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Do Transaction Costs Affect The Optimal Exercise Strategy For American Put Options
Download Do Transaction Costs Affect The Optimal Exercise Strategy For American Put Options full books in PDF, epub, and Kindle. Read online Do Transaction Costs Affect The Optimal Exercise Strategy For American Put Options ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Download or read book Options Markets written by John C. Cox and published by Prentice Hall. This book was released on 1985 with total page 518 pages. Available in PDF, EPUB and Kindle. Book excerpt: Includes the first published detailed description of option exchange operations, the first published treatment using only elementary mathematics and the first step-by-step procedure for implementing the Black-Scholes formula in actual trading.
Book Synopsis Trading and Pricing Financial Derivatives by : Patrick Boyle
Download or read book Trading and Pricing Financial Derivatives written by Patrick Boyle and published by Walter de Gruyter GmbH & Co KG. This book was released on 2018-12-17 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: Trading and Pricing Financial Derivatives is an introduction to the world of futures, options, and swaps. Investors who are interested in deepening their knowledge of derivatives of all kinds will find this book to be an invaluable resource. The book is also useful in a very applied course on derivative trading. The authors delve into the history of options pricing; simple strategies of options trading; binomial tree valuation; Black-Scholes option valuation; option sensitivities; risk management and interest rate swaps in this immensely informative yet easy to comprehend work. Using their vast working experience in the financial markets at international investment banks and hedge funds since the late 1990s and teaching derivatives and investment courses at the Master's level, Patrick Boyle and Jesse McDougall put forth their knowledge and expertise in clearly explained concepts. This book does not presuppose advanced mathematical knowledge, though it is presented for completeness for those that may benefit from it, and is designed for a general audience, suitable for beginners through to those with intermediate knowledge of the subject.
Book Synopsis Dynamic Hedging by : Nassim Nicholas Taleb
Download or read book Dynamic Hedging written by Nassim Nicholas Taleb and published by John Wiley & Sons. This book was released on 1997-01-14 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt: Destined to become a market classic, Dynamic Hedging is the only practical reference in exotic options hedgingand arbitrage for professional traders and money managers Watch the professionals. From central banks to brokerages to multinationals, institutional investors are flocking to a new generation of exotic and complex options contracts and derivatives. But the promise of ever larger profits also creates the potential for catastrophic trading losses. Now more than ever, the key to trading derivatives lies in implementing preventive risk management techniques that plan for and avoid these appalling downturns. Unlike other books that offer risk management for corporate treasurers, Dynamic Hedging targets the real-world needs of professional traders and money managers. Written by a leading options trader and derivatives risk advisor to global banks and exchanges, this book provides a practical, real-world methodology for monitoring and managing all the risks associated with portfolio management. Nassim Nicholas Taleb is the founder of Empirica Capital LLC, a hedge fund operator, and a fellow at the Courant Institute of Mathematical Sciences of New York University. He has held a variety of senior derivative trading positions in New York and London and worked as an independent floor trader in Chicago. Dr. Taleb was inducted in February 2001 in the Derivatives Strategy Hall of Fame. He received an MBA from the Wharton School and a Ph.D. from University Paris-Dauphine.
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 2004 with total page 1038 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Lifecycle Investing written by Ian Ayres and published by ReadHowYouWant.com. This book was released on 2010-05 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: Diversification provides a well-known way of getting something close to a free lunch: by spreading money across different kinds of investments, investors can earn the same return with lower risk (or a much higher return for the same amount of risk). This strategy, introduced nearly fifty years ago, led to such strategies as index funds. What if we were all missing out on another free lunch that’s right under our noses? InLifecycle Investing, Barry Nalebuff and Ian Ayres-two of the most innovative thinkers in business, law, and economics-have developed tools that will allow nearly any investor to diversify their portfolios over time. By using leveraging when young-a controversial idea that sparked hate mail when the authors first floated it in the pages ofForbes-investors of all stripes, from those just starting to plan to those getting ready to retire, can substantially reduce overall risk while improving their returns. InLifecycle Investing, readers will learn How to figure out the level of exposure and leverage that’s right foryou How the Lifecycle Investing strategy would have performed in the historical market Why it will work even if everyone does it Whennotto adopt the Lifecycle Investing strategy Clearly written and backed by rigorous research,Lifecycle Investingpresents a simple but radical idea that will shake up how we think about retirement investing even as it provides a healthier nest egg in a nicely feathered nest.
Book Synopsis Real Options Theory by : Jeffrey J. Reuer
Download or read book Real Options Theory written by Jeffrey J. Reuer and published by Emerald Group Publishing. This book was released on 2007-07-05 with total page 520 pages. Available in PDF, EPUB and Kindle. Book excerpt: Examines the ways in which real options theory can contribute to strategic management. This volume offers conceptual pieces that trace out pathways for the theory to move forward and presents research on the implications of real options for strategic investment, organization, and firm performance.
Book Synopsis Official Foreign Exchange Intervention by : Mr. Jorge Iván Canales Kriljenko
Download or read book Official Foreign Exchange Intervention written by Mr. Jorge Iván Canales Kriljenko and published by International Monetary Fund. This book was released on 2006-03-02 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite increasing exchange rate flexibility, central banks in emerging markets still intervene in their foreign exchange markets for several reasons. In doing so, they face many operational questions, including on the degree of transparency and the choice of markets and counterparties. This paper identifies elements of best practice in official foreign exchange intervention, presents survey evidence on intervention practices in developing countries, and assesses the effectiveness of intervention in Mexico and Turkey.
Book Synopsis Statistics of Financial Markets by : Jürgen Franke
Download or read book Statistics of Financial Markets written by Jürgen Franke and published by Springer Science & Business Media. This book was released on 2004 with total page 454 pages. Available in PDF, EPUB and Kindle. Book excerpt: Extreme Value Theory (EVT), GARCH MODELS, Hypothesis Testing, Fitting Probability Distributions to Risk Factors and Portfolios.
Book Synopsis Real Options and Corporate Strategy by : Christian Berner
Download or read book Real Options and Corporate Strategy written by Christian Berner and published by diplom.de. This book was released on 2000-03-01 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inhaltsangabe:Abstract: Every investment, for example new facilities, new products, or strategic partnerships is driven by the pursuit of creating values . Major changes are going on in the valuation of investments. Although the classic shareholder value concept is still a valuable source for identification of value drivers of strategic management, it needs to be extended in terms of its ability to evaluate long-term investment choices. Far too long capital budgeting has only been considered under aspects of its contribution to an overall added economic value rather than focusing on a firm s resources. Recent research emphasized the strategic value of resources leading to formulate the approach of a resource-based view of a firm s activities. Usually management tries to capture future development with static methods of capital budgeting, i.e. future cash-flows are discounted with a fixed risk-adjusted discount rate. However, the finding of present values and capitalized values could produce pitfalls in investment decisions. Strategic investment decisions are often characterized by a wide range of possibilities to react flexibly to the changing business environment. This area of tolerance in investment decisions could not be captured with traditional instruments of investment evaluation. In the 1970s, the discounted-cash-flow analysis (DCF) emerged and proved its practicability. This method assumes a now or never approach in undertaking a project. Some authors suggest adding the theory of option prices to investment decisions, as in the 1970s and the 1980s developments in the valuation of capital-investment opportunities based on option pricing revolutionized capital budgeting. Option pricing allows adaptation and revision of future decisions in order to capture managerial flexibility and to finally capitalize on any possible future development. To incorporate these real options means to limit losses and offers a vital contribution to long-term corporate success, especially in those marketplaces characterized by uncertainty and rapid change. This method also explains the value of waiting for the initial project and considers its value in comparison to the opportunity costs of waiting. These costs are dictated by the behavior of competitors and loss of cash-flow streams from the project. Incorporating this method could possibly lead to a better understanding of the importance of resource allocation, the value of strategic investments and [...]
Book Synopsis Economic Foundations of Strategy by : Joseph T. Mahoney
Download or read book Economic Foundations of Strategy written by Joseph T. Mahoney and published by SAGE. This book was released on 2005 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: The theoretical foundations of management strategy are identified and outlined in this text. Five theories are considered in the light of questions about how organisations operate efficiently, cost minimization, wealth creation, individual self-interest, and continued growth.
Book Synopsis Transaction Cost Management by : Chihiro Suematsu
Download or read book Transaction Cost Management written by Chihiro Suematsu and published by Springer. This book was released on 2014-08-07 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: All organizations, institutions, business processes, markets and strategies have one aim in common: the reduction of transaction costs. This aim is pursued relentlessly in practice, and has been perceived to bring about drastic changes, especially in the recent global market and the cyber economy. This book analyzes and describes “transactions” as a model, on the basis of which organizations, institutions and business processes can be appropriately shaped. It tracks transaction costs to enable a scientific approach instead of a widely used “state-of-the-art” approach, working to bridge the gap between theory and practice. This open access book analyzes and describes “transactions” as a model...
Book Synopsis Bond and Money Markets: Strategy, Trading, Analysis by : Moorad Choudhry
Download or read book Bond and Money Markets: Strategy, Trading, Analysis written by Moorad Choudhry and published by Elsevier. This book was released on 2001-05-03 with total page 1152 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bond and Money Markets: Strategy, Trading, Analysis explains and analyses all aspects of the bond and money markets and is both an introduction for newcomers and an advanced text for experienced market practitioners and graduate students. Those with experience of the industry at all levels will find the book invaluable as a standard reference work.The book features coverage of: - Government and Corporate bonds, Eurobonds, callable bonds, convertibles - Asset-backed bonds including mortgages and CDOs - Derivative instruments including bond futures, swaps, options, structured products, and option valuation models - Interest-rate risk, duration analysis, convexity, and the convexity bias - The money markets, repo markets, basis trading, and asset / liability management - Term structure models, estimating and interpreting the yield curve - Portfolio management, including total return framework, portfolio strategies, and constructing bond indices and valuable insight into: - Trading and hedging strategy - Charting and technical analysis - The latest market developments, such as value-at-risk, and credit derivatives - Emerging markets and the benefits of international investment The Bond and Money Markets: Strategy, Trading, Analysis is aimed at a wide readership including bond salespersons, traders, corporate financiers and graduate trainees, as well as risk managers, operations professionals and business analysts. Other market participants including fund managers, corporate treasurers, management consultants, regulators and financial journalists will also find the content useful. - This book is virtually a stand alone reference book on interest rate swaps, the money markets, financial market mathematics, interest-rate futures and technical analysis - Includes some introductory coverage of very specialised topics (for which one requires specialised texts) such as VaR, Asset & liability management, credit derivatives - Combines accessible style with advanced level topics, plus review of latest research
Book Synopsis Transaction Costs, Institutions, and Economic Performance by : Douglass Cecil North
Download or read book Transaction Costs, Institutions, and Economic Performance written by Douglass Cecil North and published by Ics Press. This book was released on 1992 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Paradox of Choice by : Barry Schwartz
Download or read book The Paradox of Choice written by Barry Schwartz and published by Harper Collins. This book was released on 2009-10-13 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: Whether we're buying a pair of jeans, ordering a cup of coffee, selecting a long-distance carrier, applying to college, choosing a doctor, or setting up a 401(k), everyday decisions—both big and small—have become increasingly complex due to the overwhelming abundance of choice with which we are presented. As Americans, we assume that more choice means better options and greater satisfaction. But beware of excessive choice: choice overload can make you question the decisions you make before you even make them, it can set you up for unrealistically high expectations, and it can make you blame yourself for any and all failures. In the long run, this can lead to decision-making paralysis, anxiety, and perpetual stress. And, in a culture that tells us that there is no excuse for falling short of perfection when your options are limitless, too much choice can lead to clinical depression. In The Paradox of Choice, Barry Schwartz explains at what point choice—the hallmark of individual freedom and self-determination that we so cherish—becomes detrimental to our psychological and emotional well-being. In accessible, engaging, and anecdotal prose, Schwartz shows how the dramatic explosion in choice—from the mundane to the profound challenges of balancing career, family, and individual needs—has paradoxically become a problem instead of a solution. Schwartz also shows how our obsession with choice encourages us to seek that which makes us feel worse. By synthesizing current research in the social sciences, Schwartz makes the counter intuitive case that eliminating choices can greatly reduce the stress, anxiety, and busyness of our lives. He offers eleven practical steps on how to limit choices to a manageable number, have the discipline to focus on those that are important and ignore the rest, and ultimately derive greater satisfaction from the choices you have to make.
Book Synopsis Essential Option Strategies by : J. J. Kinahan
Download or read book Essential Option Strategies written by J. J. Kinahan and published by John Wiley & Sons. This book was released on 2016-09-07 with total page 299 pages. Available in PDF, EPUB and Kindle. Book excerpt: Learn the ins-and-outs of options trading with clear, practical guidance Essential Option Strategies is an introductory guide to options trading, designed to help new options traders better understand the market and the potential opportunities that exist. This book is designed to bring you up to speed with current practices and help you implement your own option trading strategies. You'll create a plan, track indicators, and understand underlying instruments, then apply that central investing knowledge directly to the options market. The discussion on pricing determinants and probabilities uses an intuitive approach to complex calculations, providing clear examples with no advanced math required, and extensive explanation of spreads, butterflies, and condors brings advanced strategies down to earth. Easy-reference appendices clarify the Greek terms and technical analysis charts, while focused discussion and expert insight throughout provide a highly informative crash course on options trading. Options trading has undergone a rapid evolution beyond stocks and commodities into asset classes including fixed-income, precious metals, energy, and more. This book helps you build a solid foundation in the fundamentals, giving you a knowledge base that applies no matter how the instruments change. This book is designed to help you: Understand the options market inside and out Avoid common mistakes Learn some basic positions, and trades Read charts and interpret probabilities Once the domain of the elites, the options market has been thrown wide open thanks to real-time price quotes, through brokerages, and the free flow of information online. The process of buying and selling options contracts is faster and more efficient than ever, and Wall Street is facing stiff competition from independent analysts and financial websites. As much as the market has changed, the fundamentals are the same—and Essential Option Strategies aims to provide expert guidance throughout the learning process.
Book Synopsis Financial Derivatives Pricing: Selected Works Of Robert Jarrow by : Robert A Jarrow
Download or read book Financial Derivatives Pricing: Selected Works Of Robert Jarrow written by Robert A Jarrow and published by World Scientific. This book was released on 2008-10-08 with total page 609 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk.Part II relates to pricing derivatives under stochastic interest rates. Included is the paper introducing the famous Heath-Jarrow-Morton (HJM) model, together with papers on topics like the characterization of the difference between forward and futures prices, the forward price martingale measure, and applications of the HJM model to foreign currencies and commodities.Part III deals with the pricing of financial derivatives considering both stochastic interest rates and the likelihood of default. Papers cover the reduced form credit risk model, in particular the original Jarrow and Turnbull model, the Markov model for credit rating transitions, counterparty risk, and diversifiable default risk.
Book Synopsis Handbook in Monte Carlo Simulation by : Paolo Brandimarte
Download or read book Handbook in Monte Carlo Simulation written by Paolo Brandimarte and published by John Wiley & Sons. This book was released on 2014-06-20 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt: An accessible treatment of Monte Carlo methods, techniques, and applications in the field of finance and economics Providing readers with an in-depth and comprehensive guide, the Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics presents a timely account of the applicationsof Monte Carlo methods in financial engineering and economics. Written by an international leading expert in thefield, the handbook illustrates the challenges confronting present-day financial practitioners and provides various applicationsof Monte Carlo techniques to answer these issues. The book is organized into five parts: introduction andmotivation; input analysis, modeling, and estimation; random variate and sample path generation; output analysisand variance reduction; and applications ranging from option pricing and risk management to optimization. The Handbook in Monte Carlo Simulation features: An introductory section for basic material on stochastic modeling and estimation aimed at readers who may need a summary or review of the essentials Carefully crafted examples in order to spot potential pitfalls and drawbacks of each approach An accessible treatment of advanced topics such as low-discrepancy sequences, stochastic optimization, dynamic programming, risk measures, and Markov chain Monte Carlo methods Numerous pieces of R code used to illustrate fundamental ideas in concrete terms and encourage experimentation The Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics is a complete reference for practitioners in the fields of finance, business, applied statistics, econometrics, and engineering, as well as a supplement for MBA and graduate-level courses on Monte Carlo methods and simulation.
