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An Alternate Probability Density Function For Pricing Contingent Claims Using A Multi State Model For Price Movements
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Book Synopsis An Alternate Probability Density Function for Pricing Contingent Claims Using a Multi-state Model for Price Movements by : John C. Liechty
Download or read book An Alternate Probability Density Function for Pricing Contingent Claims Using a Multi-state Model for Price Movements written by John C. Liechty and published by . This book was released on 1993 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Pricing Multivariate Contingent Claims Using Estimated Risk-Neutral Density Functions by :
Download or read book Pricing Multivariate Contingent Claims Using Estimated Risk-Neutral Density Functions written by and published by . This book was released on 2008 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many asset price series exhibit time-varying volatility, jumps, and other features inconsistent with assumptions about the underlying price process made by standard multivariate contingent claims (MVCC) pricing models. This paper develops an interpolative technique for pricing MVCCs flexible NLS pricing that involves the estimation of a flexible multivariate risk-neutral density function implied by existing asset prices. As an application, the flexible NLS pricing technique is used to value several bivariate contingent claims dependent on foreign exchange rates in 1993 and 1994. The bivariate flexible risk-neutral density function more accurately prices existing options than the bivariate lognormal density implied by a multivariate geometric Brownian motion. In addition, the bivariate contingent claims analyzed have substantially different prices using the two density functions suggesting flexible NLS pricing may improve accuracy over standard methods.
Author :Glenn R. Heidbreder Publisher :Springer Science & Business Media ISBN 13 :9780792328513 Total Pages :434 pages Book Rating :4.3/5 (285 download)
Book Synopsis Maximum Entropy and Bayesian Methods Santa Barbara, California, U.S.A., 1993 by : Glenn R. Heidbreder
Download or read book Maximum Entropy and Bayesian Methods Santa Barbara, California, U.S.A., 1993 written by Glenn R. Heidbreder and published by Springer Science & Business Media. This book was released on 1996-05-31 with total page 434 pages. Available in PDF, EPUB and Kindle. Book excerpt: Proceedings of the Thirteenth International Workshop on Maximum Entropy and Bayesian Methods
Book Synopsis Systemic Contingent Claims Analysis by : Mr.Andreas A. Jobst
Download or read book Systemic Contingent Claims Analysis written by Mr.Andreas A. Jobst and published by International Monetary Fund. This book was released on 2013-02-27 with total page 93 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macroprudential policy and surveillance (MPS) efforts are aimed establishing a regulatory framework that helps mitigate the risk from systemic linkages with a view towards enhancing the resilience of the financial sector. This paper presents a forward-looking framework ("Systemic CCA") to measure systemic solvency risk based on market-implied expected losses of financial institutions with practical applications for the financial sector risk management and the system-wide capital assessment in top-down stress testing. The suggested approach uses advanced contingent claims analysis (CCA) to generate aggregate estimates of the joint default risk of multiple institutions as a conditional tail expectation using multivariate extreme value theory (EVT). In addition, the framework also helps quantify the individual contributions to systemic risk and contingent liabilities of the financial sector during times of stress.
Book Synopsis A Lattice Approach to the Valuation of Multi-variate Contingent Claims with Regime Switching by : Mohamed Wahab Mohamed Ismail
Download or read book A Lattice Approach to the Valuation of Multi-variate Contingent Claims with Regime Switching written by Mohamed Wahab Mohamed Ismail and published by . This book was released on 2006 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: Various investment and operational practices, such as investing in flexible manufacturing systems and writing contracts to hedge the future risks, increasingly require tools for the valuation of contingent claims whose values depend on multiple underlying stochastic variables. These contingent claims incorporate advanced features, such as the early exercise of options, intermediate decisions, optimal policies, and possible causes of the dynamic behavior of the economic and operational environments. It would be impractical to utilize single-regime models, which specify a given mean and volatility to represent the evolution of an underlying variable, to describe the uncertainties from those economic and operational environments. Therefore, regime-switching models, which allow changes in the mean and volatility of the underlying stochastic variables over time, emerge as an alternative approach. Since the current literature on the regime-switching models mainly focuses on modeling and valuing an option on a single stochastic variable, the existing regime-switching models can not be applied to value options on several financial and non-financial regime-switching variables. Those options are complicated and require the development of a lattice approach, which is a discrete representation of a continuous process. Thus, one of the primary goals of this research is to develop a lattice approach that can be applied to value options on multiple underlying stochastic processes with multiple regimes. In this thesis, the existing lattice approach is extended in two major directions: lattice for a single stochastic process with multiple regimes, and lattice for multiple stochastic processes with multiple regimes. We then present three applications for the proposed lattices. The first application prices swing options under price uncertainty. The second application incorporates the product life cycle in valuing the flexibility of a manufacturing system that has three capacity options: expansion, contraction, and switching. The third application prices European and American rainbow options on correlated multiple regime-switching stochastic processes. We show that when compared with the Monte Carlo simulation, the proposed lattice for multiple stochastic processes with multiple regimes is computationally efficient and converged to the actual value of the options within a smaller number of steps.
Book Synopsis Pricing Multivariate Contingent Claims Using Estimated Risk- Neutral Density Functions by : Joshua V. Rosenberg
Download or read book Pricing Multivariate Contingent Claims Using Estimated Risk- Neutral Density Functions written by Joshua V. Rosenberg and published by . This book was released on 1998 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Methodischer Lehrplan für den französischen Unterricht in Sexta, Quinta und Quarta by :
Download or read book Methodischer Lehrplan für den französischen Unterricht in Sexta, Quinta und Quarta written by and published by . This book was released on 1879 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Note on the Pricing of Multivariate Contingent Claims Under a Transformed-Gamma Distribution by : Luiz Vitiello
Download or read book A Note on the Pricing of Multivariate Contingent Claims Under a Transformed-Gamma Distribution written by Luiz Vitiello and published by . This book was released on 2014 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a framework for pricing multivariate European-style contingent claims in a discrete-time economy based on a multivariate transformed-gamma distribution. In our model, each transformed-gamma distributed underlying asset depends on two terms: a idiosyncratic term and a systematic term, where the latter is the same for all underlying assets and has a direct impact on their correlation structure. Given our distributional assumptions and the existence of a representative agent with a standard utility function, we apply equilibrium arguments and provide sufficient conditions for obtaining preference-free contingent claim pricing equations. We illustrate the applicability of our framework by providing examples of preference-free contingent claim pricing models. Multivariate pricing models are of particular interest when payoffs depend on two or more underlying assets, such as crack and crush spread options, options to exchange one asset for another, and options with a stochastic strike price in general.
Book Synopsis Bounds on Prices of Contingent Claims in an Intertemporal Economy with Proportional Transaction Costs and General Preferences by : George M. Constantinides
Download or read book Bounds on Prices of Contingent Claims in an Intertemporal Economy with Proportional Transaction Costs and General Preferences written by George M. Constantinides and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Analytic bounds on the reservation write price of European-style contingent claims are derived in the presence of proportional transaction costs in a model which allows for intermediate trading. The option prices are obtained via a utility maximization approach by comparing the maximized utilities with and without the contingent claim. The mathematical tools come mainly from the theories of singular stochastic control and viscosity solutions of nonlinear partial differential equations.
Download or read book The Journal of Derivatives written by and published by . This book was released on 1999 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :American Bar Association. House of Delegates Publisher :American Bar Association ISBN 13 :9781590318737 Total Pages :216 pages Book Rating :4.3/5 (187 download)
Book Synopsis Model Rules of Professional Conduct by : American Bar Association. House of Delegates
Download or read book Model Rules of Professional Conduct written by American Bar Association. House of Delegates and published by American Bar Association. This book was released on 2007 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Model Rules of Professional Conduct provides an up-to-date resource for information on legal ethics. Federal, state and local courts in all jurisdictions look to the Rules for guidance in solving lawyer malpractice cases, disciplinary actions, disqualification issues, sanctions questions and much more. In this volume, black-letter Rules of Professional Conduct are followed by numbered Comments that explain each Rule's purpose and provide suggestions for its practical application. The Rules will help you identify proper conduct in a variety of given situations, review those instances where discretionary action is possible, and define the nature of the relationship between you and your clients, colleagues and the courts.
Book Synopsis Efficient Lattice Methods for Pricing Contingent Claims Under Stochastic Volatility and Jumps Models by : Natalia A. Beliaeva
Download or read book Efficient Lattice Methods for Pricing Contingent Claims Under Stochastic Volatility and Jumps Models written by Natalia A. Beliaeva and published by . This book was released on 2000 with total page 179 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Commodity Price Dynamics by : Craig Pirrong
Download or read book Commodity Price Dynamics written by Craig Pirrong and published by Cambridge University Press. This book was released on 2011-10-31 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.
Book Synopsis Dynamic Asset Pricing Theory by : Darrell Duffie
Download or read book Dynamic Asset Pricing Theory written by Darrell Duffie and published by Princeton University Press. This book was released on 2010-01-27 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, single-agent optimality, and equilibrium. These results are unified with two key concepts, state prices and martingales. Technicalities are given relatively little emphasis, so as to draw connections between these concepts and to make plain the similarities between discrete and continuous-time models. Readers will be particularly intrigued by this latest edition's most significant new feature: a chapter on corporate securities that offers alternative approaches to the valuation of corporate debt. Also, while much of the continuous-time portion of the theory is based on Brownian motion, this third edition introduces jumps--for example, those associated with Poisson arrivals--in order to accommodate surprise events such as bond defaults. Applications include term-structure models, derivative valuation, and hedging methods. Numerical methods covered include Monte Carlo simulation and finite-difference solutions for partial differential equations. Each chapter provides extensive problem exercises and notes to the literature. A system of appendixes reviews the necessary mathematical concepts. And references have been updated throughout. With this new edition, Dynamic Asset Pricing Theory remains at the head of the field.
Book Synopsis Comprehensive Dissertation Index by :
Download or read book Comprehensive Dissertation Index written by and published by . This book was released on 1984 with total page 808 pages. Available in PDF, EPUB and Kindle. Book excerpt: Vols. for 1973- include the following subject areas: Biological sciences, Agriculture, Chemistry, Environmental sciences, Health sciences, Engineering, Mathematics and statistics, Earth sciences, Physics, Education, Psychology, Sociology, Anthropology, History, Law & political science, Business & economics, Geography & regional planning, Language & literature, Fine arts, Library & information science, Mass communications, Music, Philosophy and Religion.
Book Synopsis Near-Coincident Indicators of Systemic Stress by : Mr.Ivailo Arsov
Download or read book Near-Coincident Indicators of Systemic Stress written by Mr.Ivailo Arsov and published by International Monetary Fund. This book was released on 2013-05-17 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: The G-20 Data Gaps Initiative has called for the IMF to develop standard measures of tail risk, which we identify in this paper with systemic risk. To understand the conditions under which tail risk is present, it is first necessary to develop a measure of what constitutes a systemic stress, or tail, event. We develop such a measure and uses it to assess the performance of eleven near-term systemic risk indicators as ‘early’ warning of distress among top financial institutions in the United States and the euro area. Two indicators perform particularly well in both regions, and a couple of other simple indicators do well across a number of criteria. We also find that the sizes of institutions do not necessarily correspond with their contribution to spillover risk. Some practical guidance for policies is provided.
Download or read book Mathematical Reviews written by and published by . This book was released on 2003 with total page 796 pages. Available in PDF, EPUB and Kindle. Book excerpt:
