American-Type Options

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Author :
Publisher : Walter de Gruyter GmbH & Co KG
ISBN 13 : 3110389908
Total Pages : 672 pages
Book Rating : 4.1/5 (13 download)

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Book Synopsis American-Type Options by : Dmitrii S. Silvestrov

Download or read book American-Type Options written by Dmitrii S. Silvestrov and published by Walter de Gruyter GmbH & Co KG. This book was released on 2015-03-03 with total page 672 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book gives a systematical presentation of stochastic approximation methods for discrete time Markov price processes. Advanced methods combining backward recurrence algorithms for computing of option rewards and general results on convergence of stochastic space skeleton and tree approximations for option rewards are applied to a variety of models of multivariate modulated Markov price processes. The principal novelty of presented results is based on consideration of multivariate modulated Markov price processes and general pay-off functions, which can depend not only on price but also an additional stochastic modulating index component, and use of minimal conditions of smoothness for transition probabilities and pay-off functions, compactness conditions for log-price processes and rate of growth conditions for pay-off functions. The volume presents results on structural studies of optimal stopping domains, Monte Carlo based approximation reward algorithms, and convergence of American-type options for autoregressive and continuous time models, as well as results of the corresponding experimental studies.

Stochastic Analysis, Stochastic Systems, and Applications to Finance

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Publisher : World Scientific
ISBN 13 : 9814355704
Total Pages : 274 pages
Book Rating : 4.8/5 (143 download)

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Book Synopsis Stochastic Analysis, Stochastic Systems, and Applications to Finance by : Allanus Hak-Man Tsoi

Download or read book Stochastic Analysis, Stochastic Systems, and Applications to Finance written by Allanus Hak-Man Tsoi and published by World Scientific. This book was released on 2011 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces some advanced topics in probability theories ? both pure and applied ? is divided into two parts. The first part deals with the analysis of stochastic dynamical systems, in terms of Gaussian processes, white noise theory, and diffusion processes. The second part of the book discusses some up-to-date applications of optimization theories, martingale measure theories, reliability theories, stochastic filtering theories and stochastic algorithms towards mathematical finance issues such as option pricing and hedging, bond market analysis, volatility studies and asset trading modeling.

Derivatives and Risk Management:

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Publisher : Pearson Education India
ISBN 13 : 9332501130
Total Pages : 542 pages
Book Rating : 4.3/5 (325 download)

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Book Synopsis Derivatives and Risk Management: by : Janakiramanan

Download or read book Derivatives and Risk Management: written by Janakiramanan and published by Pearson Education India. This book was released on 2011 with total page 542 pages. Available in PDF, EPUB and Kindle. Book excerpt: Derivatives and Risk Management provides readers with a thorough knowledge of the functions of derivatives and the many risks associated with their use. It covers particular derivative instruments available in India and the four types of derivatives. It is useful for postgraduate students of commerce, finance and management, fund managers, risk-management specialists, treasury managers, students taking the CFA examinations and anyone who wants to understand the derivatives market in India.

Derivatives and Risk Management:

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Author :
Publisher : Pearson Education India
ISBN 13 : 9332506817
Total Pages : 542 pages
Book Rating : 4.3/5 (325 download)

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Book Synopsis Derivatives and Risk Management: by : Madhumathi

Download or read book Derivatives and Risk Management: written by Madhumathi and published by Pearson Education India. This book was released on 2011 with total page 542 pages. Available in PDF, EPUB and Kindle. Book excerpt: Through the incorporation of real-life examples from Indian organizations, Derivatives and Risk Management provides cutting-edge material comprising new and unique study tools and fresh, thought-provoking content. The organization of the text is designed to conceptually link a firm’s actions to its value as determined in the derivatives market. It addresses the specific needs of Indian students and managers by successfully blending the best global derivatives and risk management practices with an in-depth coverage of the Indian environment.

Currency Derivatives

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Author :
Publisher : John Wiley & Sons
ISBN 13 : 9780471252672
Total Pages : 414 pages
Book Rating : 4.2/5 (526 download)

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Book Synopsis Currency Derivatives by : David F. DeRosa

Download or read book Currency Derivatives written by David F. DeRosa and published by John Wiley & Sons. This book was released on 1998-09-07 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mit über einer Billion US Dollar Umsatz stellt der Devisenhandel weltweit den größten Markt dar. In diesem Markt sind Währungsderivate zu einem bevorzugten Handelsinstrument geworden, das von Großbanken, Brokerhäusern, Hedge Funds (spekulativ ausgerichteter Fonds, der mit Hilfe von Derivaten seine Gewinne zu optimieren versucht) und Handelsberatern eingesetzt wird. Zwar sind diese Instrumente heute komplexer denn je, aber sie sind ein unverzichtbares Mittel des Risikomanagements im Devisenhandel. Herausgegeben von führenden Devisenhändlern und Analysten, ist dieses Buch Basislektüre für jeden, der sich in diesem Bereich bewegt. Eine Sammlung der 20 besten und meist zitierten Beiträge zu Währungsderivaten, Preistheorie und Anwendungen von Hedging-Methoden (10/98)

Data Analysis and Related Applications 3

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Author :
Publisher : John Wiley & Sons
ISBN 13 : 1394284055
Total Pages : 269 pages
Book Rating : 4.3/5 (942 download)

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Book Synopsis Data Analysis and Related Applications 3 by : Yiannis Dimotikalis

Download or read book Data Analysis and Related Applications 3 written by Yiannis Dimotikalis and published by John Wiley & Sons. This book was released on 2024-04-10 with total page 269 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book is a collective work by a number of leading scientists, analysts, engineers, mathematicians and statisticians who have been working at the forefront of data analysis and related applications, arising from data science, operations research, engineering, machine learning or statistics. The chapters of this collaborative work represent a cross-section of current research interests in the above scientific areas. The collected material has been divided into appropriate sections to provide the reader with both theoretical and applied information on data analysis methods, models and techniques, along with appropriate applications. The published data analysis methodology includes the updated state-of-the-art rapidly developed theory and applications of data expansion, both of which go through outstanding changes nowadays. New approaches are expected to deliver and have been developed, including Artificial Intelligence.

Option Pricing Models and Volatility Using Excel-VBA

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Author :
Publisher : John Wiley & Sons
ISBN 13 : 1118429206
Total Pages : 456 pages
Book Rating : 4.1/5 (184 download)

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Book Synopsis Option Pricing Models and Volatility Using Excel-VBA by : Fabrice D. Rouah

Download or read book Option Pricing Models and Volatility Using Excel-VBA written by Fabrice D. Rouah and published by John Wiley & Sons. This book was released on 2012-06-15 with total page 456 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive guide offers traders, quants, and students the tools and techniques for using advanced models for pricing options. The accompanying website includes data files, such as options prices, stock prices, or index prices, as well as all of the codes needed to use the option and volatility models described in the book. Praise for Option Pricing Models & Volatility Using Excel-VBA "Excel is already a great pedagogical tool for teaching option valuation and risk management. But the VBA routines in this book elevate Excel to an industrial-strength financial engineering toolbox. I have no doubt that it will become hugely successful as a reference for option traders and risk managers." —Peter Christoffersen, Associate Professor of Finance, Desautels Faculty of Management, McGill University "This book is filled with methodology and techniques on how to implement option pricing and volatility models in VBA. The book takes an in-depth look into how to implement the Heston and Heston and Nandi models and includes an entire chapter on parameter estimation, but this is just the tip of the iceberg. Everyone interested in derivatives should have this book in their personal library." —Espen Gaarder Haug, option trader, philosopher, and author of Derivatives Models on Models "I am impressed. This is an important book because it is the first book to cover the modern generation of option models, including stochastic volatility and GARCH." —Steven L. Heston, Assistant Professor of Finance, R.H. Smith School of Business, University of Maryland

Financial Models and Simulation

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Author :
Publisher : Springer
ISBN 13 : 0230374832
Total Pages : 371 pages
Book Rating : 4.2/5 (33 download)

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Book Synopsis Financial Models and Simulation by : D. Chorafas

Download or read book Financial Models and Simulation written by D. Chorafas and published by Springer. This book was released on 1995-05-17 with total page 371 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial analysis, modellng, simulation and knowledge engineering have become essential to the survival of every enterprise. This thorough and comprehensive book looks at the development and use of financial models for analysis and decision-making, showing the reader how to apply these methods in his or her own work.

Introduction to Option Pricing Theory

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Author :
Publisher : Springer Science & Business Media
ISBN 13 : 1461205115
Total Pages : 266 pages
Book Rating : 4.4/5 (612 download)

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Book Synopsis Introduction to Option Pricing Theory by : Gopinath Kallianpur

Download or read book Introduction to Option Pricing Theory written by Gopinath Kallianpur and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the appearance of seminal works by R. Merton, and F. Black and M. Scholes, stochastic processes have assumed an increasingly important role in the development of the mathematical theory of finance. This work examines, in some detail, that part of stochastic finance pertaining to option pricing theory. Thus the exposition is confined to areas of stochastic finance that are relevant to the theory, omitting such topics as futures and term-structure. This self-contained work begins with five introductory chapters on stochastic analysis, making it accessible to readers with little or no prior knowledge of stochastic processes or stochastic analysis. These chapters cover the essentials of Ito's theory of stochastic integration, integration with respect to semimartingales, Girsanov's Theorem, and a brief introduction to stochastic differential equations. Subsequent chapters treat more specialized topics, including option pricing in discrete time, continuous time trading, arbitrage, complete markets, European options (Black and Scholes Theory), American options, Russian options, discrete approximations, and asset pricing with stochastic volatility. In several chapters, new results are presented. A unique feature of the book is its emphasis on arbitrage, in particular, the relationship between arbitrage and equivalent martingale measures (EMM), and the derivation of necessary and sufficient conditions for no arbitrage (NA). {\it Introduction to Option Pricing Theory} is intended for students and researchers in statistics, applied mathematics, business, or economics, who have a background in measure theory and have completed probability theory at the intermediate level. The work lends itself to self-study, as well as to a one-semester course at the graduate level.

Problems and Solutions in Mathematical Finance, Volume 2

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Author :
Publisher : John Wiley & Sons
ISBN 13 : 1119965829
Total Pages : 868 pages
Book Rating : 4.1/5 (199 download)

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Book Synopsis Problems and Solutions in Mathematical Finance, Volume 2 by : Eric Chin

Download or read book Problems and Solutions in Mathematical Finance, Volume 2 written by Eric Chin and published by John Wiley & Sons. This book was released on 2017-03-13 with total page 868 pages. Available in PDF, EPUB and Kindle. Book excerpt: Detailed guidance on the mathematics behind equity derivatives Problems and Solutions in Mathematical Finance Volume II is an innovative reference for quantitative practitioners and students, providing guidance through a range of mathematical problems encountered in the finance industry. This volume focuses solely on equity derivatives problems, beginning with basic problems in derivatives securities before moving on to more advanced applications, including the construction of volatility surfaces to price exotic options. By providing a methodology for solving theoretical and practical problems, whilst explaining the limitations of financial models, this book helps readers to develop the skills they need to advance their careers. The text covers a wide range of derivatives pricing, such as European, American, Asian, Barrier and other exotic options. Extensive appendices provide a summary of important formulae from calculus, theory of probability, and differential equations, for the convenience of readers. As Volume II of the four-volume Problems and Solutions in Mathematical Finance series, this book provides clear explanation of the mathematics behind equity derivatives, in order to help readers gain a deeper understanding of their mechanics and a firmer grasp of the calculations. Review the fundamentals of equity derivatives Work through problems from basic securities to advanced exotics pricing Examine numerical methods and detailed derivations of closed-form solutions Utilise formulae for probability, differential equations, and more Mathematical finance relies on mathematical models, numerical methods, computational algorithms and simulations to make trading, hedging, and investment decisions. For the practitioners and graduate students of quantitative finance, Problems and Solutions in Mathematical Finance Volume II provides essential guidance principally towards the subject of equity derivatives.

A Factor Model Approach to Derivative Pricing

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Author :
Publisher : CRC Press
ISBN 13 : 1498763359
Total Pages : 263 pages
Book Rating : 4.4/5 (987 download)

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Book Synopsis A Factor Model Approach to Derivative Pricing by : James A. Primbs

Download or read book A Factor Model Approach to Derivative Pricing written by James A. Primbs and published by CRC Press. This book was released on 2016-12-19 with total page 263 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written in a highly accessible style, A Factor Model Approach to Derivative Pricing lays a clear and structured foundation for the pricing of derivative securities based upon simple factor model related absence of arbitrage ideas. This unique and unifying approach provides for a broad treatment of topics and models, including equity, interest-rate, and credit derivatives, as well as hedging and tree-based computational methods, but without reliance on the heavy prerequisites that often accompany such topics. Key features A single fundamental absence of arbitrage relationship based on factor models is used to motivate all the results in the book A structured three-step procedure is used to guide the derivation of absence of arbitrage equations and illuminate core underlying concepts Brownian motion and Poisson process driven models are treated together, allowing for a broad and cohesive presentation of topics The final chapter provides a new approach to risk neutral pricing that introduces the topic as a seamless and natural extension of the factor model approach Whether being used as text for an intermediate level course in derivatives, or by researchers and practitioners who are seeking a better understanding of the fundamental ideas that underlie derivative pricing, readers will appreciate the book’s ability to unify many disparate topics and models under a single conceptual theme. James A Primbs is an Associate Professor of Finance at the Mihaylo College of Business and Economics at California State University, Fullerton.

Tools for Computational Finance

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Author :
Publisher : Springer Science & Business Media
ISBN 13 : 3540929290
Total Pages : 336 pages
Book Rating : 4.5/5 (49 download)

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Book Synopsis Tools for Computational Finance by : Rüdiger U. Seydel

Download or read book Tools for Computational Finance written by Rüdiger U. Seydel and published by Springer Science & Business Media. This book was released on 2009-04-03 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt: Tools for Computational Finance offers a clear explanation of computational issues arising in financial mathematics. The new third edition is thoroughly revised and significantly extended, including an extensive new section on analytic methods, focused mainly on interpolation approach and quadratic approximation. Other new material is devoted to risk-neutrality, early-exercise curves, multidimensional Black-Scholes models, the integral representation of options and the derivation of the Black-Scholes equation. New figures, more exercises, and expanded background material make this guide a real must-to-have for everyone working in the world of financial engineering.

Martingale Methods in Financial Modelling

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Publisher : Springer Science & Business Media
ISBN 13 : 3540266534
Total Pages : 721 pages
Book Rating : 4.5/5 (42 download)

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Book Synopsis Martingale Methods in Financial Modelling by : Marek Musiela

Download or read book Martingale Methods in Financial Modelling written by Marek Musiela and published by Springer Science & Business Media. This book was released on 2006-01-20 with total page 721 pages. Available in PDF, EPUB and Kindle. Book excerpt: A new edition of a successful, well-established book that provides the reader with a text focused on practical rather than theoretical aspects of financial modelling Includes a new chapter devoted to volatility risk The theme of stochastic volatility reappears systematically and has been revised fundamentally, presenting a much more detailed analyses of interest-rate models

Analytical Finance: Volume I

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Author :
Publisher : Springer
ISBN 13 : 3319340271
Total Pages : 509 pages
Book Rating : 4.3/5 (193 download)

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Book Synopsis Analytical Finance: Volume I by : Jan R. M. Röman

Download or read book Analytical Finance: Volume I written by Jan R. M. Röman and published by Springer. This book was released on 2017-02-07 with total page 509 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an introduction to the valuation of financial instruments on equity markets. Written from the perspective of trading, risk management and quantitative research functions and written by a practitioner with many years’ experience in markets and in academia, it provides a valuable learning tool for students and new entrants to these markets. Coverage includes: ·Trading and sources of risk, including credit and counterparty risk, market and model risks, settlement and Herstatt risks. ·Numerical methods including discrete-time methods, finite different methods, binomial models and Monte Carlo simulations. ·Probability theory and stochastic processes from the financial modeling perspective, including probability spaces, sigma algebras, measures and filtrations. ·Continuous time models such as Black-Scholes-Merton; Delta-hedging and Delta-Gamma-hedging; general diffusion models and how to solve Partial Differential Equation using the Feynmann-Kac representation. ·The trading, structuring and hedging several kinds of exotic options, including: Binary/Digital options; Barrier options; Lookbacks; Asian options; Chooses; Forward options; Ratchets; Compounded options; Basket options; Exchange and Currency-linked options; Pay later options and Quantos. ·A detailed explanation of how to construct synthetic instruments and strategies for different market conditions, discussing more than 30 different option strategies. With source code for many of the models featured in the book provided and extensive examples and illustrations throughout, this book provides a comprehensive introduction to this topic and will prove an invaluable learning tool and reference for anyone studying or working in this field.

Computational Science and Its Applications - ICCSA 2004

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Publisher : Springer Science & Business Media
ISBN 13 : 3540220577
Total Pages : 1081 pages
Book Rating : 4.5/5 (42 download)

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Book Synopsis Computational Science and Its Applications - ICCSA 2004 by : Antonio Laganà

Download or read book Computational Science and Its Applications - ICCSA 2004 written by Antonio Laganà and published by Springer Science & Business Media. This book was released on 2004-05-07 with total page 1081 pages. Available in PDF, EPUB and Kindle. Book excerpt: The natural mission of Computational Science is to tackle all sorts of human problems and to work out intelligent automata aimed at alleviating the b- den of working out suitable tools for solving complex problems. For this reason ComputationalScience,thoughoriginatingfromtheneedtosolvethemostch- lenging problems in science and engineering (computational science is the key player in the ?ght to gain fundamental advances in astronomy, biology, che- stry, environmental science, physics and several other scienti?c and engineering disciplines) is increasingly turning its attention to all ?elds of human activity. In all activities, in fact, intensive computation, information handling, kn- ledge synthesis, the use of ad-hoc devices, etc. increasingly need to be exploited and coordinated regardless of the location of both the users and the (various and heterogeneous) computing platforms. As a result the key to understanding the explosive growth of this discipline lies in two adjectives that more and more appropriately refer to Computational Science and its applications: interoperable and ubiquitous. Numerous examples of ubiquitous and interoperable tools and applicationsaregiveninthepresentfourLNCSvolumescontainingthecontri- tions delivered at the 2004 International Conference on Computational Science and its Applications (ICCSA 2004) held in Assisi, Italy, May 14–17, 2004.

Paul Wilmott Introduces Quantitative Finance

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Publisher : John Wiley & Sons
ISBN 13 : 1118836790
Total Pages : 743 pages
Book Rating : 4.1/5 (188 download)

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Book Synopsis Paul Wilmott Introduces Quantitative Finance by : Paul Wilmott

Download or read book Paul Wilmott Introduces Quantitative Finance written by Paul Wilmott and published by John Wiley & Sons. This book was released on 2013-10-18 with total page 743 pages. Available in PDF, EPUB and Kindle. Book excerpt: Paul Wilmott Introduces Quantitative Finance, Second Edition is an accessible introduction to the classical side of quantitative finance specifically for university students. Adapted from the comprehensive, even epic, works Derivatives and Paul Wilmott on Quantitative Finance, Second Edition, it includes carefully selected chapters to give the student a thorough understanding of futures, options and numerical methods. Software is included to help visualize the most important ideas and to show how techniques are implemented in practice. There are comprehensive end-of-chapter exercises to test students on their understanding.

Derivatives: a PowerPlus Picture Book

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Publisher :
ISBN 13 :
Total Pages : 190 pages
Book Rating : 4.E/5 ( download)

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Book Synopsis Derivatives: a PowerPlus Picture Book by : Mark Rubinstein

Download or read book Derivatives: a PowerPlus Picture Book written by Mark Rubinstein and published by . This book was released on 1998 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt: