Asymptotic Methods For Option Pricing In Finance

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Large Deviations and Asymptotic Methods in Finance

Author : Peter K. Friz
Publisher : Springer
ISBN 13 : 3319116053
Total Pages : 590 pages
Book Rating : 4.3/5 (191 download)

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Book Synopsis Large Deviations and Asymptotic Methods in Finance by : Peter K. Friz

Download or read book Large Deviations and Asymptotic Methods in Finance written by Peter K. Friz and published by Springer. This book was released on 2015-06-16 with total page 590 pages. Available in PDF, EPUB and Kindle. Book excerpt: Topics covered in this volume (large deviations, differential geometry, asymptotic expansions, central limit theorems) give a full picture of the current advances in the application of asymptotic methods in mathematical finance, and thereby provide rigorous solutions to important mathematical and financial issues, such as implied volatility asymptotics, local volatility extrapolation, systemic risk and volatility estimation. This volume gathers together ground-breaking results in this field by some of its leading experts. Over the past decade, asymptotic methods have played an increasingly important role in the study of the behaviour of (financial) models. These methods provide a useful alternative to numerical methods in settings where the latter may lose accuracy (in extremes such as small and large strikes, and small maturities), and lead to a clearer understanding of the behaviour of models, and of the influence of parameters on this behaviour. Graduate students, researchers and practitioners will find this book very useful, and the diversity of topics will appeal to people from mathematical finance, probability theory and differential geometry.

Analysis, Geometry, and Modeling in Finance

Author : Pierre Henry-Labordere
Publisher : CRC Press
ISBN 13 : 1420087002
Total Pages : 403 pages
Book Rating : 4.4/5 (2 download)

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Book Synopsis Analysis, Geometry, and Modeling in Finance by : Pierre Henry-Labordere

Download or read book Analysis, Geometry, and Modeling in Finance written by Pierre Henry-Labordere and published by CRC Press. This book was released on 2008-09-22 with total page 403 pages. Available in PDF, EPUB and Kindle. Book excerpt: Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing is the first book that applies advanced analytical and geometrical methods used in physics and mathematics to the financial field. It even obtains new results when only approximate and partial solutions were previously available.Through the problem of option pricing, th

Asymptotic Chaos Expansions in Finance

Author : David Nicolay
Publisher : Springer
ISBN 13 : 1447165063
Total Pages : 503 pages
Book Rating : 4.4/5 (471 download)

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Book Synopsis Asymptotic Chaos Expansions in Finance by : David Nicolay

Download or read book Asymptotic Chaos Expansions in Finance written by David Nicolay and published by Springer. This book was released on 2014-11-25 with total page 503 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic instantaneous volatility models such as Heston, SABR or SV-LMM have mostly been developed to control the shape and joint dynamics of the implied volatility surface. In principle, they are well suited for pricing and hedging vanilla and exotic options, for relative value strategies or for risk management. In practice however, most SV models lack a closed form valuation for European options. This book presents the recently developed Asymptotic Chaos Expansions methodology (ACE) which addresses that issue. Indeed its generic algorithm provides, for any regular SV model, the pure asymptotes at any order for both the static and dynamic maps of the implied volatility surface. Furthermore, ACE is programmable and can complement other approximation methods. Hence it allows a systematic approach to designing, parameterising, calibrating and exploiting SV models, typically for Vega hedging or American Monte-Carlo. Asymptotic Chaos Expansions in Finance illustrates the ACE approach for single underlyings (such as a stock price or FX rate), baskets (indexes, spreads) and term structure models (especially SV-HJM and SV-LMM). It also establishes fundamental links between the Wiener chaos of the instantaneous volatility and the small-time asymptotic structure of the stochastic implied volatility framework. It is addressed primarily to financial mathematics researchers and graduate students, interested in stochastic volatility, asymptotics or market models. Moreover, as it contains many self-contained approximation results, it will be useful to practitioners modelling the shape of the smile and its evolution.

Asymptotic Methods in Probability and Statistics with Applications

Author : N. Balakrishnan
Publisher : Springer Science & Business Media
ISBN 13 : 9780817642143
Total Pages : 584 pages
Book Rating : 4.6/5 (421 download)

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Book Synopsis Asymptotic Methods in Probability and Statistics with Applications by : N. Balakrishnan

Download or read book Asymptotic Methods in Probability and Statistics with Applications written by N. Balakrishnan and published by Springer Science & Business Media. This book was released on 2001-06-21 with total page 584 pages. Available in PDF, EPUB and Kindle. Book excerpt: Traditions of the 150-year-old St. Petersburg School of Probability and Statis tics had been developed by many prominent scientists including P. L. Cheby chev, A. M. Lyapunov, A. A. Markov, S. N. Bernstein, and Yu. V. Linnik. In 1948, the Chair of Probability and Statistics was established at the Department of Mathematics and Mechanics of the St. Petersburg State University with Yu. V. Linik being its founder and also the first Chair. Nowadays, alumni of this Chair are spread around Russia, Lithuania, France, Germany, Sweden, China, the United States, and Canada. The fiftieth anniversary of this Chair was celebrated by an International Conference, which was held in St. Petersburg from June 24-28, 1998. More than 125 probabilists and statisticians from 18 countries (Azerbaijan, Canada, Finland, France, Germany, Hungary, Israel, Italy, Lithuania, The Netherlands, Norway, Poland, Russia, Taiwan, Turkey, Ukraine, Uzbekistan, and the United States) participated in this International Conference in order to discuss the current state and perspectives of Probability and Mathematical Statistics. The conference was organized jointly by St. Petersburg State University, St. Petersburg branch of Mathematical Institute, and the Euler Institute, and was partially sponsored by the Russian Foundation of Basic Researches. The main theme of the Conference was chosen in the tradition of the St.

Analytically Tractable Stochastic Stock Price Models

Author : Archil Gulisashvili
Publisher : Springer Science & Business Media
ISBN 13 : 3642312144
Total Pages : 371 pages
Book Rating : 4.6/5 (423 download)

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Book Synopsis Analytically Tractable Stochastic Stock Price Models by : Archil Gulisashvili

Download or read book Analytically Tractable Stochastic Stock Price Models written by Archil Gulisashvili and published by Springer Science & Business Media. This book was released on 2012-09-04 with total page 371 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asymptotic analysis of stochastic stock price models is the central topic of the present volume. Special examples of such models are stochastic volatility models, that have been developed as an answer to certain imperfections in a celebrated Black-Scholes model of option pricing. In a stock price model with stochastic volatility, the random behavior of the volatility is described by a stochastic process. For instance, in the Hull-White model the volatility process is a geometric Brownian motion, the Stein-Stein model uses an Ornstein-Uhlenbeck process as the stochastic volatility, and in the Heston model a Cox-Ingersoll-Ross process governs the behavior of the volatility. One of the author's main goals is to provide sharp asymptotic formulas with error estimates for distribution densities of stock prices, option pricing functions, and implied volatilities in various stochastic volatility models. The author also establishes sharp asymptotic formulas for the implied volatility at extreme strikes in general stochastic stock price models. The present volume is addressed to researchers and graduate students working in the area of financial mathematics, analysis, or probability theory. The reader is expected to be familiar with elements of classical analysis, stochastic analysis and probability theory.

Mathematical Modelling and Numerical Methods in Finance

Author : Alain Bensoussan
Publisher : Elsevier
ISBN 13 : 0080931006
Total Pages : 743 pages
Book Rating : 4.0/5 (89 download)

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Book Synopsis Mathematical Modelling and Numerical Methods in Finance by : Alain Bensoussan

Download or read book Mathematical Modelling and Numerical Methods in Finance written by Alain Bensoussan and published by Elsevier. This book was released on 2009-06-16 with total page 743 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mathematical finance is a prolific scientific domain in which there exists a particular characteristic of developing both advanced theories and practical techniques simultaneously. Mathematical Modelling and Numerical Methods in Finance addresses the three most important aspects in the field: mathematical models, computational methods, and applications, and provides a solid overview of major new ideas and results in the three domains. - Coverage of all aspects of quantitative finance including models, computational methods and applications - Provides an overview of new ideas and results - Contributors are leaders of the field

Option Pricing and Estimation of Financial Models with R

Author : Stefano M. Iacus
Publisher : John Wiley & Sons
ISBN 13 : 1119990203
Total Pages : 402 pages
Book Rating : 4.1/5 (199 download)

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Book Synopsis Option Pricing and Estimation of Financial Models with R by : Stefano M. Iacus

Download or read book Option Pricing and Estimation of Financial Models with R written by Stefano M. Iacus and published by John Wiley & Sons. This book was released on 2011-02-23 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents inference and simulation of stochastic process in the field of model calibration for financial times series modelled by continuous time processes and numerical option pricing. Introduces the bases of probability theory and goes on to explain how to model financial times series with continuous models, how to calibrate them from discrete data and further covers option pricing with one or more underlying assets based on these models. Analysis and implementation of models goes beyond the standard Black and Scholes framework and includes Markov switching models, Lévy models and other models with jumps (e.g. the telegraph process); Topics other than option pricing include: volatility and covariation estimation, change point analysis, asymptotic expansion and classification of financial time series from a statistical viewpoint. The book features problems with solutions and examples. All the examples and R code are available as an additional R package, therefore all the examples can be reproduced.

Mathematical Modeling and Methods of Option Pricing

Author : Lishang Jiang
Publisher : World Scientific
ISBN 13 : 9812563695
Total Pages : 344 pages
Book Rating : 4.8/5 (125 download)

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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.

Finance at Fields

Author : Matheus R. Grasselli
Publisher : World Scientific
ISBN 13 : 9814407887
Total Pages : 598 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis Finance at Fields by : Matheus R. Grasselli

Download or read book Finance at Fields written by Matheus R. Grasselli and published by World Scientific. This book was released on 2013 with total page 598 pages. Available in PDF, EPUB and Kindle. Book excerpt: This outstanding collection of articles includes papers presented at the Fields Institute, Toronto, as part of the Thematic Program in Quantitative Finance that took place in the first six months of the year 2010. The scope of the volume in very broad, including papers on foundational issues in mathematical finance, papers on computational finance, and papers on derivatives and risk management. Many of the articles contain path-breaking insights that are relevant to the developing new order of post-crisis financial risk management.

Time-discrete Method Of Lines For Options And Bonds, The: A Pde Approach

Author : Gunter H Meyer
Publisher : World Scientific
ISBN 13 : 9814619698
Total Pages : 286 pages
Book Rating : 4.8/5 (146 download)

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Book Synopsis Time-discrete Method Of Lines For Options And Bonds, The: A Pde Approach by : Gunter H Meyer

Download or read book Time-discrete Method Of Lines For Options And Bonds, The: A Pde Approach written by Gunter H Meyer and published by World Scientific. This book was released on 2014-11-27 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: Few financial mathematical books have discussed mathematically acceptable boundary conditions for the degenerate diffusion equations in finance. In The Time-Discrete Method of Lines for Options and Bonds, Gunter H Meyer examines PDE models for financial derivatives and shows where the Fichera theory requires the pricing equation at degenerate boundary points, and what modifications of it lead to acceptable tangential boundary conditions at non-degenerate points on computational boundaries when no financial data are available.Extensive numerical simulations are carried out with the method of lines to examine the influence of the finite computational domain and of the chosen boundary conditions on option and bond prices in one and two dimensions, reflecting multiple assets, stochastic volatility, jump diffusion and uncertain parameters. Special emphasis is given to early exercise boundaries, prices and their derivatives near expiration. Detailed graphs and tables are included which may serve as benchmark data for solutions found with competing numerical methods.

Recent Advances in Financial Engineering

Author : Masaaki Kijima
Publisher : World Scientific
ISBN 13 : 9814299898
Total Pages : 284 pages
Book Rating : 4.8/5 (142 download)

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Book Synopsis Recent Advances in Financial Engineering by : Masaaki Kijima

Download or read book Recent Advances in Financial Engineering written by Masaaki Kijima and published by World Scientific. This book was released on 2010 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains the proceedings of the 2008 Daiwa International Workshop on Financial Engineering held in Tokyo. The annual workshop is sponsored by the Daiwa Securities Group, and serves as a bridge between leading academics and practitioners in the field. This year, the papers presented at the workshop have been refereed and published in a single volume to commemorate the 60th birthday of Professor Yuri Kabanov, and to thank him for his contributions to the progress of mathematical finance in general, and the Daiwa International Workshop in particular. The book caters to academics and practitioners as well as graduate and postgraduate students of financial engineering. Quantitative researchers on financial markets will also find it a useful resource.

Algorithmic Combinatorics: Enumerative Combinatorics, Special Functions and Computer Algebra

Author : Veronika Pillwein
Publisher : Springer Nature
ISBN 13 : 3030445593
Total Pages : 415 pages
Book Rating : 4.0/5 (34 download)

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Book Synopsis Algorithmic Combinatorics: Enumerative Combinatorics, Special Functions and Computer Algebra by : Veronika Pillwein

Download or read book Algorithmic Combinatorics: Enumerative Combinatorics, Special Functions and Computer Algebra written by Veronika Pillwein and published by Springer Nature. This book was released on 2020-09-28 with total page 415 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book is centered around the research areas of combinatorics, special functions, and computer algebra. What these research fields share is that many of their outstanding results do not only have applications in Mathematics, but also other disciplines, such as computer science, physics, chemistry, etc. A particular charm of these areas is how they interact and influence one another. For instance, combinatorial or special functions' techniques have motivated the development of new symbolic algorithms. In particular, first proofs of challenging problems in combinatorics and special functions were derived by making essential use of computer algebra. This book addresses these interdisciplinary aspects. Algorithmic aspects are emphasized and the corresponding software packages for concrete problem solving are introduced. Readers will range from graduate students, researchers to practitioners who are interested in solving concrete problems within mathematics and other research disciplines.

Recent Advances in Financial Engineering

Author : Akihiko Takahashi
Publisher : World Scientific
ISBN 13 : 9814407321
Total Pages : 231 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis Recent Advances in Financial Engineering by : Akihiko Takahashi

Download or read book Recent Advances in Financial Engineering written by Akihiko Takahashi and published by World Scientific. This book was released on 2012 with total page 231 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is the Proceedings of the International Workshop on Finance 2011, held in Kyoto in the summer of 2011 with the aim of exchanging new ideas in financial engineering among researchers from various countries from both academia and industry. the workshop was held as a successor to the Daiwa International Workshop (2004–2008), and the KIER-TMU International Workshop (2009–2010). This workshop was organized by the Center for Advanced Research in Finance (CARF), Graduate School of Economics, the University of Tokyo, and Graduate School of Social Sciences, Tokyo Metropolitan University — and co-organized by Life Risk Research Center, Doshisha University.The workshop serves as a bridge between academic researchers and practitioners.This book contains about fifteen papers, all refereed, representing the presentations at the workshop. the papers address state-of-the-art techniques in financial engineering.

Stochastic Models of Structural Plasma Turbulence

Author : Victor Yu Korolev
Publisher : Walter de Gruyter
ISBN 13 : 9789067644495
Total Pages : 424 pages
Book Rating : 4.6/5 (444 download)

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Book Synopsis Stochastic Models of Structural Plasma Turbulence by : Victor Yu Korolev

Download or read book Stochastic Models of Structural Plasma Turbulence written by Victor Yu Korolev and published by Walter de Gruyter. This book was released on 2006 with total page 424 pages. Available in PDF, EPUB and Kindle. Book excerpt: The series is devoted to the publication of high-level monographs and surveys which cover the whole spectrum of probability and statistics. The books of the series are addressed to both experts and advanced students.

Proceedings, "WASCOM 2003"

Author : Roberto Monaco
Publisher : World Scientific
ISBN 13 : 981238748X
Total Pages : 590 pages
Book Rating : 4.8/5 (123 download)

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Book Synopsis Proceedings, "WASCOM 2003" by : Roberto Monaco

Download or read book Proceedings, "WASCOM 2003" written by Roberto Monaco and published by World Scientific. This book was released on 2004 with total page 590 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains about 20 invited papers and 40 contributed papers in the research areas of theoretical continuum mechanics, kinetic theory and numerical applications of continuum mechanics. Collectively these papers give a good overview of the activities and developments in these fields in the last few years.The proceedings have been selected for coverage in: ? Index to Scientific & Technical Proceedings? (ISTP? / ISI Proceedings)? Index to Scientific & Technical Proceedings (ISTP CDROM version / ISI Proceedings)? CC Proceedings ? Engineering & Physical Sciences

Principles of Infinitesimal Stochastic and Financial Analysis

Author : Imme van den Berg
Publisher : World Scientific
ISBN 13 : 9789810243586
Total Pages : 156 pages
Book Rating : 4.2/5 (435 download)

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Book Synopsis Principles of Infinitesimal Stochastic and Financial Analysis by : Imme van den Berg

Download or read book Principles of Infinitesimal Stochastic and Financial Analysis written by Imme van den Berg and published by World Scientific. This book was released on 2000 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt: There has been a tremendous growth in the volume of financial transactions based on mathematics, reflecting the confidence in the Nobel-Prize-winning Black-Scholes option theory. Risks emanating from obligatory future payments are covered by a strategy of trading with amounts not determined by guessing, but by solving equations, and with prices not resulting from offer and demand, but from computation. However, the mathematical theory behind that suffers from inaccessibility. This is due to the complexity of the mathematical foundation of the Black-Scholes model, which is the theory of continuous-time stochastic processes: a thorough study of mathematical finance is considered to be possible only at postgraduate level. The setting of this book is the discrete-time version of the Black-Scholes model, namely the Cox-Ross-Rubinstein model. The book gives a complete description of its background, which is now only the theory of finite stochastic processes. The novelty lies in the fact that orders of magnitude -- in the sense of nonstandard analysis -- are imposed on the parameters of the model. This not only makes the model more economically sound (such as rapid fluctuations of the market being represented by infinitesimal trading periods), but also leads to a significant simplification: the fundamental results of Black-Scholes theory are derived in full generality and with mathematical rigour, now at graduate level. The material has been repeatedly taught in a third-year course to econometricians.

Advances in Machine Learning and Data Analysis

Author : Mahyar Amouzegar
Publisher : Springer Science & Business Media
ISBN 13 : 9048131774
Total Pages : 241 pages
Book Rating : 4.0/5 (481 download)

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Book Synopsis Advances in Machine Learning and Data Analysis by : Mahyar Amouzegar

Download or read book Advances in Machine Learning and Data Analysis written by Mahyar Amouzegar and published by Springer Science & Business Media. This book was released on 2009-10-27 with total page 241 pages. Available in PDF, EPUB and Kindle. Book excerpt: A large international conference on Advances in Machine Learning and Data Analysis was held in UC Berkeley, California, USA, October 22-24, 2008, under the auspices of the World Congress on Engineering and Computer Science (WCECS 2008). This volume contains sixteen revised and extended research articles written by prominent researchers participating in the conference. Topics covered include Expert system, Intelligent decision making, Knowledge-based systems, Knowledge extraction, Data analysis tools, Computational biology, Optimization algorithms, Experiment designs, Complex system identification, Computational modeling, and industrial applications. Advances in Machine Learning and Data Analysis offers the state of the art of tremendous advances in machine learning and data analysis and also serves as an excellent reference text for researchers and graduate students, working on machine learning and data analysis.