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Author : Wei Wang
Publisher :
ISBN 13 :
Total Pages : 108 pages
Book Rating : 4.:/5 (18 download)
Download or read book Ho-Lee Model with Jump-diffusion Process and Bond Markets written by Wei Wang and published by . This book was released on 1997 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : David B. Colwell
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (129 download)
Download or read book Forward Measures in a Ho and Lee Jump Diffusion Model written by David B. Colwell and published by . This book was released on 2008 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirical studies have shown that macroeconomic announcements result in large jumps in the short-term interest rate process. For this reason, finding a tractable option pricing model for jump diffusion models is of considerable interest. In this paper, we consider a model that could be described as a (continuous-time) Ho and Lee model with jumps. We first derive forward measures for this process using the Heath-Jarrow-Morton methodology. It is well known that in a jump diffusion model there are many equivalent martingale measures. We thus make two different assumptions regarding the pricing measure: (i) first we assume that the distribution of jumps is time-independent under the equilibrium spot measure; (ii) then we assume that the distribution of jumps is time-independent under the equilibrium forward measure. We show that only the second assumption leads to option prices that can be explicitly calculated. Using this assumption we derive the price of European options on bonds. The resulting formulas are extensions of the Ho and Lee model and have analogies to the Bates (1991) equity option pricing model in which the market price of jump risk results in a sort of dividend yield that depends on the jump parameters.
Author : Mandeep S. Chahal
Publisher :
ISBN 13 :
Total Pages : 29 pages
Book Rating : 4.:/5 (13 download)
Download or read book Jump Diffusion Processes and Emerging Bond and Stock Markets written by Mandeep S. Chahal and published by . This book was released on 2016 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: The underlying stochastic processes that drive returns in several emerging bond and stock markets are investigated using the pure diffusion, the jump diffusion, the ARCH pure diffusion, and the ARCH jump diffusion models. The results indicate that jump diffusion models fit the data better than pure diffusion models. Possible sources and linkages of information surprises in emerging stock and bond markets are also investigated. Bond and stock returns of the same country exhibit simultaneous jumps, indicating a possible linkage of the two markets. U.S. equity returns respond to jumps in emerging bond markets but not to jumps in emerging stock markets.
Author : Moorad Choudhry
Publisher : Butterworth-Heinemann
ISBN 13 : 0080574939
Total Pages : 1152 pages
Book Rating : 4.0/5 (85 download)
Download or read book Bond and Money Markets written by Moorad Choudhry and published by Butterworth-Heinemann. This book was released on 2003-07-04 with total page 1152 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Bond and Money Markets is an invaluable reference to all aspects of fixed income markets and instruments. It is highly regarded as an introduction and an advanced text for professionals and graduate students.Features comprehensive coverage of: * Government and Corporate bonds, Eurobonds, callable bonds, convertibles * Asset-backed bonds including mortgages and CDOs * Derivative instruments including futures, swaps, options, structured products* 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 and strategies,total return framework, constructing bond indices * A stand alone reference book on interest rate swaps, the money markets, financial market mathematics, interest-rate futures and technical analysis * Includes introductory coverage of very specialised topics (for which one previously required several texts) such as VaR, Asset & liability management and credit derivatives * Combines accessible style with advanced level topics
Author : Tomas Björk
Publisher : Cambridge University Press
ISBN 13 : 1009008447
Total Pages : 324 pages
Book Rating : 4.0/5 (9 download)
Download or read book Point Processes and Jump Diffusions written by Tomas Björk and published by Cambridge University Press. This book was released on 2021-06-17 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: The theory of marked point processes on the real line is of great and increasing importance in areas such as insurance mathematics, queuing theory and financial economics. However, the theory is often viewed as technically and conceptually difficult and has proved to be a block for PhD students looking to enter the area. This book gives an intuitive picture of the central concepts as well as the deeper results, while presenting the mathematical theory in a rigorous fashion and discussing applications in filtering theory and financial economics. Consequently, readers will get a deep understanding of the theory and how to use it. A number of exercises of differing levels of difficulty are included, providing opportunities to put new ideas into practice. Graduate students in mathematics, finance and economics will gain a good working knowledge of point-process theory, allowing them to progress to independent research.
Author : Cheng-Few Lee
Publisher : Springer Science & Business Media
ISBN 13 : 0387262849
Total Pages : 861 pages
Book Rating : 4.3/5 (872 download)
Download or read book Encyclopedia of Finance written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2006-07-27 with total page 861 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a major new reference work covering all aspects of finance. Coverage includes finance (financial management, security analysis, portfolio management, financial markets and instruments, insurance, real estate, options and futures, international finance) and statistical applications in finance (applications in portfolio analysis, option pricing models and financial research). The project is designed to attract both an academic and professional market. It also has an international approach to ensure its maximum appeal. The Editors' wish is that the readers will find the encyclopedia to be an invaluable resource.
Author : Sanjiv Ranjan Das
Publisher :
ISBN 13 :
Total Pages : 60 pages
Book Rating : 4.:/5 (321 download)
Download or read book An Efficient Generalized Discrete-time Approach to Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model written by Sanjiv Ranjan Das and published by . This book was released on 1997 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: Term structure models employing Poisson-Gaussian processes may be used to accommodate the observed skewness and kurtosis of interest rates. This paper extends the discrete-time, pure-Gaussian version of the Heath-Jarrow-Morton model to the pricing" of American-type bond options when the underlying term structure of interest rates follows a Poisson-Gaussian process. The Poisson-Gaussian process is specified using a hexanomial tree (six nodes emanating from each node), and the tree is shown to be recombining. The scheme is parsimonious and convergent. This model extends the class of HJM models by (i) introducing a more generalized volatility specification than has been used so far, and (ii) inducting jumps, yet retaining lattice recombination, thus making the model useful for practical applications
Author : Antonio Mele
Publisher : MIT Press
ISBN 13 : 0262046849
Total Pages : 1147 pages
Book Rating : 4.2/5 (62 download)
Download or read book Financial Economics written by Antonio Mele and published by MIT Press. This book was released on 2022-11-22 with total page 1147 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive reference for financial economics, balancing theoretical explanations, empirical evidence, and the practical relevance of knowledge in the field. This volume offers a comprehensive, integrated treatment of financial economics, tracking the major milestones in the field and providing methodological tools. Doing so, it balances theoretical explanations, empirical evidence, and practical relevance. It illustrates nearly a century of theoretical advances with a vast array of models, showing how real phenomena (and, at times, market practice) have helped economists reformulate existing theories. Throughout, the book offers examples and solved problems that help readers understand the main lessons conveyed by the models analyzed. The book provides a unique and authoritative reference for the field of financial economics. Part I offers the foundations of the field, introducing asset evaluation, information problems in asset markets and corporate finance, and methods of statistical inference. Part II explains the main empirical facts and the challenges these pose for financial economists, which include excess price volatility, market liquidity, market dysfunctionalities, and the countercyclical behavior of market volatility. Part III covers the main instruments that protect institutions against the volatilities and uncertainties of capital markets described in part II. Doing so, it relies on models that have become the market standard, and incorporates practices that emerged from the 2007–2008 financial crisis.
Author : Jaksa Cvitanic
Publisher : MIT Press
ISBN 13 : 9780262033206
Total Pages : 528 pages
Book Rating : 4.0/5 (332 download)
Download or read book Introduction to the Economics and Mathematics of Financial Markets written by Jaksa Cvitanic and published by MIT Press. This book was released on 2004-02-27 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: An innovative textbook for use in advanced undergraduate and graduate courses; accessible to students in financial mathematics, financial engineering and economics. Introduction to the Economics and Mathematics of Financial Markets fills the longstanding need for an accessible yet serious textbook treatment of financial economics. The book provides a rigorous overview of the subject, while its flexible presentation makes it suitable for use with different levels of undergraduate and graduate students. Each chapter presents mathematical models of financial problems at three different degrees of sophistication: single-period, multi-period, and continuous-time. The single-period and multi-period models require only basic calculus and an introductory probability/statistics course, while an advanced undergraduate course in probability is helpful in understanding the continuous-time models. In this way, the material is given complete coverage at different levels; the less advanced student can stop before the more sophisticated mathematics and still be able to grasp the general principles of financial economics. The book is divided into three parts. The first part provides an introduction to basic securities and financial market organization, the concept of interest rates, the main mathematical models, and quantitative ways to measure risks and rewards. The second part treats option pricing and hedging; here and throughout the book, the authors emphasize the Martingale or probabilistic approach. Finally, the third part examines equilibrium models—a subject often neglected by other texts in financial mathematics, but included here because of the qualitative insight it offers into the behavior of market participants and pricing.
Author :
Publisher :
ISBN 13 :
Total Pages : 480 pages
Book Rating : 4.F/5 ( download)
Download or read book Dissertation Abstracts International written by and published by . This book was released on 1997 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Raymond H. Chan
Publisher : Springer Nature
ISBN 13 : 9819995345
Total Pages : 478 pages
Book Rating : 4.8/5 (199 download)
Download or read book Financial Mathematics, Derivatives and Structured Products written by Raymond H. Chan and published by Springer Nature. This book was released on with total page 478 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Dariusz Gatarek
Publisher : John Wiley & Sons
ISBN 13 : 0470060417
Total Pages : 290 pages
Book Rating : 4.4/5 (7 download)
Download or read book The LIBOR Market Model in Practice written by Dariusz Gatarek and published by John Wiley & Sons. This book was released on 2007-01-30 with total page 290 pages. Available in PDF, EPUB and Kindle. Book excerpt: The LIBOR Market Model (LMM) is the first model of interest rates dynamics consistent with the market practice of pricing interest rate derivatives and therefore it is widely used by financial institution for valuation of interest rate derivatives. This book provides a full practitioner's approach to the LIBOR Market Model. It adopts the specific language of a quantitative analyst to the largest possible level and is one of first books on the subject written entirely by quants. The book is divided into three parts - theory, calibration and simulation. New and important issues are covered, such as various drift approximations, various parametric and nonparametric calibrations, and the uncertain volatility approach to smile modelling; a version of the HJM model based on market observables and the duality between BGM and HJM models. Co-authored by Dariusz Gatarek, the 'G' in the BGM model who is internationally known for his work on LIBOR market models, this book offers an essential perspective on the global benchmark for short-term interest rates.
Author : Paul Wilmott
Publisher : John Wiley & Sons
ISBN 13 : 1118836790
Total Pages : 743 pages
Book Rating : 4.1/5 (188 download)
Download or read book Paul Wilmott Introduces Quantitative Finance written by Paul Wilmott and published by John Wiley & Sons. This book was released on 2013-10-18 with total page 743 pages. Available in PDF, EPUB and Kindle. Book excerpt: Paul Wilmott Introduces Quantitative Finance, Second Edition is an accessible introduction to the classical side of quantitative finance specifically for university students. Adapted from the comprehensive, even epic, works Derivatives and Paul Wilmott on Quantitative Finance, Second Edition, it includes carefully selected chapters to give the student a thorough understanding of futures, options and numerical methods. Software is included to help visualize the most important ideas and to show how techniques are implemented in practice. There are comprehensive end-of-chapter exercises to test students on their understanding.
Author : Ralf Korn
Publisher : CRC Press
ISBN 13 : 1420076191
Total Pages : 485 pages
Book Rating : 4.4/5 (2 download)
Download or read book Monte Carlo Methods and Models in Finance and Insurance written by Ralf Korn and published by CRC Press. This book was released on 2010-02-26 with total page 485 pages. Available in PDF, EPUB and Kindle. Book excerpt: Offering a unique balance between applications and calculations, Monte Carlo Methods and Models in Finance and Insurance incorporates the application background of finance and insurance with the theory and applications of Monte Carlo methods. It presents recent methods and algorithms, including the multilevel Monte Carlo method, the statistical Rom
Author : Benoit Metayer
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (129 download)
Download or read book A Double Exponential Jump Diffusion Process to Modelling Risky Bond Prices written by Benoit Metayer and published by . This book was released on 2008 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper aims at providing an extension of Zhou [1997] and Black and Cox [1976] by considering the case where the default can occur at any time and the asset value dynamics is modelled by a jump diffusion process. This extension is provided by considering a special case of jump diffusion process. Following Kou and Wang [2001,2003], Lipton [2002] and Sepp [2003], we consider that the log jump sizes are random variables double asymmetric exponentially distributed. Thanks to this particular choice, quasi-explicit formula is available for the joint probability of the first passage time and the terminal value. We characterized the price of the risky bond and derived a closed form in Laplace domain. Black and Cox [1976], Zhou [1997] models and this model have been implemented and numerically compared.
Author : Keith Cuthbertson
Publisher : John Wiley & Sons
ISBN 13 : 0471495840
Total Pages : 802 pages
Book Rating : 4.4/5 (714 download)
Download or read book Financial Engineering written by Keith Cuthbertson and published by John Wiley & Sons. This book was released on 2001-06-08 with total page 802 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text provides a thorough treatment of futures, 'plain vanilla' options and swaps as well as the use of exotic derivatives and interest rate options for speculation and hedging. Pricing of options using numerical methods such as lattices (BOPM), Mone Carlo simulation and finite difference methods, in additon to solutions using continuous time mathematics, are also covered. Real options theory and its use in investment appraisal and in valuing internet and biotechnology companies provide cutting edge practical applications. Practical risk management issues are examined in depth. Alternative models for calculating Value at Risk (market risk) and credit risk provide the throretical basis for a practical and timely overview of these areas of regulatory policy. This book is designed for courses in derivatives and risk management taken by specialist MBA, MSc Finance students or final year undergraduates, either as a stand-alone text or as a follow-on to Investments: Spot and Derivatives Markets by the same authors. The authors adopt a real-world emphasis throughout, and include features such as: * topic boxes, worked examples and learning objectives * Financial Times and Wall Street Journal newspaper extracts and analysis of real world cases * supporting web site including Lecturer's Resource Pack and Student Centre with interactive Excel and GAUSS software
Author : Lixin Wu
Publisher : CRC Press
ISBN 13 : 1040103073
Total Pages : 436 pages
Book Rating : 4.0/5 (41 download)
Download or read book Interest Rate Modeling written by Lixin Wu and published by CRC Press. This book was released on 2024-08-27 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt: Containing many results that are new, or which exist only in recent research articles, this thoroughly revised third edition of Interest Rate Modeling: Theory and Practice, Third Edition portrays the theory of interest rate modeling as a three-dimensional object of finance, mathematics, and computation. It introduces all models with financial-economical justifications, develops options along the martingale approach, and handles option evaluations with precise numerical methods. Features Presents a complete cycle of model construction and applications, showing readers how to build and use models Provides a systematic treatment of intriguing industrial issues, such as volatility smiles and correlation adjustments Contains exercise sets and a number of examples, with many based on real market data Includes comments on cutting-edge research, such as volatility-smile, positive interest-rate models, and convexity adjustment New to the Third edition Introduction of Fed fund market and Fed fund futures Replacement of the forward-looking USD LIBOR by the backward-looking SOFR term rates in the market model, and the deletion of dual-curve market model developed especially for the post-crisis derivatives markets New chapters on LIBOR Transition and SOFR Derivatives Markets
