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Discrete Time Bond And Options Pricing For Jump Diffusion Processes
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Book Synopsis Discrete-time Bond and Option Pricing for Jump-diffusion Processes by : Sanjiv R. Das
Download or read book Discrete-time Bond and Option Pricing for Jump-diffusion Processes written by Sanjiv R. Das and published by . This book was released on 1994 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a methodology for pricing American type interest rate contingent claims for jump-diffusion processes. The method enhances the standard finite-differencing approach to deal with partial differential-difference equations derived in a jump-diffusion world. The numerical stability and convergence of the scheme is also proved. Numerical illustrations compare jump-diffusion and pure-diffusion models. Whereas the existence of jumps affects call options on bonds very much like those on stocks, this is not the case for puts which are affected by the asymmetric convexity of the bond pricing function. Early exercise behavior is also analyzed.
Book Synopsis Discrete-time Bond and Option Pricing for Jump-diffusion Processes by : Sanjiv R. Das
Download or read book Discrete-time Bond and Option Pricing for Jump-diffusion Processes written by Sanjiv R. Das and published by . This book was released on 1994 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a methodology for pricing American type interest rate contingent claims for jump-diffusion processes. The method enhances the standard finite-differencing approach to deal with partial differential-difference equations derived in a jump-diffusion world. The numerical stability and convergence of the scheme is also proved. Numerical illustrations compare jump-diffusion and pure-diffusion models. Whereas the existence of jumps affects call options on bonds very much like those on stocks, this is not the case for puts which are affected by the asymmetric convexity of the bond pricing function. Early exercise behavior is also analyzed.
Book Synopsis Discrete-Time Bond and Options Pricing for Jump-Diffusion Processes by : Sanjiv Ranjan Das
Download or read book Discrete-Time Bond and Options Pricing for Jump-Diffusion Processes written by Sanjiv Ranjan Das and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a methodology for pricing American type interest rate contingent claims for jump-diffusion processes. The method enhances the standard finite- differencing approach to deal with partial differential- difference equations derived in a jump-diffusion world. The numerical stability and convergence of the scheme is also proved. Numerical illustrations compare jump-diffusion and pure-diffusion models. Whereas the existence of jumps affects call options on bonds very much like those on stocks, this is not the case for puts which are affected by the asymmetric convexity of the bond pricing functions. Early exercise behavior is also analyzed.
Book Synopsis Pricing Interest Rate Derivatives with Arbitrary Skewness and Kurtosis by : Sanjiv R. Das
Download or read book Pricing Interest Rate Derivatives with Arbitrary Skewness and Kurtosis written by Sanjiv R. Das and published by . This book was released on 1995 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: Term structure models employing jump-diffusion processes may be used to accommodate the observed skewness and kurtosis of interest rates. This paper extends the discrete-time, pure-diffusion version of the Heath-Jarrow-Morton model to the pricing of American bond options when the underlying term structure of interest rates follows a jump-diffusion process. The jump-diffusion process is specified using a hexanomial tree (six nodes emanating from each node), and the tree is shown to be recombining. This feature of the tree ensures path-independence. The scheme is parsimonious, accurate and convergent. A fairly general class of time-dependent volatilities preserving path independence and providing mean revision is shown to be attainable even under this enhanced jump-diffusion framework.
Book Synopsis Pricing Interest Rate Derivatives with Arbitrary Skewness and Kurtosis by : Sanjiv R. Das
Download or read book Pricing Interest Rate Derivatives with Arbitrary Skewness and Kurtosis written by Sanjiv R. Das and published by . This book was released on 1995 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: Term structure models employing jump-diffusion processes may be used to accommodate the observed skewness and kurtosis of interest rates. This paper extends the discrete-time, pure-diffusion version of the Heath-Jarrow-Morton model to the pricing of American bond options when the underlying term structure of interest rates follows a jump-diffusion process. The jump-diffusion process is specified using a hexanomial tree (six nodes emanating from each node), and the tree is shown to be recombining. This feature of the tree ensures path-independence. The scheme is parsimonious, accurate and convergent. A fairly general class of time-dependent volatilities preserving path independence and providing mean revision is shown to be attainable even under this enhanced jump-diffusion framework.
Book Synopsis Advanced Fixed-Income Valuation Tools by : Narasimhan Jegadeesh
Download or read book Advanced Fixed-Income Valuation Tools written by Narasimhan Jegadeesh and published by John Wiley & Sons. This book was released on 1999-12-28 with total page 438 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presenting the most advanced thinking on the topic, this book covers the latest valuation models and techniques. It addresses essential topics such as the subtleties of fixed-income mathematics, new approaches to modeling term structures, and the applications of fixed-income valuation on credit risk, mortgages, munis, and indexed bonds.
Book Synopsis A Time Series Approach to Option Pricing by : Christophe Chorro
Download or read book A Time Series Approach to Option Pricing written by Christophe Chorro and published by Springer. This book was released on 2014-12-04 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt: The current world financial scene indicates at an intertwined and interdependent relationship between financial market activity and economic health. This book explains how the economic messages delivered by the dynamic evolution of financial asset returns are strongly related to option prices. The Black Scholes framework is introduced and by underlining its shortcomings, an alternative approach is presented that has emerged over the past ten years of academic research, an approach that is much more grounded on a realistic statistical analysis of data rather than on ad hoc tractable continuous time option pricing models. The reader then learns what it takes to understand and implement these option pricing models based on time series analysis in a self-contained way. The discussion covers modeling choices available to the quantitative analyst, as well as the tools to decide upon a particular model based on the historical datasets of financial returns. The reader is then guided into numerical deduction of option prices from these models and illustrations with real examples are used to reflect the accuracy of the approach using datasets of options on equity indices.
Book Synopsis Dynamic Asset Pricing Theory by : Darrell Duffie
Download or read book Dynamic Asset Pricing Theory written by Darrell Duffie and published by Princeton University Press. This book was released on 2010-01-27 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, single-agent optimality, and equilibrium. These results are unified with two key concepts, state prices and martingales. Technicalities are given relatively little emphasis, so as to draw connections between these concepts and to make plain the similarities between discrete and continuous-time models. Readers will be particularly intrigued by this latest edition's most significant new feature: a chapter on corporate securities that offers alternative approaches to the valuation of corporate debt. Also, while much of the continuous-time portion of the theory is based on Brownian motion, this third edition introduces jumps--for example, those associated with Poisson arrivals--in order to accommodate surprise events such as bond defaults. Applications include term-structure models, derivative valuation, and hedging methods. Numerical methods covered include Monte Carlo simulation and finite-difference solutions for partial differential equations. Each chapter provides extensive problem exercises and notes to the literature. A system of appendixes reviews the necessary mathematical concepts. And references have been updated throughout. With this new edition, Dynamic Asset Pricing Theory remains at the head of the field.
Book Synopsis Handbook of the Economics of Finance by : G. Constantinides
Download or read book Handbook of the Economics of Finance written by G. Constantinides and published by Elsevier. This book was released on 2003-11-04 with total page 698 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volume 1B covers the economics of financial markets: the saving and investment decisions; the valuation of equities, derivatives, and fixed income securities; and market microstructure.
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.
Book Synopsis The Derivatives Sourcebook by : Terence Lim
Download or read book The Derivatives Sourcebook written by Terence Lim and published by Now Publishers Inc. This book was released on 2006 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Derivatives Sourcebook is a citation study and classification system that organizes the many strands of the derivatives literature and assigns each citation to a category. Over 1800 research articles are collected and organized into a simple web-based searchable database. We have also included the 1997 Nobel lectures of Robert Merton and Myron Scholes as a backdrop to this literature.
Book Synopsis An Efficient Generalized Discrete-time Approach to Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model by : Sanjiv Ranjan Das
Download or read book An Efficient Generalized Discrete-time Approach to Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model written by Sanjiv Ranjan Das and published by . This book was released on 1997 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: Term structure models employing Poisson-Gaussian processes may be used to accommodate the observed skewness and kurtosis of interest rates. This paper extends the discrete-time, pure-Gaussian version of the Heath-Jarrow-Morton model to the pricing" of American-type bond options when the underlying term structure of interest rates follows a Poisson-Gaussian process. The Poisson-Gaussian process is specified using a hexanomial tree (six nodes emanating from each node), and the tree is shown to be recombining. The scheme is parsimonious and convergent. This model extends the class of HJM models by (i) introducing a more generalized volatility specification than has been used so far, and (ii) inducting jumps, yet retaining lattice recombination, thus making the model useful for practical applications
Book Synopsis Financial Modelling with Jump Processes by : Peter Tankov
Download or read book Financial Modelling with Jump Processes written by Peter Tankov and published by CRC Press. This book was released on 2003-12-30 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic
Author :Gunter H. Meyer Publisher :World Scientific Publishing Company Incorporated ISBN 13 :9789814619677 Total Pages :280 pages Book Rating :4.6/5 (196 download)
Book Synopsis The Time-Discrete Method of Lines for Options and Bonds by : Gunter H. Meyer
Download or read book The Time-Discrete Method of Lines for Options and Bonds written by Gunter H. Meyer and published by World Scientific Publishing Company Incorporated. This book was released on 2014-11-27 with total page 280 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.
Book Synopsis A Discrete Model for Evaluating Option Values with Jump Diffusion Processes by : Kaushik I. Amin
Download or read book A Discrete Model for Evaluating Option Values with Jump Diffusion Processes written by Kaushik I. Amin and published by . This book was released on 1991 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financial Derivatives by : Jamil Baz
Download or read book Financial Derivatives written by Jamil Baz and published by Cambridge University Press. This book was released on 2004-01-12 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: Publisher Description
Book Synopsis Handbook of Computational Economics by : Karl Schmedders
Download or read book Handbook of Computational Economics written by Karl Schmedders and published by Newnes. This book was released on 2013-12-31 with total page 680 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Computational Economics summarizes recent advances in economic thought, revealing some of the potential offered by modern computational methods. With computational power increasing in hardware and algorithms, many economists are closing the gap between economic practice and the frontiers of computational mathematics. In their efforts to accelerate the incorporation of computational power into mainstream research, contributors to this volume update the improvements in algorithms that have sharpened econometric tools, solution methods for dynamic optimization and equilibrium models, and applications to public finance, macroeconomics, and auctions. They also cover the switch to massive parallelism in the creation of more powerful computers, with advances in the development of high-power and high-throughput computing. Much more can be done to expand the value of computational modeling in economics. In conjunction with volume one (1996) and volume two (2006), this volume offers a remarkable picture of the recent development of economics as a science as well as an exciting preview of its future potential. Samples different styles and approaches, reflecting the breadth of computational economics as practiced today Focuses on problems with few well-developed solutions in the literature of other disciplines Emphasizes the potential for increasing the value of computational modeling in economics
