Computing Risk Sensitivities For Swing Options

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Computing Risk Sensitivities for Swing Options

Author : Bijan Sadighi
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (14 download)

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Book Synopsis Computing Risk Sensitivities for Swing Options by : Bijan Sadighi

Download or read book Computing Risk Sensitivities for Swing Options written by Bijan Sadighi and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The robust and efficient computation of risk sensitivities in Monte Carlo simulations is a topic of great practical relevance. The standard approach to compute risk sensitivities in a Monte Carlo simulation, the finite difference estimator, is known to be computationally inefficient and biased. In this paper we apply several alternative numerical techniques for the estimation of risk sensitivities to swing options, which are a class of multi-exercisable Bermudan options. The used estimators include the pathwise method, the likelihood ratio method, hybrid combinations of the two methods as well as the Modified Least Squares Monte Carlo method. With these techniques we estimate deltas and gammas for upswing and downswing options under two different stochastic processes. All estimation methods can be successfully applied to swing options and provide accurate risk sensitivities. We find that the pathwise method exhibits the lowest bias and standard error for the estimation of delta while the hybrid estimators produce the best results for the estimation of gamma. On the other hand, the likelihood ratio method and the Modified Least Squares method are not able to outperform the finite difference method. Eventually, we apply the risk sensitivity estimators to a dynamic hedging simulation for swing options in which all estimators demonstrate stable results.

Computational Finance and Its Applications III

Author : M. Costantino
Publisher : WIT Press
ISBN 13 : 1845641116
Total Pages : 257 pages
Book Rating : 4.8/5 (456 download)

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Book Synopsis Computational Finance and Its Applications III by : M. Costantino

Download or read book Computational Finance and Its Applications III written by M. Costantino and published by WIT Press. This book was released on 2008 with total page 257 pages. Available in PDF, EPUB and Kindle. Book excerpt: Featuring papers from the Third International Conference on Computational Finance and its Applications, the text includes papers that encompass a wide range of topics such as modern financial services technologies, derivatives pricing, portfolio management and asset allocation, and intelligent trading agents.

Recent Developments in Computational Finance

Author : Thomas Gerstner
Publisher : World Scientific
ISBN 13 : 9814436437
Total Pages : 481 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis Recent Developments in Computational Finance by : Thomas Gerstner

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.

Swing Pricing and Fragility in Open-end Mutual Funds

Author : Dunhong Jin
Publisher : International Monetary Fund
ISBN 13 : 1513519492
Total Pages : 46 pages
Book Rating : 4.5/5 (135 download)

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Book Synopsis Swing Pricing and Fragility in Open-end Mutual Funds by : Dunhong Jin

Download or read book Swing Pricing and Fragility in Open-end Mutual Funds written by Dunhong Jin and published by International Monetary Fund. This book was released on 2019-11-01 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: How to prevent runs on open-end mutual funds? In recent years, markets have observed an innovation that changed the way open-end funds are priced. Alternative pricing rules (known as swing pricing) adjust funds’ net asset values to pass on funds’ trading costs to transacting shareholders. Using unique data on investor transactions in U.K. corporate bond funds, we show that swing pricing eliminates the first-mover advantage arising from the traditional pricing rule and significantly reduces redemptions during stress periods. The positive impact of alternative pricing rules on fund flows reverses in calm periods when costs associated with higher tracking error dominate the pricing effect.

Quantitative Methods for Electricity Trading and Risk Management

Author : S. Fiorenzani
Publisher : Springer
ISBN 13 : 023059834X
Total Pages : 188 pages
Book Rating : 4.2/5 (35 download)

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Book Synopsis Quantitative Methods for Electricity Trading and Risk Management by : S. Fiorenzani

Download or read book Quantitative Methods for Electricity Trading and Risk Management written by S. Fiorenzani and published by Springer. This book was released on 2006-01-31 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents practical Risk Management and Trading applications for the Electricity Markets. Various methodologies developed over the last few years are considered and current literature is reviewed. The book emphasizes the relationship between trading, hedging and generation asset management.

The Journal of Computational Finance

Author :
Publisher :
ISBN 13 :
Total Pages : 402 pages
Book Rating : 4.E/5 ( download)

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Book Synopsis The Journal of Computational Finance by :

Download or read book The Journal of Computational Finance written by and published by . This book was released on 2009 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Encyclopedia of Quantitative Risk Analysis and Assessment

Author :
Publisher : John Wiley & Sons
ISBN 13 : 0470035498
Total Pages : 2163 pages
Book Rating : 4.4/5 (7 download)

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Book Synopsis Encyclopedia of Quantitative Risk Analysis and Assessment by :

Download or read book Encyclopedia of Quantitative Risk Analysis and Assessment written by and published by John Wiley & Sons. This book was released on 2008-09-02 with total page 2163 pages. Available in PDF, EPUB and Kindle. Book excerpt: Leading the way in this field, the Encyclopedia of Quantitative Risk Analysis and Assessment is the first publication to offer a modern, comprehensive and in-depth resource to the huge variety of disciplines involved. A truly international work, its coverage ranges across risk issues pertinent to life scientists, engineers, policy makers, healthcare professionals, the finance industry, the military and practising statisticians. Drawing on the expertise of world-renowned authors and editors in this field this title provides up-to-date material on drug safety, investment theory, public policy applications, transportation safety, public perception of risk, epidemiological risk, national defence and security, critical infrastructure, and program management. This major publication is easily accessible for all those involved in the field of risk assessment and analysis. For ease-of-use it is available in print and online.

Revisiting Risk-Weighted Assets

Author : Vanessa Le Leslé
Publisher : International Monetary Fund
ISBN 13 : 1475502656
Total Pages : 50 pages
Book Rating : 4.4/5 (755 download)

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Book Synopsis Revisiting Risk-Weighted Assets by : Vanessa Le Leslé

Download or read book Revisiting Risk-Weighted Assets written by Vanessa Le Leslé and published by International Monetary Fund. This book was released on 2012-03-01 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we provide an overview of the concerns surrounding the variations in the calculation of risk-weighted assets (RWAs) across banks and jurisdictions and how this might undermine the Basel III capital adequacy framework. We discuss the key drivers behind the differences in these calculations, drawing upon a sample of systemically important banks from Europe, North America, and Asia Pacific. We then discuss a range of policy options that could be explored to fix the actual and perceived problems with RWAs, and improve the use of risk-sensitive capital ratios.

The JPMorgan/Risk Magazine Guide to Risk Management

Author :
Publisher :
ISBN 13 :
Total Pages : 76 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis The JPMorgan/Risk Magazine Guide to Risk Management by :

Download or read book The JPMorgan/Risk Magazine Guide to Risk Management written by and published by . This book was released on 2001 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Trading Volatility

Author : Colin Bennett
Publisher :
ISBN 13 : 9781461108757
Total Pages : 316 pages
Book Rating : 4.1/5 (87 download)

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Book Synopsis Trading Volatility by : Colin Bennett

Download or read book Trading Volatility written by Colin Bennett and published by . This book was released on 2014-08-17 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: This publication aims to fill the void between books providing an introduction to derivatives, and advanced books whose target audience are members of quantitative modelling community. In order to appeal to the widest audience, this publication tries to assume the least amount of prior knowledge. The content quickly moves onto more advanced subjects in order to concentrate on more practical and advanced topics. "A master piece to learn in a nutshell all the essentials about volatility with a practical and lively approach. A must read!" Carole Bernard, Equity Derivatives Specialist at Bloomberg "This book could be seen as the 'volatility bible'!" Markus-Alexander Flesch, Head of Sales & Marketing at Eurex "I highly recommend this book both for those new to the equity derivatives business, and for more advanced readers. The balance between theory and practice is struck At-The-Money" Paul Stephens, Head of Institutional Marketing at CBOE "One of the best resources out there for the volatility community" Paul Britton, CEO and Founder of Capstone Investment Advisors "Colin has managed to convey often complex derivative and volatility concepts with an admirable simplicity, a welcome change from the all-too-dense tomes one usually finds on the subject" Edmund Shing PhD, former Proprietary Trader at BNP Paribas "In a crowded space, Colin has supplied a useful and concise guide" Gary Delany, Director Europe at the Options Industry Council

International Convergence of Capital Measurement and Capital Standards

Author :
Publisher : Lulu.com
ISBN 13 : 9291316695
Total Pages : 294 pages
Book Rating : 4.2/5 (913 download)

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Book Synopsis International Convergence of Capital Measurement and Capital Standards by :

Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Commodity Trade and Finance

Author : Michael Tamvakis
Publisher : CRC Press
ISBN 13 : 1317663365
Total Pages : 445 pages
Book Rating : 4.3/5 (176 download)

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Book Synopsis Commodity Trade and Finance by : Michael Tamvakis

Download or read book Commodity Trade and Finance written by Michael Tamvakis and published by CRC Press. This book was released on 2015-04-10 with total page 445 pages. Available in PDF, EPUB and Kindle. Book excerpt: What affects the supply of oil? How important is the weather in determining grain prices? Why has the price of copper skyrocketed? This unique book analyses the economics of key commodity groups, including energy, agriculture and metals. It examines the supply/demand fundamentals of several major and minor commodities, physical characteristics, production and consumption patterns, trade flows and pricing mechanisms. It also explains the main tools used to hedge price risk, such as futures, options and swaps. This second edition has been fully revised and restructured, and contains four new chapters, including oil refining, electricity and price risk management for energy, metals and agricultural commodities This book is an indispensable reference text for students, academics and those working in the commodity business.

Sensitivity of VaR Measures to Different Risk Models

Author : Francesco Drudi
Publisher :
ISBN 13 :
Total Pages : 60 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Sensitivity of VaR Measures to Different Risk Models by : Francesco Drudi

Download or read book Sensitivity of VaR Measures to Different Risk Models written by Francesco Drudi and published by . This book was released on 1997 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Trade-off Analytics

Author : Gregory S. Parnell
Publisher : John Wiley & Sons
ISBN 13 : 111923753X
Total Pages : 640 pages
Book Rating : 4.1/5 (192 download)

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Book Synopsis Trade-off Analytics by : Gregory S. Parnell

Download or read book Trade-off Analytics written by Gregory S. Parnell and published by John Wiley & Sons. This book was released on 2016-12-12 with total page 640 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents information to create a trade-off analysis framework for use in government and commercial acquisition environments This book presents a decision management process based on decision theory and cost analysis best practices aligned with the ISO/IEC 15288, the Systems Engineering Handbook, and the Systems Engineering Body of Knowledge. It provides a sound trade-off analysis framework to generate the tradespace and evaluate value and risk to support system decision-making throughout the life cycle. Trade-off analysis and risk analysis techniques are examined. The authors present an integrated value trade-off and risk analysis framework based on decision theory. These trade-off analysis concepts are illustrated in the different life cycle stages using multiple examples from defense and commercial domains. Provides techniques to identify and structure stakeholder objectives and creative, doable alternatives Presents the advantages and disadvantages of tradespace creation and exploration techniques for trade-off analysis of concepts, architectures, design, operations, and retirement Covers the sources of uncertainty in the system life cycle and examines how to identify, assess, and model uncertainty using probability Illustrates how to perform a trade-off analysis using the INCOSE Decision Management Process using both deterministic and probabilistic techniques Trade-off Analytics: Creating and Exploring the System Tradespace is written for upper undergraduate students and graduate students studying systems design, systems engineering, industrial engineering and engineering management. This book also serves as a resource for practicing systems designers, systems engineers, project managers, and engineering managers. Gregory S. Parnell, PhD, is a Research Professor in the Department of Industrial Engineering at the University of Arkansas. He is also a senior principal with Innovative Decisions, Inc., a decision and risk analysis firm and has served as Chairman of the Board. Dr. Parnell has published more than 100 papers and book chapters and was lead editor of Decision Making for Systems Engineering and Management, Wiley Series in Systems Engineering (2nd Ed, Wiley 2011) and lead author of the Handbook of Decision Analysis (Wiley 2013). He is a fellow of INFORMS, the INCOSE, MORS, and the Society for Decision Professionals.

Selected Topics in Bond Portfolio Management

Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
ISBN 13 : 9781883249281
Total Pages : 228 pages
Book Rating : 4.2/5 (492 download)

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Book Synopsis Selected Topics in Bond Portfolio Management by : Frank J. Fabozzi

Download or read book Selected Topics in Bond Portfolio Management written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 1997-06-15 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: The bond market is one of the largest and most important financial markets in the world. For professional investors, building and managing a portfolio of bonds to achieve above-market returns is a continual challenge. In Selected Topics in Bond Portfolio Management, leading experts discuss state-of-the-art strategies for managing indexed, corporate, high-yield, municipal, and global bond portfolios. Each chapter includes questions and answers to enhance the reader's understanding.

Energy and Power Risk Management

Author : Alexander Eydeland
Publisher : John Wiley & Sons
ISBN 13 : 0471455873
Total Pages : 506 pages
Book Rating : 4.4/5 (714 download)

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Book Synopsis Energy and Power Risk Management by : Alexander Eydeland

Download or read book Energy and Power Risk Management written by Alexander Eydeland and published by John Wiley & Sons. This book was released on 2003-02-03 with total page 506 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Energy and Power Risk Management "Energy and Power Risk Management identifies and addresses the key issues in the development of the turbulent energy industry and the challenges it poses to market players. An insightful and far-reaching book written by two renowned professionals." -Helyette Geman, Professor of Finance University Paris Dauphine and ESSEC "The most up-to-date and comprehensive book on managing energy price risk in the natural gas and power markets. An absolute imperative for energy traders and energy risk management professionals." -Vincent Kaminski, Managing Director Citadel Investment Group LLC "Eydeland and Wolyniec's work does an excellent job of outlining the methods needed to measure and manage risk in the volatile energy market." -Gerald G. Fleming, Vice President, Head of East Power Trading, TXU Energy Trading "This book combines academic rigor with real-world practicality. It is a must-read for anyone in energy risk management or asset valuation." -Ron Erd, Senior Vice President American Electric Power

Magic Numbers for Bonds and Derivatives

Author : Peter Temple
Publisher : John Wiley & Sons (Asia) Pte. Limited
ISBN 13 :
Total Pages : 220 pages
Book Rating : 4.0/5 ( download)

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Book Synopsis Magic Numbers for Bonds and Derivatives by : Peter Temple

Download or read book Magic Numbers for Bonds and Derivatives written by Peter Temple and published by John Wiley & Sons (Asia) Pte. Limited. This book was released on 2005 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt: The third book in the top-selling Magic Numbers series clarifies the key concepts and formulas of finance Magic Numbers for Bonds and Derivatives takes difficult financial concepts and breaks them down into easily understandable formulas that can be readily applied by finance professionals and individual investors. It examines key ratios and concepts for assessing bond investments from conventional to index-linked bonds, along with commonly used derivatives including futures, options, warrants, and convertibles. Ratios and concepts are described in detail, with guidelines on where to find the data needed to actually calculate them. The author includes explanations of compounding and discounting, internal rates of return, accrued interest, yield curves and spreads, duration, convexity, default rates, and more.