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Arbitrage Opportunities On The Odax Options Market
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Book Synopsis Mathematical Modeling and Methods of Option Pricing by : Lishang Jiang
Download or read book Mathematical Modeling and Methods of Option Pricing written by Lishang Jiang and published by World Scientific. This book was released on 2005 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the perspective of partial differential equations (PDE), this book introduces the Black-Scholes-Merton's option pricing theory. A unified approach is used to model various types of option pricing as PDE problems, to derive pricing formulas as their solutions, and to design efficient algorithms from the numerical calculation of PDEs.
Book Synopsis Analytical Finance: Volume II by : Jan R. M. Röman
Download or read book Analytical Finance: Volume II written by Jan R. M. Röman and published by Springer. This book was released on 2017-11-30 with total page 741 pages. Available in PDF, EPUB and Kindle. Book excerpt: Analytical Finance is a comprehensive introduction to the financial engineering of equity and interest rate instruments for financial markets. Developed from notes from the author’s many years in quantitative risk management and modeling roles, and then for the Financial Engineering course at Mälardalen University, it provides exhaustive coverage of vanilla and exotic mathematical finance applications for trading and risk management, combining rigorous theory with real market application. Coverage includes: • Date arithmetic’s, quote types of interest rate instruments • The interbank market and reference rates, including negative rates• Valuation and modeling of IR instruments; bonds, FRN, FRA, forwards, futures, swaps, CDS, caps/floors and others • Bootstrapping and how to create interest rate curves from prices of traded instruments• Risk measures of IR instruments• Option Adjusted Spread and embedded options• The term structure equation, martingale measures and stochastic processes of interest rates; Vasicek, Ho-Lee, Hull-While, CIR• Numerical models; Black-Derman-Toy and forward induction using Arrow-Debreu prices and Newton–Raphson in 2 dimension• The Heath-Jarrow-Morton framework• Forward measures and general option pricing models• Black log-normal and, normal model for derivatives, market models and managing exotics instruments• Pricing before and after the financial crisis, collateral discounting, multiple curve framework, cheapest-to-deliver curves, CVA, DVA and FVA
Book Synopsis Volatility and Time Series Econometrics by : Mark Watson
Download or read book Volatility and Time Series Econometrics written by Mark Watson and published by Oxford University Press. This book was released on 2010-02-11 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: A volume that celebrates and develops the work of Nobel Laureate Robert Engle, it includes original contributions from some of the world's leading econometricians that further Engle's work in time series economics
Book Synopsis Theory of Rational Option Pricing by : Robert C Merton
Download or read book Theory of Rational Option Pricing written by Robert C Merton and published by Legare Street Press. This book was released on 2022-10-27 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work is in the "public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
Book Synopsis The Random Character of Stock Market Prices by : Paul H. Cootner
Download or read book The Random Character of Stock Market Prices written by Paul H. Cootner and published by MIT Press (MA). This book was released on 1967 with total page 546 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Spline Models for Observational Data by : Grace Wahba
Download or read book Spline Models for Observational Data written by Grace Wahba and published by SIAM. This book was released on 1990-09-01 with total page 174 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book serves well as an introduction into the more theoretical aspects of the use of spline models. It develops a theory and practice for the estimation of functions from noisy data on functionals. The simplest example is the estimation of a smooth curve, given noisy observations on a finite number of its values. Convergence properties, data based smoothing parameter selection, confidence intervals, and numerical methods are established which are appropriate to a number of problems within this framework. Methods for including side conditions and other prior information in solving ill posed inverse problems are provided. Data which involves samples of random variables with Gaussian, Poisson, binomial, and other distributions are treated in a unified optimization context. Experimental design questions, i.e., which functionals should be observed, are studied in a general context. Extensions to distributed parameter system identification problems are made by considering implicitly defined functionals.
Book Synopsis Financial Modelling by : Joerg Kienitz
Download or read book Financial Modelling written by Joerg Kienitz and published by John Wiley & Sons. This book was released on 2013-02-18 with total page 736 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial modelling Theory, Implementation and Practice with MATLAB Source Jörg Kienitz and Daniel Wetterau Financial Modelling - Theory, Implementation and Practice with MATLAB Source is a unique combination of quantitative techniques, the application to financial problems and programming using Matlab. The book enables the reader to model, design and implement a wide range of financial models for derivatives pricing and asset allocation, providing practitioners with complete financial modelling workflow, from model choice, deriving prices and Greeks using (semi-) analytic and simulation techniques, and calibration even for exotic options. The book is split into three parts. The first part considers financial markets in general and looks at the complex models needed to handle observed structures, reviewing models based on diffusions including stochastic-local volatility models and (pure) jump processes. It shows the possible risk-neutral densities, implied volatility surfaces, option pricing and typical paths for a variety of models including SABR, Heston, Bates, Bates-Hull-White, Displaced-Heston, or stochastic volatility versions of Variance Gamma, respectively Normal Inverse Gaussian models and finally, multi-dimensional models. The stochastic-local-volatility Libor market model with time-dependent parameters is considered and as an application how to price and risk-manage CMS spread products is demonstrated. The second part of the book deals with numerical methods which enables the reader to use the models of the first part for pricing and risk management, covering methods based on direct integration and Fourier transforms, and detailing the implementation of the COS, CONV, Carr-Madan method or Fourier-Space-Time Stepping. This is applied to pricing of European, Bermudan and exotic options as well as the calculation of the Greeks. The Monte Carlo simulation technique is outlined and bridge sampling is discussed in a Gaussian setting and for Lévy processes. Computation of Greeks is covered using likelihood ratio methods and adjoint techniques. A chapter on state-of-the-art optimization algorithms rounds up the toolkit for applying advanced mathematical models to financial problems and the last chapter in this section of the book also serves as an introduction to model risk. The third part is devoted to the usage of Matlab, introducing the software package by describing the basic functions applied for financial engineering. The programming is approached from an object-oriented perspective with examples to propose a framework for calibration, hedging and the adjoint method for calculating Greeks in a Libor market model. Source code used for producing the results and analysing the models is provided on the author's dedicated website, http://www.mathworks.de/matlabcentral/fileexchange/authors/246981.
Book Synopsis The Volatility Surface by : Jim Gatheral
Download or read book The Volatility Surface written by Jim Gatheral and published by . This book was released on 2006 with total page 179 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Applied Nonparametric Regression by : Wolfgang Härdle
Download or read book Applied Nonparametric Regression written by Wolfgang Härdle and published by Cambridge University Press. This book was released on 1990 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the first book to bring together in one place the techniques for regression curve smoothing involving more than one variable.
Book Synopsis Implied Volatility Functions by : Bernard Dumas
Download or read book Implied Volatility Functions written by Bernard Dumas and published by . This book was released on 1996 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: Black and Scholes (1973) implied volatilities tend to be systematically related to the option's exercise price and time to expiration. Derman and Kani (1994), Dupire (1994), and Rubinstein (1994) attribute this behavior to the fact that the Black-Scholes constant volatility assumption is violated in practice. These authors hypothesize that the volatility of the underlying asset's return is a deterministic function of the asset price and time and develop the deterministic volatility function (DVF) option valuation model, which has the potential of fitting the observed cross-section of option prices exactly. Using a sample of S & P 500 index options during the period June 1988 through December 1993, we evaluate the economic significance of the implied deterministic volatility function by examining the predictive and hedging performance of the DV option valuation model. We find that its performance is worse than that of an ad hoc Black-Scholes model with variable implied volatilities.
Book Synopsis Functional Data Analysis by : James Ramsay
Download or read book Functional Data Analysis written by James Ramsay and published by Springer Science & Business Media. This book was released on 2013-11-11 with total page 317 pages. Available in PDF, EPUB and Kindle. Book excerpt: Included here are expressions in the functional domain of such classics as linear regression, principal components analysis, linear modelling, and canonical correlation analysis, as well as specifically functional techniques such as curve registration and principal differential analysis. Data arising in real applications are used throughout for both motivation and illustration, showing how functional approaches allow us to see new things, especially by exploiting the smoothness of the processes generating the data. The data sets exemplify the wide scope of functional data analysis; they are drawn from growth analysis, meteorology, biomechanics, equine science, economics, and medicine. The book presents novel statistical technology while keeping the mathematical level widely accessible. It is designed to appeal to students, applied data analysts, and to experienced researchers; and as such is of value both within statistics and across a broad spectrum of other fields. Much of the material appears here for the first time.
Book Synopsis Semiparametric Modeling of Implied Volatility by : Matthias R. Fengler
Download or read book Semiparametric Modeling of Implied Volatility written by Matthias R. Fengler and published by Springer Science & Business Media. This book was released on 2005-12-19 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers recent advances in the theory of implied volatility and refined semiparametric estimation strategies and dimension reduction methods for functional surfaces. The first part is devoted to smile-consistent pricing approaches. The second part covers estimation techniques that are natural candidates to meet the challenges in implied volatility surfaces. Empirical investigations, simulations, and pictures illustrate the concepts.
Author :Mathukumalli Vidyasagar Publisher :Springer Science & Business Media ISBN 13 :1447137485 Total Pages :498 pages Book Rating :4.4/5 (471 download)
Book Synopsis Learning and Generalisation by : Mathukumalli Vidyasagar
Download or read book Learning and Generalisation written by Mathukumalli Vidyasagar and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 498 pages. Available in PDF, EPUB and Kindle. Book excerpt: How does a machine learn a new concept on the basis of examples? This second edition takes account of important new developments in the field. It also deals extensively with the theory of learning control systems, now comparably mature to learning of neural networks.
Book Synopsis Nonparametric Functional Data Analysis by : Frédéric Ferraty
Download or read book Nonparametric Functional Data Analysis written by Frédéric Ferraty and published by Springer Science & Business Media. This book was released on 2006-11-22 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern apparatuses allow us to collect samples of functional data, mainly curves but also images. On the other hand, nonparametric statistics produces useful tools for standard data exploration. This book links these two fields of modern statistics by explaining how functional data can be studied through parameter-free statistical ideas. At the same time it shows how functional data can be studied through parameter-free statistical ideas, and offers an original presentation of new nonparametric statistical methods for functional data analysis.
Download or read book Rural Marketing written by Sami Uddin and published by National Publishing House. This book was released on 1997 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contributed articles with reference to India; felicitation volume for R.N. Singh, b. 1936.
Book Synopsis Statistics of Financial Markets by : Szymon Borak
Download or read book Statistics of Financial Markets written by Szymon Borak and published by Springer Science & Business Media. This book was released on 2013-01-11 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt: Practice makes perfect. Therefore the best method of mastering models is working with them. This book contains a large collection of exercises and solutions which will help explain the statistics of financial markets. These practical examples are carefully presented and provide computational solutions to specific problems, all of which are calculated using R and Matlab. This study additionally looks at the concept of corresponding Quantlets, the name given to these program codes and which follow the name scheme SFSxyz123. The book is divided into three main parts, in which option pricing, time series analysis and advanced quantitative statistical techniques in finance is thoroughly discussed. The authors have overall successfully created the ideal balance between theoretical presentation and practical challenges.
Book Synopsis Estimating Probabilities of Default with Support Vector Machines by : Wolfgang Härdle
Download or read book Estimating Probabilities of Default with Support Vector Machines written by Wolfgang Härdle and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
