." --Emanuel Derman, author of My Life as a Quant "Jim Gatheral is the wiliest practitioner in the business. This very fine book is an outgrowth of the lecture notes prepared for one of the most popular classes at NYU's esteemed Courant Institute. The topics covered are at the forefront of research in mathematical finance and the author's treatment of them is simply the best available in this form." --Peter Carr, PhD, head of Quantitative Financial Research, Bloomberg LP Director of the Masters Program in Mathematical Finance, New York University "Jim Gatheral is an acknowledged master of advanced modeling for derivatives. In The Volatility Surface he reveals the secrets of dealing with the most important but most elusive of financial quantities, volatility." --Paul Wilmott, author and mathematician "As a teacher in the field of mathematical finance, I welcome Jim Gatheral's book as a significant development. Written by a Wall Street practitioner with extensive market and teaching experience, The Volatility Surface gives students access to a level of knowledge on derivatives which was not previously available. I strongly recommend it." --Marco Avellaneda, Director, Division of Mathematical Finance Courant Institute, New York University "Jim Gatheral could not have written a better book." --Bruno Dupire, winner of the 2006 Wilmott Cutting Edge Research Award Quantitative Research, Bloomberg LP
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 : Jaya P. N. Bishwal
Publisher : Springer Nature
ISBN 13 : 3031038614
Total Pages : 634 pages
Book Rating : 4.0/5 (31 download)
Download or read book Parameter Estimation in Stochastic Volatility Models written by Jaya P. N. Bishwal and published by Springer Nature. This book was released on 2022-08-06 with total page 634 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book develops alternative methods to estimate the unknown parameters in stochastic volatility models, offering a new approach to test model accuracy. While there is ample research to document stochastic differential equation models driven by Brownian motion based on discrete observations of the underlying diffusion process, these traditional methods often fail to estimate the unknown parameters in the unobserved volatility processes. This text studies the second order rate of weak convergence to normality to obtain refined inference results like confidence interval, as well as nontraditional continuous time stochastic volatility models driven by fractional Levy processes. By incorporating jumps and long memory into the volatility process, these new methods will help better predict option pricing and stock market crash risk. Some simulation algorithms for numerical experiments are provided.
Author : Robert Buff
Publisher : Springer Science & Business Media
ISBN 13 : 9783540426578
Total Pages : 260 pages
Book Rating : 4.4/5 (265 download)
Download or read book Uncertain Volatility Models written by Robert Buff and published by Springer Science & Business Media. This book was released on 2002-04-10 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is one of the only books to describe uncertain volatility models in mathematical finance and their computer implementation for portfolios of vanilla, barrier and American options in equity and FX markets. Uncertain volatility models place subjective constraints on the volatility of the stochastic process of the underlying asset and evaluate option portfolios under worst- and best-case scenarios. This book, which is bundled with software, is aimed at graduate students, researchers and practitioners who wish to study advanced aspects of volatility risk in portfolios of vanilla and exotic options. The reader is assumed to be familiar with arbitrage pricing theory.
Author : Lei Zhang
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (793 download)
Download or read book An Empirical Analysis of Jump Diffusion Stochastic Volatility Models for Currency Option Pricing written by Lei Zhang and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Makoto Takahashi
Publisher : Springer Nature
ISBN 13 : 981990935X
Total Pages : 120 pages
Book Rating : 4.8/5 (199 download)
Download or read book Stochastic Volatility and Realized Stochastic Volatility Models written by Makoto Takahashi and published by Springer Nature. This book was released on 2023-04-18 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: This treatise delves into the latest advancements in stochastic volatility models, highlighting the utilization of Markov chain Monte Carlo simulations for estimating model parameters and forecasting the volatility and quantiles of financial asset returns. The modeling of financial time series volatility constitutes a crucial aspect of finance, as it plays a vital role in predicting return distributions and managing risks. Among the various econometric models available, the stochastic volatility model has been a popular choice, particularly in comparison to other models, such as GARCH models, as it has demonstrated superior performance in previous empirical studies in terms of fit, forecasting volatility, and evaluating tail risk measures such as Value-at-Risk and Expected Shortfall. The book also explores an extension of the basic stochastic volatility model, incorporating a skewed return error distribution and a realized volatility measurement equation. The concept of realized volatility, a newly established estimator of volatility using intraday returns data, is introduced, and a comprehensive description of the resulting realized stochastic volatility model is provided. The text contains a thorough explanation of several efficient sampling algorithms for latent log volatilities, as well as an illustration of parameter estimation and volatility prediction through empirical studies utilizing various asset return data, including the yen/US dollar exchange rate, the Dow Jones Industrial Average, and the Nikkei 225 stock index. This publication is highly recommended for readers with an interest in the latest developments in stochastic volatility models and realized stochastic volatility models, particularly in regards to financial risk management.
Author : Antoine Petrus Cornelius van der Ploeg
Publisher : Rozenberg Publishers
ISBN 13 : 9051705778
Total Pages : 358 pages
Book Rating : 4.0/5 (517 download)
Download or read book Stochastic volatility and the pricing of financial derivatives written by Antoine Petrus Cornelius van der Ploeg and published by Rozenberg Publishers. This book was released on 2006 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kaushik I. Amin
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.3/5 ( download)
Download or read book Equilibrium Option Valuation with Systematic Stochastic Volatility written by Kaushik I. Amin and published by . This book was released on 1992 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : David S. Bates
Publisher :
ISBN 13 :
Total Pages : 72 pages
Book Rating : 4.:/5 (318 download)
Download or read book Jumps and Stochastic Volatility written by David S. Bates and published by . This book was released on 1993 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: An efficient method is developed for pricing American options on combination stochastic volatility/jump-diffusion processes when jump risk and volatility risk are systematic and nondiversifiable, thereby nesting two major option pricing models. The parameters implicit in PHLX-traded Deutschemark options of the stochastic volatility/jump- diffusion model and various submodels are estimated over 1984-91, and are tested for consistency with the $/DM futures process and the implicit volatility sample path. The parameters implicit in options are found to be inconsistent with the time series properties of implicit volatilities, but qualitatively consistent with log- differenced futures prices. No economically significant implicit expectations of exchange rate jumps were found in full-sample estimation, which is consistent with the reduced leptokurtosis of $/DM weekly exchange rate changes over 1984-91 relative to earlier periods.
Author : Lorenzo Bergomi
Publisher : CRC Press
ISBN 13 : 1482244071
Total Pages : 520 pages
Book Rating : 4.4/5 (822 download)
Download or read book Stochastic Volatility Modeling written by Lorenzo Bergomi and published by CRC Press. This book was released on 2015-12-16 with total page 520 pages. Available in PDF, EPUB and Kindle. Book excerpt: Packed with insights, Lorenzo Bergomi's Stochastic Volatility Modeling explains how stochastic volatility is used to address issues arising in the modeling of derivatives, including:Which trading issues do we tackle with stochastic volatility? How do we design models and assess their relevance? How do we tell which models are usable and when does c
Author : Carol Alexander
Publisher : John Wiley & Sons
ISBN 13 : 0470997893
Total Pages : 427 pages
Book Rating : 4.4/5 (79 download)
Download or read book Market Risk Analysis, Pricing, Hedging and Trading Financial Instruments written by Carol Alexander and published by John Wiley & Sons. This book was released on 2008-06-09 with total page 427 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by leading market risk academic, Professor Carol Alexander, Pricing, Hedging and Trading Financial Instruments forms part three of the Market Risk Analysis four volume set. This book is an in-depth, practical and accessible guide to the models that are used for pricing and the strategies that are used for hedging financial instruments, and to the markets in which they trade. It provides a comprehensive, rigorous and accessible introduction to bonds, swaps, futures and forwards and options, including variance swaps, volatility indices and their futures and options, to stochastic volatility models and to modelling the implied and local volatility surfaces. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Duration-Convexity approximation to bond portfolios, and portfolio immunization; Pricing floaters and vanilla, basis and variance swaps; Coupon stripping and yield curve fitting; Proxy hedging, and hedging international securities and energy futures portfolios; Pricing models for European exotics, including barriers, Asians, look-backs, choosers, capped, contingent, power, quanto, compo, exchange, ‘best-of’ and spread options; Libor model calibration; Dynamic models for implied volatility based on principal component analysis; Calibration of stochastic volatility models (Matlab code); Simulations from stochastic volatility and jump models; Duration, PV01 and volatility invariant cash flow mappings; Delta-gamma-theta-vega mappings for options portfolios; Volatility beta mapping to volatility indices.
Author : Aytekin Sari
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Stochastic Volatility and Jump Diffusion Option Pricing Model written by Aytekin Sari and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alan L. Lewis
Publisher :
ISBN 13 :
Total Pages : 372 pages
Book Rating : 4.3/5 (91 download)
Download or read book Option Valuation Under Stochastic Volatility written by Alan L. Lewis and published by . This book was released on 2000 with total page 372 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Miquel Montero
Publisher :
ISBN 13 :
Total Pages : 21 pages
Book Rating : 4.:/5 (129 download)
Download or read book Partial Derivative Approach for Option Pricing in a Simple Stochastic Volatility Model written by Miquel Montero and published by . This book was released on 2003 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study a market model in which the volatility of the stock may jump at a random time from a fixed value to another fixed value. This model was already described in the literature. We present a new approach to the problem, based on partial derivative equations, which gives a different perspective to the problem. Within our framework we can easily consider several prescriptions for the market price of volatility risk, and interpret their financial meaning. Thus, we recover solutions previously cited in the literature as well as obtain new ones.
Author : David S. Bates
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Empirical Option Pricing Models written by David S. Bates and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper is an overview of empirical options research, with primary emphasis on research into systematic stochastic volatility and jump risks relevant for pricing stock index options. The paper reviews evidence from time series analysis, option prices and option price evolution regarding those risks, and discusses required compensation.
Author : Robert A. Meyers
Publisher : Springer Science & Business Media
ISBN 13 : 1441977007
Total Pages : 919 pages
Book Rating : 4.4/5 (419 download)
Download or read book Complex Systems in Finance and Econometrics written by Robert A. Meyers and published by Springer Science & Business Media. This book was released on 2010-11-03 with total page 919 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.
