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Author :
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (938 download)
Download or read book Barrier Option Pricing written by and published by . This book was released on 2009 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yuxing Yan
Publisher : Packt Publishing Ltd
ISBN 13 : 1787125025
Total Pages : 586 pages
Book Rating : 4.7/5 (871 download)
Download or read book Python for Finance written by Yuxing Yan and published by Packt Publishing Ltd. This book was released on 2017-06-30 with total page 586 pages. Available in PDF, EPUB and Kindle. Book excerpt: Learn and implement various Quantitative Finance concepts using the popular Python libraries About This Book Understand the fundamentals of Python data structures and work with time-series data Implement key concepts in quantitative finance using popular Python libraries such as NumPy, SciPy, and matplotlib A step-by-step tutorial packed with many Python programs that will help you learn how to apply Python to finance Who This Book Is For This book assumes that the readers have some basic knowledge related to Python. However, he/she has no knowledge of quantitative finance. In addition, he/she has no knowledge about financial data. What You Will Learn Become acquainted with Python in the first two chapters Run CAPM, Fama-French 3-factor, and Fama-French-Carhart 4-factor models Learn how to price a call, put, and several exotic options Understand Monte Carlo simulation, how to write a Python program to replicate the Black-Scholes-Merton options model, and how to price a few exotic options Understand the concept of volatility and how to test the hypothesis that volatility changes over the years Understand the ARCH and GARCH processes and how to write related Python programs In Detail This book uses Python as its computational tool. Since Python is free, any school or organization can download and use it. This book is organized according to various finance subjects. In other words, the first edition focuses more on Python, while the second edition is truly trying to apply Python to finance. The book starts by explaining topics exclusively related to Python. Then we deal with critical parts of Python, explaining concepts such as time value of money stock and bond evaluations, capital asset pricing model, multi-factor models, time series analysis, portfolio theory, options and futures. This book will help us to learn or review the basics of quantitative finance and apply Python to solve various problems, such as estimating IBM's market risk, running a Fama-French 3-factor, 5-factor, or Fama-French-Carhart 4 factor model, estimating the VaR of a 5-stock portfolio, estimating the optimal portfolio, and constructing the efficient frontier for a 20-stock portfolio with real-world stock, and with Monte Carlo Simulation. Later, we will also learn how to replicate the famous Black-Scholes-Merton option model and how to price exotic options such as the average price call option. Style and approach This book takes a step-by-step approach in explaining the libraries and modules in Python, and how they can be used to implement various aspects of quantitative finance. Each concept is explained in depth and supplemented with code examples for better understanding.
Author : Martin Walter Günther
Publisher :
ISBN 13 :
Total Pages : 67 pages
Book Rating : 4.:/5 (17 download)
Download or read book Barrier option pricing through local time written by Martin Walter Günther and published by . This book was released on 2012 with total page 67 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Fannu Hu
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Asymptotics of American Barrier Option Pricing written by Fannu Hu and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Les Clewlow
Publisher :
ISBN 13 :
Total Pages : 350 pages
Book Rating : 4.F/5 ( download)
Download or read book Implementing Derivatives Models written by Les Clewlow and published by . This book was released on 1998 with total page 350 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Iain J. Clark
Publisher : John Wiley & Sons
ISBN 13 : 0470683686
Total Pages : 308 pages
Book Rating : 4.4/5 (76 download)
Download or read book Foreign Exchange Option Pricing written by Iain J. Clark and published by John Wiley & Sons. This book was released on 2011-01-18 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers foreign exchange options from the point of view of the finance practitioner. It contains everything a quant or trader working in a bank or hedge fund would need to know about the mathematics of foreign exchange—not just the theoretical mathematics covered in other books but also comprehensive coverage of implementation, pricing and calibration. With content developed with input from traders and with examples using real-world data, this book introduces many of the more commonly requested products from FX options trading desks, together with the models that capture the risk characteristics necessary to price these products accurately. Crucially, this book describes the numerical methods required for calibration of these models – an area often neglected in the literature, which is nevertheless of paramount importance in practice. Thorough treatment is given in one unified text to the following features: Correct market conventions for FX volatility surface construction Adjustment for settlement and delayed delivery of options Pricing of vanillas and barrier options under the volatility smile Barrier bending for limiting barrier discontinuity risk near expiry Industry strength partial differential equations in one and several spatial variables using finite differences on nonuniform grids Fourier transform methods for pricing European options using characteristic functions Stochastic and local volatility models, and a mixed stochastic/local volatility model Three-factor long-dated FX model Numerical calibration techniques for all the models in this work The augmented state variable approach for pricing strongly path-dependent options using either partial differential equations or Monte Carlo simulation Connecting mathematically rigorous theory with practice, this is the essential guide to foreign exchange options in the context of the real financial marketplace.
Author : Don R. Rich
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book The Mathematical Foundations of Barrier Option-Pricing Theory written by Don R. Rich and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Barrier options are one of the most popular first-generation exotic options, yet little theoretical research exists. This paper begins by presenting, in an intuitive and unified framework, the mathematical foundation necessary to value barrier options. Closed-form solutions are derived and comparative statics are presented for European barrier options with a fixed rebate and barrier level. From both a theoretical and hedging perspective, barrier options are shown to be more complex than standard options. Further, it is shown that under certain conditions barrier options are identical in value to standard options, that all valuation solutions are linearly homogeneous of degree one with respect to the underlying asset price, exercise price, barrier level, and rebate, and that barrier options have quite different hedging properties than standard options. Closed-form solutions are also derived for European barrier options with barriers that depend exponentially on time to expiration. Applications discussed in the paper include covered calls, portfolio insurance, options embedded in bonds, and when barrier option prices are more likely to correspond to observed market prices than Black-Scholes option prices.
Author : Cho-Hoi Hui
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (129 download)
Download or read book Currency Barrier Option Pricing With Mean Reversion written by Cho-Hoi Hui and published by . This book was released on 2007 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a barrier-option pricing model in which the exchange rate follows a mean-reverting lognormal process. The corresponding closed-form solutions for the barrier options with time-dependent barriers are derived. The numerical results show that barrier option values and the corresponding hedge parameters under the proposed model are different from those based on the Black-Scholes model. For an up-and-out call, the mean-reverting process keeps the exchange rate in a small range around the mean level. When the mean level is below the barrier but above the strike price, the risk of the call to be knocked out is reduced and its option value is enhanced compared with the value under the Black-Scholes model. The parameters of the mean-reverting lognormal process therefore have a material impact on the valuation of currency barrier options and their hedge parameters.
Author : Marek Capiński
Publisher : Cambridge University Press
ISBN 13 : 1107001692
Total Pages : 179 pages
Book Rating : 4.1/5 (7 download)
Download or read book The Black-Scholes Model written by Marek Capiński and published by Cambridge University Press. This book was released on 2012-09-13 with total page 179 pages. Available in PDF, EPUB and Kindle. Book excerpt: Master the essential mathematical tools required for option pricing within the context of a specific, yet fundamental, pricing model.
Author : Zareer Dadachanji
Publisher : Springer
ISBN 13 : 1137462752
Total Pages : 274 pages
Book Rating : 4.1/5 (374 download)
Download or read book FX Barrier Options written by Zareer Dadachanji and published by Springer. This book was released on 2016-04-29 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt: Barrier options are a class of highly path-dependent exotic options which present particular challenges to practitioners in all areas of the financial industry. They are traded heavily as stand-alone contracts in the Foreign Exchange (FX) options market, their trading volume being second only to that of vanilla options. The FX options industry has correspondingly shown great innovation in this class of products and in the models that are used to value and risk-manage them. FX structured products commonly include barrier features, and in order to analyse the effects that these features have on the overall structured product, it is essential first to understand how individual barrier options work and behave. FX Barrier Options takes a quantitative approach to barrier options in FX environments. Its primary perspectives are those of quantitative analysts, both in the front office and in control functions. It presents and explains concepts in a highly intuitive manner throughout, to allow quantitatively minded traders, structurers, marketers, salespeople and software engineers to acquire a more rigorous analytical understanding of these products. The book derives, demonstrates and analyses a wide range of models, modelling techniques and numerical algorithms that can be used for constructing valuation models and risk-management methods. Discussions focus on the practical realities of the market and demonstrate the behaviour of models based on real and recent market data across a range of currency pairs. It furthermore offers a clear description of the history and evolution of the different types of barrier options, and elucidates a great deal of industry nomenclature and jargon.
Author : Roman Horsky
Publisher :
ISBN 13 : 9783843906159
Total Pages : 223 pages
Book Rating : 4.9/5 (61 download)
Download or read book Barrier Option Pricing and CPPI-Optimization written by Roman Horsky and published by . This book was released on 2012 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mohamed Bouzoubaa
Publisher : John Wiley & Sons
ISBN 13 : 0470688033
Total Pages : 405 pages
Book Rating : 4.4/5 (76 download)
Download or read book Exotic Options and Hybrids written by Mohamed Bouzoubaa and published by John Wiley & Sons. This book was released on 2010-05-17 with total page 405 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent financial crisis brought to light many of the misunderstandings and misuses of exotic derivatives. With market participants on both the buy and sell-side having been found guilty of not understanding the products they were dealing with, never before has there been a greater need for clarification and explanation. Exotic Options and Hybrids is a practical guide to structuring, pricing and hedging complex exotic options and hybrid derivatives that will serve readers through the recent crisis, the road to recovery, the next bull market and beyond. Written by experienced practitioners, it focuses on the three main parts of a derivative’s life: the structuring of a product, its pricing and its hedging. Divided into four parts, the book covers a multitude of structures, encompassing many of the most up-to-date and promising products from exotic equity derivatives and structured notes to hybrid derivatives and dynamic strategies. Based on a realistic setting from the heart of the business, inside a derivatives operation, the practical and intuitive discussions of these aspects make these exotic concepts truly accessible. Adoptions of real trades are examined in detail, and all of the numerous examples are carefully selected so as to highlight interesting and significant aspects of the business. The introduction of payoff structures is accompanied by scenario analysis, diagrams and lifelike sample term sheets. Readers learn how to spot where the risks lie to pave the way for sound valuation and hedging of such products. There are also questions and accompanying discussions dispersed in the text, each exploited to illustrate one or more concepts from the context in which they are set. The applications, the strengths and the limitations of various models are highlighted, in relevance to the products and their risks, rather than the model implementations. Models are de-mystified in separately dedicated sections, but their implications are alluded to throughout the book in an intuitive and non-mathematical manner. By discussing exotic options and hybrids in a practical, non-mathematical and highly intuitive setting, this book will blast through the misunderstanding of exotic derivatives, enabling practitioners to fully understand and correctly structure, price and hedge theses products effectively, and stand strong as the only book in its class to make these “exotic” concepts truly accessible.
Author : Simon Hatzesberger
Publisher :
ISBN 13 :
Total Pages : 76 pages
Book Rating : 4.:/5 (785 download)
Download or read book Unbiased Monte Carlo estimation for barrier option pricing written by Simon Hatzesberger and published by . This book was released on 2011 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Espen Gaarder Haug
Publisher : Professional Finance & Investment
ISBN 13 :
Total Pages : 586 pages
Book Rating : 4.3/5 ( download)
Download or read book The Complete Guide to Option Pricing Formulas written by Espen Gaarder Haug and published by Professional Finance & Investment. This book was released on 2007-01-08 with total page 586 pages. Available in PDF, EPUB and Kindle. Book excerpt: Accompanying CD-ROM contains ... "all pricing formulas, with VBA code and ready-to-use Excel spreadsheets and 3D charts for Greeks (or Option Sensitivities)."--Jacket.
Author : Thomas Gerstner
Publisher : World Scientific
ISBN 13 : 9814436429
Total Pages : 481 pages
Book Rating : 4.8/5 (144 download)
Download or read book Recent Developments in Computational Finance written by Thomas Gerstner and published by World Scientific. This book was released on 2013 with total page 481 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computational finance is an interdisciplinary field which joins financial mathematics, stochastics, numerics and scientific computing. Its task is to estimate as accurately and efficiently as possible the risks that financial instruments generate. This volume consists of a series of cutting-edge surveys of recent developments in the field written by leading international experts. These make the subject accessible to a wide readership in academia and financial businesses. The book consists of 13 chapters divided into 3 parts: foundations, algorithms and applications. Besides surveys of existing results, the book contains many new previously unpublished results.
Author : Chi-Fai Lo
Publisher :
ISBN 13 :
Total Pages : 10 pages
Book Rating : 4.:/5 (129 download)
Download or read book A Simple Approach for Pricing Barrier Options with Time-Dependent Parameters written by Chi-Fai Lo and published by . This book was released on 2007 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we present a simple and easy-to-use method for computing accurate estimates (in closed form) of Black-Scholes barrier option prices with time-dependent parameters. This new approach is also able to provide tight upper and lower bounds (in closed form) for the exact barrier option prices.
Author : Junling Hu
Publisher :
ISBN 13 :
Total Pages : 170 pages
Book Rating : 4.:/5 (891 download)
Download or read book Barrier Option Pricing Under SABR Model Using Monte Carlo Methods written by Junling Hu and published by . This book was released on 2013 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: The project investigates the prices of barrier options from the constant underlying volatility in the Black-Scholes model to stochastic volatility model in SABR framework. The constant volatility assumption in derivative pricing is not able to capture the dynamics of volatility. In order to resolve the shortcomings of the Black-Scholes model, it becomes necessary to find a model that reproduces the smile effect of the volatility. To model the volatility more accurately, we look into the recently developed SABR model which is widely used by practitioners in the financial industry. Pricing a barrier option whose payoff to be path dependent intrigued us to find a proper numerical method to approximate its price. We discuss the basic sampling methods of Monte Carlo and several popular variance reduction techniques. Then, we apply Monte Carlo methods to simulate the price of the down-and-out put barrier options under the Black-Scholes model and the SABR model as well as compare the features of these two models.
