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Essays On Portfolio Allocation And Derivatives Pricing With Levy Processes
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Book Synopsis Essays on Portfolio Allocation and Derivatives Pricing with Lévy Processes by : Kun Zhang (Researcher in finance)
Download or read book Essays on Portfolio Allocation and Derivatives Pricing with Lévy Processes written by Kun Zhang (Researcher in finance) and published by . This book was released on 2014 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Derivatives Pricing and Dynamic Asset Allocation by : Anders Bjerre Trolle
Download or read book Essays on Derivatives Pricing and Dynamic Asset Allocation written by Anders Bjerre Trolle and published by . This book was released on 2007 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Derivatives Pricing Anddynamic Asset Allocation by :
Download or read book Essays on Derivatives Pricing Anddynamic Asset Allocation written by and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Pricing Derivatives Under Lévy Models by : Andrey Itkin
Download or read book Pricing Derivatives Under Lévy Models written by Andrey Itkin and published by . This book was released on 2017 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Derivatives Pricing Theory by : Ronald C. Heynen
Download or read book Essays on Derivatives Pricing Theory written by Ronald C. Heynen and published by . This book was released on 1995 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Ph.D.-serie by : Anders Bjerre Trolle
Download or read book Ph.D.-serie written by Anders Bjerre Trolle and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Asset Allocation and Derivatives by : Eva Schneider
Download or read book Essays on Asset Allocation and Derivatives written by Eva Schneider and published by . This book was released on 2007 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Numerical Methods and Optimization in Finance by : Manfred Gilli
Download or read book Numerical Methods and Optimization in Finance written by Manfred Gilli and published by Academic Press. This book was released on 2019-08-30 with total page 638 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computationally-intensive tools play an increasingly important role in financial decisions. Many financial problems-ranging from asset allocation to risk management and from option pricing to model calibration-can be efficiently handled using modern computational techniques. Numerical Methods and Optimization in Finance presents such computational techniques, with an emphasis on simulation and optimization, particularly so-called heuristics. This book treats quantitative analysis as an essentially computational discipline in which applications are put into software form and tested empirically. This revised edition includes two new chapters, a self-contained tutorial on implementing and using heuristics, and an explanation of software used for testing portfolio-selection models. Postgraduate students, researchers in programs on quantitative and computational finance, and practitioners in banks and other financial companies can benefit from this second edition of Numerical Methods and Optimization in Finance. Introduces numerical methods to readers with economics backgrounds Emphasizes core simulation and optimization problems Includes MATLAB and R code for all applications, with sample code in the text and freely available for download
Book Synopsis Essays on Asset Allocation with Derivatives and Model Estimation by : Beate Breuer
Download or read book Essays on Asset Allocation with Derivatives and Model Estimation written by Beate Breuer and published by . This book was released on 2008 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Derivatives in Financial Markets with Stochastic Volatility by : Jean-Pierre Fouque
Download or read book Derivatives in Financial Markets with Stochastic Volatility written by Jean-Pierre Fouque and published by Cambridge University Press. This book was released on 2000-07-03 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book, first published in 2000, addresses pricing and hedging derivative securities in uncertain and changing market volatility.
Book Synopsis Three Essays on Asset Pricing, Portfolio Choice and Behavioral Finance by : Ehud Peleg
Download or read book Three Essays on Asset Pricing, Portfolio Choice and Behavioral Finance written by Ehud Peleg and published by ProQuest. This book was released on 2008 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Efficient Option Pricing Under Levy Processes, with CVA and FVA. by : Justin Shek
Download or read book Efficient Option Pricing Under Levy Processes, with CVA and FVA. written by Justin Shek and published by . This book was released on 2015 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: We generalize the Piterbarg (2010) model to include 1) bilateral default risk as in Burgard and Kjaer (2012), and 2) jumps in the dynamics of the underlying asset using general classes of Lévy processes of exponential type. We develop an efficient explicit-implicit scheme for European options and barrier options taking CVA-FVA into account. We highlight the importance of this work in the context of trading, pricing and management a derivative portfolio given the trajectory of regulations.
Book Synopsis Pure Jump Levy Processes for Asset Price Modelling by : Hélyette Geman
Download or read book Pure Jump Levy Processes for Asset Price Modelling written by Hélyette Geman and published by . This book was released on 2003 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: The goal of the paper is to show that some types of Levy processes such as the hyperbolic motion and the CGMY are particularly suitable for asset price modelling and option pricing. We wish to review some fundamental mathematic properties of Levy distributions, such as the one of infinite divisibility, and how they translate observed features of asset price returns. We explain how these processes are related to Brownian motion, the central process in finance, through stochastic time changes which can in turn be interpreted as a measure of the economic activity. Lastly, we focus on two particular classes of pure jump Levy processes, the generalized hyperbolic model and the CGMY models and report on the goodness of fit obtained both on stock prices and options prices.
Book Synopsis Three Essays on Asset Pricing and Portfolio Allocation by : Zhe Zhang
Download or read book Three Essays on Asset Pricing and Portfolio Allocation written by Zhe Zhang and published by . This book was released on 2004 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Asset Pricing and Portfolio Allocation by : Sébastien Coupy
Download or read book Essays on Asset Pricing and Portfolio Allocation written by Sébastien Coupy and published by . This book was released on 2016 with total page 85 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Pricing and Portfolio Choice in Incomplete Markets by : Ti Zhou
Download or read book Essays on Pricing and Portfolio Choice in Incomplete Markets written by Ti Zhou and published by . This book was released on 2008 with total page 282 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation is a contribution to the pricing and portfolio choice theory in incomplete markets. It consists of three self-contained but interlinked essays. In the first essay, we present a utility-based methodology for the valuation and the risk management of mortgage-backed securities subject to totally unpredictable prepayment risk. Incompleteness stems from its embedded pre-payment option which affects the security's cash flow pattern. The prepayment time is constructed via deterministic or stochastic hazard rate. The relevant indifference price consists of a linear term, corresponding to the remaining outstanding balance, and a nonlinear one that incorporates the investor's risk aversion and the interest payments generated by the mortgage contract. The indifference valuation approach is also extended to the case of homogeneous mortgage pools. In the second essay, using forward optimality criteria, we analyze a portfolio choice problem when the local risk tolerance is time-dependent and asymptotically linear in wealth. This class corresponds to a dynamic extension of the traditional (static) risk tolerances associated with the power, logarithmic and exponential utilities. We provide explicit solutions for the optimal investment strategies and wealth processes in an incomplete non-Markovian market with asset prices modelled as Ito processes. The methodology allows for measuring the investment performance in terms of a benchmark and alter-native market views. In the last essay, we extend the forward investment performance approach to study the optimal portfolio choice problem in an incomplete market driven by jump processes. The asset price is modelled by a one-dimensional Lévy-Itô process. We prove the existence of a forward performance process by restricting the local risk tolerance functions to be time-independent and linear in wealth. This yields only three types of performance measurement criteria, namely, exponential, power and logarithmic. The optimal portfolios are constructed via stochastic feedback controls under these criteria.
Book Synopsis Pricing Path-Dependent Options with Discrete Monitoring Under Time-Changed Levy Processes by : Yuji Umezawa
Download or read book Pricing Path-Dependent Options with Discrete Monitoring Under Time-Changed Levy Processes written by Yuji Umezawa and published by . This book was released on 2014 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a pricing method for path-dependent derivatives with discrete monitoring when an underlying asset price is driven by a time-changed Levy process. The key to our method is to derive a backward recurrence relation for computing the multivariate characteristic functions of the intertemporal joint distribution of time-changed Levy processes. Using the derived representation of the characteristic function we obtain semi-analytical pricing formulas for geometric Asian, forward start, barrier, fader, and lookback options, all of which are discretely monitored.
