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Discretely Monitored First Passage Problems And Barrier Options
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Book Synopsis Discretely Monitored First Passage Problems and Barrier Options by : Lingfei Li
Download or read book Discretely Monitored First Passage Problems and Barrier Options written by Lingfei Li and published by . This book was released on 2014 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops an eigenfunction expansion approach to solve discretely monitored first passage time problems for a rich class of Markov processes, including diffusions and subordinate diffusions with jumps, whose transition or Feynman-Kac semigroups possess eigenfunction expansions in L2 spaces. Many processes important in finance are in this class, including OU, CIR, (JD)CEV diffusions and their subordinate versions with jumps. The method represents the solution to a discretely monitored first passage problem in the form of an eigenfunction expansion with expansion coefficients satisfying an explicitly given recursion. A range of financial applications is given, drawn from across equity, credit, commodity, and interest rate markets. Numerical examples demonstrate that even in the case of frequent barrier monitoring, such as daily, approximating discrete first passage time problems with continuous solutions may result in unacceptably large errors in financial applications. This highlights the relevance of the method to financial applications.
Book Synopsis Mathematical Models of Financial Derivatives by : Yue-Kuen Kwok
Download or read book Mathematical Models of Financial Derivatives written by Yue-Kuen Kwok and published by Springer Science & Business Media. This book was released on 2008-07-10 with total page 541 pages. Available in PDF, EPUB and Kindle. Book excerpt: This second edition, now featuring new material, focuses on the valuation principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are analysed, emphasising aspects of pricing, hedging and practical usage. This second edition features additional emphasis on the discussion of Ito calculus and Girsanovs Theorem, and the risk-neutral measure and equivalent martingale pricing approach. A new chapter on credit risk models and pricing of credit derivatives has been added. Up-to-date research results are provided by many useful exercises.
Book Synopsis Handbooks in Operations Research and Management Science: Financial Engineering by : John R. Birge
Download or read book Handbooks in Operations Research and Management Science: Financial Engineering written by John R. Birge and published by Elsevier. This book was released on 2007-11-16 with total page 1026 pages. Available in PDF, EPUB and Kindle. Book excerpt: The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to problems in the financial services industry. The goals of financial engineering research are to develop empirically realistic stochastic models describing dynamics of financial risk variables, such as asset prices, foreign exchange rates, and interest rates, and to develop analytical, computational and statistical methods and tools to implement the models and employ them to design and evaluate financial products and processes to manage risk and to meet financial goals. This handbook describes the latest developments in this rapidly evolving field in the areas of modeling and pricing financial derivatives, building models of interest rates and credit risk, pricing and hedging in incomplete markets, risk management, and portfolio optimization. Leading researchers in each of these areas provide their perspective on the state of the art in terms of analysis, computation, and practical relevance. The authors describe essential results to date, fundamental methods and tools, as well as new views of the existing literature, opportunities, and challenges for future research.
Download or read book The Journal of Derivatives written by and published by . This book was released on 2002 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Mathematical Control Theory and Finance by : Andrey Sarychev
Download or read book Mathematical Control Theory and Finance written by Andrey Sarychev and published by Springer Science & Business Media. This book was released on 2009-03-31 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt: Control theory provides a large set of theoretical and computational tools with applications in a wide range of ?elds, running from ”pure” branches of mathematics, like geometry, to more applied areas where the objective is to ?nd solutions to ”real life” problems, as is the case in robotics, control of industrial processes or ?nance. The ”high tech” character of modern business has increased the need for advanced methods. These rely heavily on mathematical techniques and seem indispensable for competitiveness of modern enterprises. It became essential for the ?nancial analyst to possess a high level of mathematical skills. C- versely, the complex challenges posed by the problems and models relevant to ?nance have, for a long time, been an important source of new research topics for mathematicians. The use of techniques from stochastic optimal control constitutes a well established and important branch of mathematical ?nance. Up to now, other branches of control theory have found comparatively less application in ?n- cial problems. To some extent, deterministic and stochastic control theories developed as di?erent branches of mathematics. However, there are many points of contact between them and in recent years the exchange of ideas between these ?elds has intensi?ed. Some concepts from stochastic calculus (e.g., rough paths) havedrawntheattentionofthedeterministiccontroltheorycommunity.Also, some ideas and tools usual in deterministic control (e.g., geometric, algebraic or functional-analytic methods) can be successfully applied to stochastic c- trol.
Author :Institute for Operations Research and the Management Sciences. National Meeting Publisher : ISBN 13 : Total Pages :480 pages Book Rating :4.E/5 ( download)
Book Synopsis INFORMS Annual Meeting by : Institute for Operations Research and the Management Sciences. National Meeting
Download or read book INFORMS Annual Meeting written by Institute for Operations Research and the Management Sciences. National Meeting and published by . This book was released on 2008 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :American Bar Association. House of Delegates Publisher :American Bar Association ISBN 13 :9781590318737 Total Pages :216 pages Book Rating :4.3/5 (187 download)
Book Synopsis Model Rules of Professional Conduct by : American Bar Association. House of Delegates
Download or read book Model Rules of Professional Conduct written by American Bar Association. House of Delegates and published by American Bar Association. This book was released on 2007 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Model Rules of Professional Conduct provides an up-to-date resource for information on legal ethics. Federal, state and local courts in all jurisdictions look to the Rules for guidance in solving lawyer malpractice cases, disciplinary actions, disqualification issues, sanctions questions and much more. In this volume, black-letter Rules of Professional Conduct are followed by numbered Comments that explain each Rule's purpose and provide suggestions for its practical application. The Rules will help you identify proper conduct in a variety of given situations, review those instances where discretionary action is possible, and define the nature of the relationship between you and your clients, colleagues and the courts.
Book Synopsis The Sense of an Ending by : Julian Barnes
Download or read book The Sense of an Ending written by Julian Barnes and published by Vintage. This book was released on 2011-10-05 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt: BOOKER PRIZE WINNER • NATIONAL BESTSELLER • A novel that follows a middle-aged man as he contends with a past he never much thought about—until his closest childhood friends return with a vengeance: one of them from the grave, another maddeningly present. A novel so compelling that it begs to be read in a single setting, The Sense of an Ending has the psychological and emotional depth and sophistication of Henry James at his best, and is a stunning achievement in Julian Barnes's oeuvre. Tony Webster thought he left his past behind as he built a life for himself, and his career has provided him with a secure retirement and an amicable relationship with his ex-wife and daughter, who now has a family of her own. But when he is presented with a mysterious legacy, he is forced to revise his estimation of his own nature and place in the world.
Book Synopsis Monte Carlo Simulation and Finance by : Don L. McLeish
Download or read book Monte Carlo Simulation and Finance written by Don L. McLeish and published by John Wiley & Sons. This book was released on 2011-09-13 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: Monte Carlo methods have been used for decades in physics, engineering, statistics, and other fields. Monte Carlo Simulation and Finance explains the nuts and bolts of this essential technique used to value derivatives and other securities. Author and educator Don McLeish examines this fundamental process, and discusses important issues, including specialized problems in finance that Monte Carlo and Quasi-Monte Carlo methods can help solve and the different ways Monte Carlo methods can be improved upon. This state-of-the-art book on Monte Carlo simulation methods is ideal for finance professionals and students. Order your copy today.
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
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
Book Synopsis FX Options and Structured Products by : Uwe Wystup
Download or read book FX Options and Structured Products written by Uwe Wystup and published by John Wiley & Sons. This book was released on 2017-06-30 with total page 649 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advanced Guidance to Excelling in the FX Market Once you have a textbook understanding of money market and foreign exchange products, turn to FX Options and Structured Products, Second Edition, for the beyond-vanilla options strategies and traded deals proven superior in today’s post-credit crisis trading environment. With the thoroughness and balance of theory and practice only Uwe Wystup can deliver, this fully revised edition offers authoritative solutions for the real world in an easy-to-access format. See how specific products actually work through detailed case studies featuring clear examples of FX options, common structures and custom solutions. This complete resource is both a wellspring of ideas and a hands-on guide to structuring and executing your own strategies. Distinguish yourself with a valued skillset by: Working through practical and thought-provoking challenges in more than six dozen exercises, all with complete solutions in a companion volume Gaining a working knowledge of the latest, most popular products, including accumulators, kikos, target forwards and more Getting close to the everyday realities of the FX derivatives market through new, illuminating case studies for corporates, municipalities and private banking FX Options and Structured Products, Second Edition is your go-to road map to the exotic options in FX derivatives.
Book Synopsis The Big Book of Conflict Resolution Games: Quick, Effective Activities to Improve Communication, Trust and Collaboration by : Mary Scannell
Download or read book The Big Book of Conflict Resolution Games: Quick, Effective Activities to Improve Communication, Trust and Collaboration written by Mary Scannell and published by McGraw Hill Professional. This book was released on 2010-05-28 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt: Make workplace conflict resolution a game that EVERYBODY wins! Recent studies show that typical managers devote more than a quarter of their time to resolving coworker disputes. The Big Book of Conflict-Resolution Games offers a wealth of activities and exercises for groups of any size that let you manage your business (instead of managing personalities). Part of the acclaimed, bestselling Big Books series, this guide offers step-by-step directions and customizable tools that empower you to heal rifts arising from ineffective communication, cultural/personality clashes, and other specific problem areas—before they affect your organization's bottom line. Let The Big Book of Conflict-Resolution Games help you to: Build trust Foster morale Improve processes Overcome diversity issues And more Dozens of physical and verbal activities help create a safe environment for teams to explore several common forms of conflict—and their resolution. Inexpensive, easy-to-implement, and proved effective at Fortune 500 corporations and mom-and-pop businesses alike, the exercises in The Big Book of Conflict-Resolution Games delivers everything you need to make your workplace more efficient, effective, and engaged.
Book Synopsis Non-Gaussian Merton-Black-Scholes Theory by : Svetlana I. Boyarchenko
Download or read book Non-Gaussian Merton-Black-Scholes Theory written by Svetlana I. Boyarchenko and published by World Scientific. This book was released on 2002 with total page 421 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces an analytically tractable and computationally effective class of non-Gaussian models for shocks (regular Lvy processes of the exponential type) and related analytical methods similar to the initial Merton-Black-Scholes approach, which the authors call the Merton-Black-Scholes theory.The authors have chosen applications interesting for financial engineers and specialists in financial economics, real options, and partial differential equations (especially pseudodifferential operators); specialists in stochastic processes will benefit from the use of the pseudodifferential operators technique in non-Gaussian situations. The authors also consider discrete time analogues of perpetual American options and the problem of the optimal choice of capital, and outline several possible directions in which the methods of the book can be developed further.Taking account of a diverse audience, the book has been written in such a way that it is simple at the beginning and more technical in further chapters, so that it is accessible to graduate students in relevant areas and mathematicians without prior knowledge of finance or economics.
Book Synopsis How I Became a Quant by : Richard R. Lindsey
Download or read book How I Became a Quant written by Richard R. Lindsey and published by John Wiley & Sons. This book was released on 2011-01-11 with total page 406 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for How I Became a Quant "Led by two top-notch quants, Richard R. Lindsey and Barry Schachter, How I Became a Quant details the quirky world of quantitative analysis through stories told by some of today's most successful quants. For anyone who might have thought otherwise, there are engaging personalities behind all that number crunching!" --Ira Kawaller, Kawaller & Co. and the Kawaller Fund "A fun and fascinating read. This book tells the story of how academics, physicists, mathematicians, and other scientists became professional investors managing billions." --David A. Krell, President and CEO, International Securities Exchange "How I Became a Quant should be must reading for all students with a quantitative aptitude. It provides fascinating examples of the dynamic career opportunities potentially open to anyone with the skills and passion for quantitative analysis." --Roy D. Henriksson, Chief Investment Officer, Advanced Portfolio Management "Quants"--those who design and implement mathematical models for the pricing of derivatives, assessment of risk, or prediction of market movements--are the backbone of today's investment industry. As the greater volatility of current financial markets has driven investors to seek shelter from increasing uncertainty, the quant revolution has given people the opportunity to avoid unwanted financial risk by literally trading it away, or more specifically, paying someone else to take on the unwanted risk. How I Became a Quant reveals the faces behind the quant revolution, offering you?the?chance to learn firsthand what it's like to be a?quant today. In this fascinating collection of Wall Street war stories, more than two dozen quants detail their roots, roles, and contributions, explaining what they do and how they do it, as well as outlining the sometimes unexpected paths they have followed from the halls of academia to the front lines of an investment revolution.
Download or read book Blindsight written by Peter Watts and published by Macmillan. This book was released on 2006-10-03 with total page 388 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hugo and Shirley Jackson award-winning Peter Watts stands on the cutting edge of hard SF with his acclaimed novel, Blindsight Two months since the stars fell... Two months of silence, while a world held its breath. Now some half-derelict space probe, sparking fitfully past Neptune's orbit, hears a whisper from the edge of the solar system: a faint signal sweeping the cosmos like a lighthouse beam. Whatever's out there isn't talking to us. It's talking to some distant star, perhaps. Or perhaps to something closer, something en route. So who do you send to force introductions with unknown and unknowable alien intellect that doesn't wish to be met? You send a linguist with multiple personalities, her brain surgically partitioned into separate, sentient processing cores. You send a biologist so radically interfaced with machinery that he sees x-rays and tastes ultrasound. You send a pacifist warrior in the faint hope she won't be needed. You send a monster to command them all, an extinct hominid predator once called vampire, recalled from the grave with the voodoo of recombinant genetics and the blood of sociopaths. And you send a synthesist—an informational topologist with half his mind gone—as an interface between here and there. Pray they can be trusted with the fate of a world. They may be more alien than the thing they've been sent to find. At the Publisher's request, this title is being sold without Digital Rights Management Software (DRM) applied.
Download or read book In the Distance written by Hernan Diaz and published by Penguin. This book was released on 2024-03-05 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first novel by the Pulitzer Prize–winning author of Trust, an exquisite and blisteringly intelligent story of a young Swedish boy, separated from his brother, who becomes a legend and an outlaw A young Swedish immigrant finds himself penniless and alone in California. The boy travels east in search of his brother, moving on foot against the great current of emigrants pushing west. Driven back again and again, he meets naturalists, criminals, religious fanatics, swindlers, Indians, and lawmen, and his exploits turn him into a legend. Diaz defies the conventions of historical fiction and genre, offering a probing look at the stereotypes that populate our past and a portrait of radical foreignness.
