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Extensions To The Boyle Vorst Discrete Time Option Pricing Model With Transactions Costs
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Book Synopsis Advances In Quantitative Analysis Of Finance And Accounting (Vol. 5) by : Cheng Few Lee
Download or read book Advances In Quantitative Analysis Of Finance And Accounting (Vol. 5) written by Cheng Few Lee and published by World Scientific. This book was released on 2007-07-27 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: News Professor Cheng-Few Lee ranks #1 based on his publications in the 26 core finance journals, and #163 based on publications in the 7 leading finance journals (Source: Most Prolific Authors in the Finance Literature: 1959-2008 by Jean L Heck and Philip L Cooley (Saint Joseph's University and Trinity University). Advances in Quantitative Analysis of Finance and Accounting is an annual publication designed to disseminate recent developments in the quantitative analysis of finance and accounting. The publication is a forum for statistical and quantitative analyses of issues in finance and accounting as well as applications of quantitative methods to problems in financial management, financial accounting, and business management. Its objective is to promote interaction between academic research in finance and accounting with applied research in the financial community and the accounting profession.The chapters in this volume cover a wide range of pressing topics including security analysis and mutual fund management, option pricing theory and application, interest rate spread, and electricity pricing.
Book Synopsis Modelling Techniques for Financial Markets and Bank Management by : Marida Bertocchi
Download or read book Modelling Techniques for Financial Markets and Bank Management written by Marida Bertocchi and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: Shown is the application of up-to-date techniques for measuring efficiency, information imperfection and predictability in financial markets. Moreover, trading strategies in commodity future markets, models for the evolution of interest rates and postoptimality analysis in portfolio management are given. A couple of conceptual papers on modelling preference relations are also included.
Book Synopsis Paul Wilmott Introduces Quantitative Finance by : Paul Wilmott
Download or read book Paul Wilmott Introduces Quantitative Finance written by Paul Wilmott and published by John Wiley & Sons. This book was released on 2007-01-11 with total page 544 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this updated student edition, Paul Wilmott updates and extends his earlier classic, Derivatives: The Theory and Practice of Financial Engineering. Included on CD are numerous Bloomberg screen dumps to illustrate, in real terms, the points raised in the book, along with essential Visual basic code, spreadsheet explanations of the models, and the reproduction of term sheets and option classification tables. The author presents all the current financial theories in a manner designed to make them easy to understand and implement. Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.
Book Synopsis Quantitative Analysis In Financial Markets: Collected Papers Of The New York University Mathematical Finance Seminar by : Marco Avellaneda
Download or read book Quantitative Analysis In Financial Markets: Collected Papers Of The New York University Mathematical Finance Seminar written by Marco Avellaneda and published by World Scientific. This book was released on 1999-10-27 with total page 387 pages. Available in PDF, EPUB and Kindle. Book excerpt: This invaluable book contains lectures delivered at the celebrated Seminar in Mathematical Finance at the Courant Institute. The lecturers and presenters of papers are prominent researchers and practitioners in the field of quantitative financial modeling. Most are faculty members at leading universities or Wall Street practitioners.The lectures deal with the emerging science of pricing and hedging derivative securities and, more generally, managing financial risk. Specific articles concern topics such as option theory, dynamic hedging, interest-rate modeling, portfolio theory, price forecasting using statistical methods, etc.
Book Synopsis Optimization Techniques And Applications: International Conference (In 2 Volumes) by : F S Chou
Download or read book Optimization Techniques And Applications: International Conference (In 2 Volumes) written by F S Chou and published by World Scientific. This book was released on 1992-05-25 with total page 1264 pages. Available in PDF, EPUB and Kindle. Book excerpt: With the advent of powerful computers and novel mathematical programming techniques, the multidisciplinary field of optimization has advanced to the stage that quite complicated systems can be addressed. The conference was organized to provide a platform for the exchanging of new ideas and information and for identifying areas for future research. The contributions covered both theoretical techniques and a rich variety of case studies to which optimization can be usefully applied.
Book Synopsis Complementarity: Applications, Algorithms and Extensions by : Michael C. Ferris
Download or read book Complementarity: Applications, Algorithms and Extensions written by Michael C. Ferris and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents state-of-the-art complementarity applications, algorithms, extensions and theory in the form of eighteen papers. These at the International Conference on Com invited papers were presented plementarity 99 (ICCP99) held in Madison, Wisconsin during June 9-12, 1999 with support from the National Science Foundation under Grant DMS-9970102. Complementarity is becoming more widely used in a variety of appli cation areas. In this volume, there are papers studying the impact of complementarity in such diverse fields as deregulation of electricity mar kets, engineering mechanics, optimal control and asset pricing. Further more, application of complementarity and optimization ideas to related problems in the burgeoning fields of machine learning and data mining are also covered in a series of three articles. In order to effectively process the complementarity problems that arise in such applications, various algorithmic, theoretical and computational extensions are covered in this volume. Nonsmooth analysis has an im portant role to play in this area as can be seen from articles using these tools to develop Newton and path following methods for constrained nonlinear systems and complementarity problems. Convergence issues are covered in the context of active set methods, global algorithms for pseudomonotone variational inequalities, successive convex relaxation and proximal point algorithms. Theoretical contributions to the connectedness of solution sets and constraint qualifications in the growing area of mathematical programs with equilibrium constraints are also presented. A relaxation approach is given for solving such problems. Finally, computational issues related to preprocessing mixed complementarity problems are addressed.
Book Synopsis Weather Derivative Valuation by : Stephen Jewson
Download or read book Weather Derivative Valuation written by Stephen Jewson and published by Cambridge University Press. This book was released on 2005-03-10 with total page 393 pages. Available in PDF, EPUB and Kindle. Book excerpt: Originally published in 2005, Weather Derivative Valuation covers all the meteorological, statistical, financial and mathematical issues that arise in the pricing and risk management of weather derivatives. There are chapters on meteorological data and data cleaning, the modelling and pricing of single weather derivatives, the modelling and valuation of portfolios, the use of weather and seasonal forecasts in the pricing of weather derivatives, arbitrage pricing for weather derivatives, risk management, and the modelling of temperature, wind and precipitation. Specific issues covered in detail include the analysis of uncertainty in weather derivative pricing, time-series modelling of daily temperatures, the creation and use of probabilistic meteorological forecasts and the derivation of the weather derivative version of the Black-Scholes equation of mathematical finance. Written by consultants who work within the weather derivative industry, this book is packed with practical information and theoretical insight into the world of weather derivative pricing.
Book Synopsis Investment Decision-making Using Optional Models by : David Heller
Download or read book Investment Decision-making Using Optional Models written by David Heller and published by John Wiley & Sons. This book was released on 2019-12-19 with total page 126 pages. Available in PDF, EPUB and Kindle. Book excerpt: In order to create value, companies must allocate their resources effectively and evaluate investment alternatives. This book examines, from a theoretical and empirical point of view, how managerial flexibility can be integrated into investment decisions through the optional approach. Unlike the traditional net present value method, the actual options take into account indeterminate elements. These lead to unpredictable cash flows at the time of the investment decision, especially in the context of complex and risky projects. The book puts into perspective the use of optional models and their interactions. The different categories of options are the subject of practical applications, through analysis of investment decisions where uncertainty is growing. Therefore, studies make it possible to consider the flexible nature of investment choices by integrating new information and risk over time.
Book Synopsis Journal of Economic Dynamics & Control by :
Download or read book Journal of Economic Dynamics & Control written by and published by . This book was released on 2002 with total page 1128 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Actuarial Research Clearing House by :
Download or read book Actuarial Research Clearing House written by and published by . This book was released on 1991 with total page 534 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Economic Sciences in the Netherlands by :
Download or read book Economic Sciences in the Netherlands written by and published by . This book was released on 1990 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Journal of Economic Literature written by and published by . This book was released on 1992 with total page 1340 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The McGraw-Hill Finance Literature Index by :
Download or read book The McGraw-Hill Finance Literature Index written by and published by . This book was released on 1996 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mathematical Reviews written by and published by . This book was released on 2002 with total page 812 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Emerging Market Portfolios by : Michael G. Papaioannou
Download or read book Emerging Market Portfolios written by Michael G. Papaioannou and published by Irwin Professional Publishing. This book was released on 1997 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt: Emerging Market Portfolios presents a framework for effective risk management in emerging capital markets. The many difficulties and opportunities encountered are presented in detail, including historical patterns of development in emerging equity markets; profit and safety through recommended portfolio allocation methods; issues of volatility and cointegration in investment decisions; availability of derivative instruments, and recent developments in derivative pricing; and unexpected barriers to using financial risk management tools. Emerging Market Portfolios explores the potential of adapting and applying the analytical tools of modern portfolio theory to emerging markets investment. Hedging strategies and vehicles are presented and analyzed, areas of higher risk-adjusted return potential are identified and state-of-the-art research on asset and derivative pricing is presented. Emerging Market Portfolios is a thorough, expert analysis of emerging market investment and risk control, with emphasis on applicable diversification and hedging strategies.
Download or read book Management Science written by and published by . This book was released on 2004 with total page 656 pages. Available in PDF, EPUB and Kindle. Book excerpt: Issues for Feb. 1965-Aug. 1967 include Bulletin of the Institute of Management Sciences.
Book Synopsis Econophysics of Order-driven Markets by : Frédéric Abergel
Download or read book Econophysics of Order-driven Markets written by Frédéric Abergel and published by Springer Science & Business Media. This book was released on 2011-04-06 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: The primary goal of the book is to present the ideas and research findings of active researchers from various communities (physicists, economists, mathematicians, financial engineers) working in the field of "Econophysics", who have undertaken the task of modelling and analyzing order-driven markets. Of primary interest in these studies are the mechanisms leading to the statistical regularities ("stylized facts") of price statistics. Results pertaining to other important issues such as market impact, the profitability of trading strategies, or mathematical models for microstructure effects, are also presented. Several leading researchers in these fields report on their recent work and also review the contemporary literature. Some historical perspectives, comments and debates on recent issues in Econophysics research are also included.
