Hedging In Affine Stochastic Volatility Models

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Alternative Investments And Strategies

Author : Rudiger Kiesel
Publisher : World Scientific
ISBN 13 : 9814467332
Total Pages : 414 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis Alternative Investments And Strategies by : Rudiger Kiesel

Download or read book Alternative Investments And Strategies written by Rudiger Kiesel and published by World Scientific. This book was released on 2010-06-18 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book combines academic research and practical expertise on alternative assets and trading strategies in a unique way. The asset classes that are discussed include: credit risk, cross-asset derivatives, energy, private equity, freight agreements, alternative real assets (ARA), and socially responsible investments (SRI). The coverage on trading and investment strategies are directed at portfolio insurance, especially constant proportion portfolio insurance (CPPI) and constant proportion debt obligation (CPDO) strategies, robust portfolio optimization, and hedging strategies for exotic options.

Hedging Derivatives

Author : Thorsten Rheinlander
Publisher : World Scientific
ISBN 13 : 981433880X
Total Pages : 244 pages
Book Rating : 4.8/5 (143 download)

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Book Synopsis Hedging Derivatives by : Thorsten Rheinlander

Download or read book Hedging Derivatives written by Thorsten Rheinlander and published by World Scientific. This book was released on 2011 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: Valuation and hedging of financial derivatives are intrinsically linked concepts. Choosing appropriate hedging techniques depends on both the type of derivative and assumptions placed on the underlying stochastic process. This volume provides a systematic treatment of hedging in incomplete markets. Mean-variance hedging under the risk-neutral measure is applied in the framework of exponential L(r)vy processes and for derivatives written on defaultable assets. It is discussed how to complete markets based upon stochastic volatility models via trading in both stocks and vanilla options. Exponential utility indifference pricing is explored via a duality with entropy minimization. Backward stochastic differential equations offer an alternative approach and are moreover applied to study markets with trading constraints including basis risk. A range of optimal martingale measures are discussed including the entropy, Esscher and minimal martingale measures. Quasi-symmetry properties of stochastic processes are deployed in the semi-static hedging of barrier options. This book is directed towards both graduate students and researchers in mathematical finance, and will also provide an orientation to applied mathematicians, financial economists and practitioners wishing to explore recent progress in this field."

Stochastic volatility and the pricing of financial derivatives

Author : Antoine Petrus Cornelius van der Ploeg
Publisher : Rozenberg Publishers
ISBN 13 : 9051705778
Total Pages : 358 pages
Book Rating : 4.0/5 (517 download)

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Book Synopsis Stochastic volatility and the pricing of financial derivatives by : Antoine Petrus Cornelius van der Ploeg

Download or read book Stochastic volatility and the pricing of financial derivatives written by Antoine Petrus Cornelius van der Ploeg and published by Rozenberg Publishers. This book was released on 2006 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Commodities

Author : M. A. H. Dempster
Publisher : CRC Press
ISBN 13 : 1498712339
Total Pages : 725 pages
Book Rating : 4.4/5 (987 download)

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Book Synopsis Commodities by : M. A. H. Dempster

Download or read book Commodities written by M. A. H. Dempster and published by CRC Press. This book was released on 2015-11-05 with total page 725 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since a major source of income for many countries comes from exporting commodities, price discovery and information transmission between commodity futures markets are key issues for continued economic development.This book covers the fundamental theory of and derivatives pricing for major commodity markets as well as the interaction between commodi

Alternative Investments and Strategies

Author : Rüdiger Kiesel
Publisher : World Scientific
ISBN 13 : 9814280119
Total Pages : 414 pages
Book Rating : 4.8/5 (142 download)

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Book Synopsis Alternative Investments and Strategies by : Rüdiger Kiesel

Download or read book Alternative Investments and Strategies written by Rüdiger Kiesel and published by World Scientific. This book was released on 2010 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book combines academic research and practical expertise on alternative assets and trading strategies in a unique way. The asset classes that are discussed include : credit risk, cross-asset derivatives, energy, private equity, freight agreements, alternative real assets (ARA), and socially responsible investments (SRI). The coverage on trading and investment strategies are directed at portfolio insurance, especially constant proportion portfolio insurance (CPPI) and constant proportion debt obligation (CPDO) strategies, robust portfolio optimization, and hedging strategies for exotic options.

The Greeks and Hedging Explained

Author : Peter Leoni
Publisher : Springer
ISBN 13 : 1137350741
Total Pages : 145 pages
Book Rating : 4.1/5 (373 download)

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Book Synopsis The Greeks and Hedging Explained by : Peter Leoni

Download or read book The Greeks and Hedging Explained written by Peter Leoni and published by Springer. This book was released on 2014-05-29 with total page 145 pages. Available in PDF, EPUB and Kindle. Book excerpt: A practical guide to basic and intermediate hedging techniques for traders, structerers and risk management quants. This book fills a gap for a technical but not impenetrable guide to hedging options, and the 'Greek' (Theta, Vega, Rho and Lambda) -parameters that represent the sensitivity of derivatives prices.

Mathematical Finance

Author : Ernst Eberlein
Publisher : Springer Nature
ISBN 13 : 3030261069
Total Pages : 774 pages
Book Rating : 4.0/5 (32 download)

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Book Synopsis Mathematical Finance by : Ernst Eberlein

Download or read book Mathematical Finance written by Ernst Eberlein and published by Springer Nature. This book was released on 2019-12-03 with total page 774 pages. Available in PDF, EPUB and Kindle. Book excerpt: Taking continuous-time stochastic processes allowing for jumps as its starting and focal point, this book provides an accessible introduction to the stochastic calculus and control of semimartingales and explains the basic concepts of Mathematical Finance such as arbitrage theory, hedging, valuation principles, portfolio choice, and term structure modelling. It bridges thegap between introductory texts and the advanced literature in the field. Most textbooks on the subject are limited to diffusion-type models which cannot easily account for sudden price movements. Such abrupt changes, however, can often be observed in real markets. At the same time, purely discontinuous processes lead to a much wider variety of flexible and tractable models. This explains why processes with jumps have become an established tool in the statistics and mathematics of finance. Graduate students, researchers as well as practitioners will benefit from this monograph.

Mathematical Modeling And Computation In Finance: With Exercises And Python And Matlab Computer Codes

Author : Cornelis W Oosterlee
Publisher : World Scientific
ISBN 13 : 1786347962
Total Pages : 1310 pages
Book Rating : 4.7/5 (863 download)

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Book Synopsis Mathematical Modeling And Computation In Finance: With Exercises And Python And Matlab Computer Codes by : Cornelis W Oosterlee

Download or read book Mathematical Modeling And Computation In Finance: With Exercises And Python And Matlab Computer Codes written by Cornelis W Oosterlee and published by World Scientific. This book was released on 2019-10-29 with total page 1310 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the interplay of stochastics (applied probability theory) and numerical analysis in the field of quantitative finance. The stochastic models, numerical valuation techniques, computational aspects, financial products, and risk management applications presented will enable readers to progress in the challenging field of computational finance.When the behavior of financial market participants changes, the corresponding stochastic mathematical models describing the prices may also change. Financial regulation may play a role in such changes too. The book thus presents several models for stock prices, interest rates as well as foreign-exchange rates, with increasing complexity across the chapters. As is said in the industry, 'do not fall in love with your favorite model.' The book covers equity models before moving to short-rate and other interest rate models. We cast these models for interest rate into the Heath-Jarrow-Morton framework, show relations between the different models, and explain a few interest rate products and their pricing.The chapters are accompanied by exercises. Students can access solutions to selected exercises, while complete solutions are made available to instructors. The MATLAB and Python computer codes used for most tables and figures in the book are made available for both print and e-book users. This book will be useful for people working in the financial industry, for those aiming to work there one day, and for anyone interested in quantitative finance. The topics that are discussed are relevant for MSc and PhD students, academic researchers, and for quants in the financial industry.

Dynamic Term Structure Modeling

Author : Sanjay K. Nawalkha
Publisher : John Wiley & Sons
ISBN 13 : 0470140062
Total Pages : 722 pages
Book Rating : 4.4/5 (71 download)

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Book Synopsis Dynamic Term Structure Modeling by : Sanjay K. Nawalkha

Download or read book Dynamic Term Structure Modeling written by Sanjay K. Nawalkha and published by John Wiley & Sons. This book was released on 2007-05-23 with total page 722 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Dynamic Term Structure Modeling "This book offers the most comprehensive coverage of term-structure models I have seen so far, encompassing equilibrium and no-arbitrage models in a new framework, along with the major solution techniques using trees, PDE methods, Fourier methods, and approximations. It is an essential reference for academics and practitioners alike." --Sanjiv Ranjan Das Professor of Finance, Santa Clara University, California, coeditor, Journal of Derivatives "Bravo! This is an exhaustive analysis of the yield curve dynamics. It is clear, pedagogically impressive, well presented, and to the point." --Nassim Nicholas Taleb author, Dynamic Hedging and The Black Swan "Nawalkha, Beliaeva, and Soto have put together a comprehensive, up-to-date textbook on modern dynamic term structure modeling. It is both accessible and rigorous and should be of tremendous interest to anyone who wants to learn about state-of-the-art fixed income modeling. It provides many numerical examples that will be valuable to readers interested in the practical implementations of these models." --Pierre Collin-Dufresne Associate Professor of Finance, UC Berkeley "The book provides a comprehensive description of the continuous time interest rate models. It serves an important part of the trilogy, useful for financial engineers to grasp the theoretical underpinnings and the practical implementation." --Thomas S. Y. Ho, PHD President, Thomas Ho Company, Ltd, coauthor, The Oxford Guide to Financial Modeling

Bond Pricing and Yield Curve Modeling

Author : Riccardo Rebonato
Publisher : Cambridge University Press
ISBN 13 : 1316732959
Total Pages : 781 pages
Book Rating : 4.3/5 (167 download)

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Book Synopsis Bond Pricing and Yield Curve Modeling by : Riccardo Rebonato

Download or read book Bond Pricing and Yield Curve Modeling written by Riccardo Rebonato and published by Cambridge University Press. This book was released on 2018-06-07 with total page 781 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book, well-known expert Riccardo Rebonato provides the theoretical foundations (no-arbitrage, convexity, expectations, risk premia) needed for the affine modeling of the government bond markets. He presents and critically discusses the wealth of empirical findings that have appeared in the literature of the last decade, and introduces the 'structural' models that are used by central banks, institutional investors, sovereign wealth funds, academics, and advanced practitioners to model the yield curve, to answer policy questions, to estimate the magnitude of the risk premium, to gauge market expectations, and to assess investment opportunities. Rebonato weaves precise theory with up-to-date empirical evidence to build, with the minimum mathematical sophistication required for the task, a critical understanding of what drives the government bond market.

Mathematical Techniques in Finance

Author : Ales Cerný
Publisher : Princeton University Press
ISBN 13 : 1400831482
Total Pages : 414 pages
Book Rating : 4.4/5 (8 download)

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Book Synopsis Mathematical Techniques in Finance by : Ales Cerný

Download or read book Mathematical Techniques in Finance written by Ales Cerný and published by Princeton University Press. This book was released on 2009-07-06 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: Originally published in 2003, Mathematical Techniques in Finance has become a standard textbook for master's-level finance courses containing a significant quantitative element while also being suitable for finance PhD students. This fully revised second edition continues to offer a carefully crafted blend of numerical applications and theoretical grounding in economics, finance, and mathematics, and provides plenty of opportunities for students to practice applied mathematics and cutting-edge finance. Ales Cerný mixes tools from calculus, linear algebra, probability theory, numerical mathematics, and programming to analyze in an accessible way some of the most intriguing problems in financial economics. The textbook is the perfect hands-on introduction to asset pricing, optimal portfolio selection, risk measurement, and investment evaluation. The new edition includes the most recent research in the area of incomplete markets and unhedgeable risks, adds a chapter on finite difference methods, and thoroughly updates all bibliographic references. Eighty figures, over seventy examples, twenty-five simple ready-to-run computer programs, and several spreadsheets enhance the learning experience. All computer codes have been rewritten using MATLAB and online supplementary materials have been completely updated. A standard textbook for graduate finance courses Introduction to asset pricing, portfolio selection, risk measurement, and investment evaluation Detailed examples and MATLAB codes integrated throughout the text Exercises and summaries of main points conclude each chapter

Advanced Mathematical Methods for Finance

Author : Julia Di Nunno
Publisher : Springer Science & Business Media
ISBN 13 : 364218412X
Total Pages : 532 pages
Book Rating : 4.6/5 (421 download)

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Book Synopsis Advanced Mathematical Methods for Finance by : Julia Di Nunno

Download or read book Advanced Mathematical Methods for Finance written by Julia Di Nunno and published by Springer Science & Business Media. This book was released on 2011-03-29 with total page 532 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents innovations in the mathematical foundations of financial analysis and numerical methods for finance and applications to the modeling of risk. The topics selected include measures of risk, credit contagion, insider trading, information in finance, stochastic control and its applications to portfolio choices and liquidation, models of liquidity, pricing, and hedging. The models presented are based on the use of Brownian motion, Lévy processes and jump diffusions. Moreover, fractional Brownian motion and ambit processes are also introduced at various levels. The chosen blend of topics gives an overview of the frontiers of mathematics for finance. New results, new methods and new models are all introduced in different forms according to the subject. Additionally, the existing literature on the topic is reviewed. The diversity of the topics makes the book suitable for graduate students, researchers and practitioners in the areas of financial modeling and quantitative finance. The chapters will also be of interest to experts in the financial market interested in new methods and products. This volume presents the results of the European ESF research networking program Advanced Mathematical Methods for Finance.

Handbook of Quantitative Finance and Risk Management

Author : Cheng-Few Lee
Publisher : Springer Science & Business Media
ISBN 13 : 0387771174
Total Pages : 1700 pages
Book Rating : 4.3/5 (877 download)

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Book Synopsis Handbook of Quantitative Finance and Risk Management by : Cheng-Few Lee

Download or read book Handbook of Quantitative Finance and Risk Management written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2010-06-14 with total page 1700 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This two-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.

Pricing Models of Volatility Products and Exotic Variance Derivatives

Author : Yue Kuen Kwok
Publisher : CRC Press
ISBN 13 : 1000584259
Total Pages : 283 pages
Book Rating : 4.0/5 (5 download)

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Book Synopsis Pricing Models of Volatility Products and Exotic Variance Derivatives by : Yue Kuen Kwok

Download or read book Pricing Models of Volatility Products and Exotic Variance Derivatives written by Yue Kuen Kwok and published by CRC Press. This book was released on 2022-05-08 with total page 283 pages. Available in PDF, EPUB and Kindle. Book excerpt: Pricing Models of Volatility Products and Exotic Variance Derivatives summarizes most of the recent research results in pricing models of derivatives on discrete realized variance and VIX. The book begins with the presentation of volatility trading and uses of variance derivatives. It then moves on to discuss the robust replication strategy of variance swaps using portfolio of options, which is one of the major milestones in pricing theory of variance derivatives. The replication procedure provides the theoretical foundation of the construction of VIX. This book provides sound arguments for formulating the pricing models of variance derivatives and establishes formal proofs of various technical results. Illustrative numerical examples are included to show accuracy and effectiveness of analytic and approximation methods. Features Useful for practitioners and quants in the financial industry who need to make choices between various pricing models of variance derivatives Fabulous resource for researchers interested in pricing and hedging issues of variance derivatives and VIX products Can be used as a university textbook in a topic course on pricing variance derivatives

Complex Systems in Finance and Econometrics

Author : Robert A. Meyers
Publisher : Springer Science & Business Media
ISBN 13 : 1441977007
Total Pages : 919 pages
Book Rating : 4.4/5 (419 download)

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Book Synopsis Complex Systems in Finance and Econometrics by : Robert A. Meyers

Download or read book Complex Systems in Finance and Econometrics written by Robert A. Meyers and published by Springer Science & Business Media. This book was released on 2010-11-03 with total page 919 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.

Mathematical Finance

Author : Emanuela Rosazza Gianin
Publisher : Springer Nature
ISBN 13 : 3031283783
Total Pages : 310 pages
Book Rating : 4.0/5 (312 download)

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Book Synopsis Mathematical Finance by : Emanuela Rosazza Gianin

Download or read book Mathematical Finance written by Emanuela Rosazza Gianin and published by Springer Nature. This book was released on 2023-04-18 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book is conceived as a guide to solve exercises in Mathematical Finance and a complement to theoretical lectures. The potential audience consists of students in Applied Mathematics, Engineering and Economics, attending courses in Mathematical Finance. The most important subjects covered by this textbook are Pricing and Hedging of different classes of financial derivatives (European, American Exotic options, Fixed Income derivatives) in the most popular modeling frameworks, both in discrete and continuous time setting, like the Binomial and the Black-Scholes models. A Chapter on static portfolio optimization, one on pricing for more advanced models and one on Risk Measures complete the overview on the main issues presented in classical courses on Mathematical Finance. About one hundred exercises are proposed, and a large amount of them provides a detailed solution, while a few are left as an exercise to the reader. Every chapter includes a brief resume of the main theoretical results to apply. This textbook is the result of several years of teaching experience of both the authors.

Handbook of Computational Finance

Author : Jin-Chuan Duan
Publisher : Springer Science & Business Media
ISBN 13 : 3642172547
Total Pages : 791 pages
Book Rating : 4.6/5 (421 download)

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Book Synopsis Handbook of Computational Finance by : Jin-Chuan Duan

Download or read book Handbook of Computational Finance written by Jin-Chuan Duan and published by Springer Science & Business Media. This book was released on 2011-10-25 with total page 791 pages. Available in PDF, EPUB and Kindle. Book excerpt: Any financial asset that is openly traded has a market price. Except for extreme market conditions, market price may be more or less than a “fair” value. Fair value is likely to be some complicated function of the current intrinsic value of tangible or intangible assets underlying the claim and our assessment of the characteristics of the underlying assets with respect to the expected rate of growth, future dividends, volatility, and other relevant market factors. Some of these factors that affect the price can be measured at the time of a transaction with reasonably high accuracy. Most factors, however, relate to expectations about the future and to subjective issues, such as current management, corporate policies and market environment, that could affect the future financial performance of the underlying assets. Models are thus needed to describe the stochastic factors and environment, and their implementations inevitably require computational finance tools.