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Author : Valeria Meregalli
Publisher :
ISBN 13 :
Total Pages : 176 pages
Book Rating : 4.:/5 (516 download)
Download or read book An Analysis of Hedging Error in the Presence of Transaction Costs written by Valeria Meregalli and published by . This book was released on 2002 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ola Backman
Publisher :
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4.:/5 (936 download)
Download or read book Analysis and Evaluation of Hedging Strategies in the Presence of Transaction Costs written by Ola Backman and published by . This book was released on 2001 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Huu-Thai Nguyen
Publisher :
ISBN 13 :
Total Pages : 215 pages
Book Rating : 4.:/5 (898 download)
Download or read book Approximate Hedging with Transaction Costs and Leland's Algorithm in Stochastic Volatility Markets written by Huu-Thai Nguyen and published by . This book was released on 2014 with total page 215 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis studies the problem of approximate hedging with constant proportional transaction costs in stochastic volatility models in different situations, using a simpler form for adjusted volatility in the Leland's algorithm. We show that asymptotic properties of hedging error are the same to those in deterministic volatility models and the rate of convergence can be impoved by controlling the model parameter. These can be extended to the case where transaction costs are defined by a general rule. We also show that jumps appear in asset price and/or in stochastic volatility do not affect asymptotic property of hedging error. In the next part, we consider the problem of approximate hedging in the presence of liquidity risks suggested by Cetin, Jarrow and Protter, of which proportional transaction costs models are a particular case. We show that liquidity costs due to smooth supply surves can be ignored using Leland's increasing volatility principle. In the third part, we study the case where the option is written on multiple risky assets. We demonstrate that approximately complete replication can be reached for exchange options using the same parameter suggested by Leland, but it is far from being obvious for other kinds of exotic options. Finally, we propose a simple method to reduce the option price which clearly approaches to the super hedging price in Leland's algorithm. whenever the seller accepts to take a risk defined by a given significance level.
Author : Artur Sepp
Publisher :
ISBN 13 :
Total Pages : 37 pages
Book Rating : 4.:/5 (129 download)
Download or read book An Approximate Distribution of Delta-Hedging Errors in a Jump-Diffusion Model with Discrete Trading and Transaction Costs written by Artur Sepp and published by . This book was released on 2014 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: We introduce a jump-diffusion model for asset returns with jumps drawn from a mixture of normal distributions and show that this model adequately fits the historical data of the Samp;P500 index. We consider delta-hedging strategy for vanilla options under the diffusion model (DM) and the proposed jump-diffusion model (JDM) assuming discrete trading intervals and transaction costs, and derive an approximation for the probability density function (PDF) of the profit-and-loss (Pamp;L) of the delta-hedging strategy under the both models. We find that, under the log-normal model by Black-Scholes-Merton, the actual PDF of the Pamp;L can be well approximated by the chi-squared distribution with specific parameters. We derive an approximation for the Pamp;L volatility in the DM and JDM. We show that, under the both DM and JDM, the expected loss due to transaction costs is inversely proportional to the square root of the hedging frequency. We apply the mean-variance analysis to find the optimal hedging frequency given the hedger's risk tolerance. Since under the JDM it is impossible to reduce the Pamp;L volatility by increasing the hedging frequency, we consider an alternative hedging strategy, following which the Pamp;L volatility can be reduced by increasing the hedging frequency.
Author : Elettra Agliardi
Publisher :
ISBN 13 :
Total Pages : 13 pages
Book Rating : 4.:/5 (249 download)
Download or read book Feedback Effects of Dynamic Hedging Strategies in the Presence of Transaction Costs written by Elettra Agliardi and published by . This book was released on 2002 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : D. Kannan
Publisher : CRC Press
ISBN 13 : 1482294702
Total Pages : 808 pages
Book Rating : 4.4/5 (822 download)
Download or read book Handbook of Stochastic Analysis and Applications written by D. Kannan and published by CRC Press. This book was released on 2001-10-23 with total page 808 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to general theories of stochastic processes and modern martingale theory. The volume focuses on consistency, stability and contractivity under geometric invariance in numerical analysis, and discusses problems related to implementation, simulation, variable step size algorithms, and random number generation.
Author : Rabindra Nath Bhattacharya
Publisher : IMS
ISBN 13 : 9780940600553
Total Pages : 312 pages
Book Rating : 4.6/5 (5 download)
Download or read book Probability, Statistics, and Their Applications written by Rabindra Nath Bhattacharya and published by IMS. This book was released on 2003 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 736 pages
Book Rating : 4.3/5 (555 download)
Download or read book The Journal of Derivatives written by and published by . This book was released on 2005 with total page 736 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ilya German
Publisher :
ISBN 13 :
Total Pages : 118 pages
Book Rating : 4.E/5 ( download)
Download or read book Hedging Options with Small Transaction Costs written by Ilya German and published by . This book was released on 1999 with total page 118 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Stein-Erik Fleten
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (112 download)
Download or read book Optimal Hedging Strategies for Multi-periodGuarantees in the Presence of Transaction Costs:A Stochastic Programming Approach written by Stein-Erik Fleten and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Aymeric Kalife
Publisher : CRC Press
ISBN 13 : 1000876276
Total Pages : 541 pages
Book Rating : 4.0/5 (8 download)
Download or read book Sustainable Life Insurance written by Aymeric Kalife and published by CRC Press. This book was released on 2023-08-18 with total page 541 pages. Available in PDF, EPUB and Kindle. Book excerpt: Sustainable Life Insurance: Managing Risk Appetite for Insurance Savings and Retirement Products gives an overview of all relevant aspects of traditional and non-traditional savings and retirement products from both insurers’ and policyholders’ respective risk appetites. Examples of such products include general accounts, whole life, annuities (variable, fixed and fixed indexed, structured), index-linked products, CPPI-based products, etc. The book contains technical details associated with both practice and theory, specifically related to modelling, product design, investments and risk management challenges and solutions, tailored to both insurers’ and policyholders’ perspectives. Features The book offers not only theoretical background but also concrete, cutting-edge "quick wins" across strategic and operational business axes. It will be an asset for professionals in the insurance industry, and a great teaching/learning resource for courses in risk management, insurance modelling, and more. The book highlights the operational challenges encountered across modelling, product designs and hedging.
Author : Marco Avellaneda
Publisher : World Scientific
ISBN 13 : 9814493562
Total Pages : 379 pages
Book Rating : 4.8/5 (144 download)
Download or read book Quantitative Analysis In Financial Markets: Collected Papers Of The New York University Mathematical Finance Seminar (Vol Ii) written by Marco Avellaneda and published by World Scientific. This book was released on 2001-01-10 with total page 379 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains lectures delivered at the celebrated Seminar in Mathematical Finance at the Courant Institute. The lecturers and presenters of papers are prominent researchers and practitioners in the field of quantitative financial modeling. Most are faculty members at leading universities or Wall Street practitioners.The lectures deal with the emerging science of pricing and hedging derivative securities and, more generally, managing financial risk. Specific articles concern topics such as option theory, dynamic hedging, interest-rate modeling, portfolio theory, price forecasting using statistical methods, etc.
Author :
Publisher :
ISBN 13 :
Total Pages : 594 pages
Book Rating : 4.:/5 (31 download)
Download or read book Research Program in Finance Working Paper Series written by and published by . This book was released on 1971 with total page 594 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Marco Avellaneda
Publisher : World Scientific
ISBN 13 : 9814490598
Total Pages : 363 pages
Book Rating : 4.8/5 (144 download)
Download or read book Quantitative Analysis In Financial Markets: Collected Papers Of The New York University Mathematical Finance Seminar (Vol Iii) written by Marco Avellaneda and published by World Scientific. This book was released on 2002-01-18 with total page 363 pages. Available in PDF, EPUB and Kindle. Book excerpt: This invaluable book contains lectures presented at the Courant Institute's Mathematical Finance Seminar. The audience consisted of academics from New York University and other universities, as well as practitioners from investment banks, hedge funds and asset-management firms.
Author : University of Oxford
Publisher :
ISBN 13 :
Total Pages : 80 pages
Book Rating : 4.3/5 (91 download)
Download or read book Successful Candidates for the Degrees of D.Phil., M.Litt., M.Sc., and Diploma in Law with Titles of Their Theses written by University of Oxford and published by . This book was released on 2002 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Valeriy Zakamulin
Publisher : Springer
ISBN 13 : 331960970X
Total Pages : 300 pages
Book Rating : 4.3/5 (196 download)
Download or read book Market Timing with Moving Averages written by Valeriy Zakamulin and published by Springer. This book was released on 2017-11-17 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive guide to market timing using moving averages. Part I explores the foundations of market timing rules, presenting a methodology for examining how the value of a trading indicator is computed. Using this methodology the author then applies the computation of trading indicators to a variety of market timing rules to analyse the commonalities and differences between the rules. Part II goes on to present a comprehensive analysis of the empirical performance of trading rules based on moving averages.
Author : Lionel Martellini
Publisher :
ISBN 13 :
Total Pages : 390 pages
Book Rating : 4.:/5 (34 download)
Download or read book Three Essays in Asset Pricing Theory written by Lionel Martellini and published by . This book was released on 2000 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt:
