Jump Diffusion Processes And Affine Term Structure Models

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Jump-diffusion Processes and Affine Term Structure Models

Author : J. Benson Durham
Publisher :
ISBN 13 :
Total Pages : 84 pages
Book Rating : 4.E/5 ( download)

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Book Synopsis Jump-diffusion Processes and Affine Term Structure Models by : J. Benson Durham

Download or read book Jump-diffusion Processes and Affine Term Structure Models written by J. Benson Durham and published by . This book was released on 2005 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: Affine term structure models in which the short rate follows a jump-diffusion process are difficult to solve, and the parameters of such models are hard to estimate. Without analytical answers to the partial difference differential equation (PDDE) for bond prices implied by jump-diffusion processes, one must find a numerical solution to the PDDE or exactly solve an approximate PDDE. Although the literature focuses on a single linearization technique to estimate the PDDE, this paper outlines alternative methods that seem to improve accuracy. Also, closed-form solutions, numerical estimates, and closed-form approximations of the PDDE each ultimately depend on the presumed distribution of jump sizes, and this paper explores a broader set of possible densities that may be more consistent with intuition, including a bi-modal Gaussian mixture. GMM and MLE of one- and two-factor jump-diffusion models produce some evidence for jumps, but sensitivity analyses suggest sizeable confidence intervals around the parameters.

Encyclopedia of Finance

Author : Cheng-Few Lee
Publisher : Springer Science & Business Media
ISBN 13 : 0387262849
Total Pages : 861 pages
Book Rating : 4.3/5 (872 download)

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Book Synopsis Encyclopedia of Finance by : Cheng-Few Lee

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.

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

Term-Structure Models

Author : Damir Filipovic
Publisher : Springer Science & Business Media
ISBN 13 : 3540680152
Total Pages : 259 pages
Book Rating : 4.5/5 (46 download)

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Book Synopsis Term-Structure Models by : Damir Filipovic

Download or read book Term-Structure Models written by Damir Filipovic and published by Springer Science & Business Media. This book was released on 2009-07-28 with total page 259 pages. Available in PDF, EPUB and Kindle. Book excerpt: Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathematics of term-structure models in continuous time. It includes practical aspects for fixed-income markets such as day-count conventions, duration of coupon-paying bonds and yield curve construction; arbitrage theory; short-rate models; the Heath-Jarrow-Morton methodology; consistent term-structure parametrizations; affine diffusion processes and option pricing with Fourier transform; LIBOR market models; and credit risk. The focus is on a mathematically straightforward but rigorous development of the theory. Students, researchers and practitioners will find this volume very useful. Each chapter ends with a set of exercises, that provides source for homework and exam questions. Readers are expected to be familiar with elementary Itô calculus, basic probability theory, and real and complex analysis.

Handbook of the Economics of Finance

Author : G. Constantinides
Publisher : Elsevier
ISBN 13 : 0080495087
Total Pages : 698 pages
Book Rating : 4.0/5 (84 download)

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Book Synopsis Handbook of the Economics of Finance by : G. Constantinides

Download or read book Handbook of the Economics of Finance written by G. Constantinides and published by Elsevier. This book was released on 2003-11-04 with total page 698 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volume 1B covers the economics of financial markets: the saving and investment decisions; the valuation of equities, derivatives, and fixed income securities; and market microstructure.

Encyclopedia of Finance

Author : Cheng-Few Lee
Publisher : Springer Nature
ISBN 13 : 3030912310
Total Pages : 2746 pages
Book Rating : 4.0/5 (39 download)

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Book Synopsis Encyclopedia of Finance by : Cheng-Few Lee

Download or read book Encyclopedia of Finance written by Cheng-Few Lee and published by Springer Nature. This book was released on 2022-09-12 with total page 2746 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Encyclopedia of Finance comprehensively covers the broad spectrum of terms and topics relating finance from asset pricing models to option pricing models to risk management and beyond. This third edition is comprised of over 1,300 individual definitions, chapters, appendices and is the most comprehensive and up-to-date resource in the field, integrating the most current terminology, research, theory, and practical applications. It includes 200 new terms and essays; 25 new chapters and four new appendices. Showcasing contributions from an international array of experts, the revised edition of this major reference work is unparalleled in the breadth and depth of its coverage.

Financial Market Risk

Author : Cornelis Los
Publisher : Routledge
ISBN 13 : 1134469322
Total Pages : 483 pages
Book Rating : 4.1/5 (344 download)

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Book Synopsis Financial Market Risk by : Cornelis Los

Download or read book Financial Market Risk written by Cornelis Los and published by Routledge. This book was released on 2003-07-24 with total page 483 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers the latest theories and empirical findings of financial risk, its measurement and management, and its applications in the world of finance.

Affine Diffusions and Related Processes: Simulation, Theory and Applications

Author : Aurélien Alfonsi
Publisher : Springer
ISBN 13 : 3319052217
Total Pages : 264 pages
Book Rating : 4.3/5 (19 download)

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Book Synopsis Affine Diffusions and Related Processes: Simulation, Theory and Applications by : Aurélien Alfonsi

Download or read book Affine Diffusions and Related Processes: Simulation, Theory and Applications written by Aurélien Alfonsi and published by Springer. This book was released on 2015-04-30 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book gives an overview of affine diffusions, from Ornstein-Uhlenbeck processes to Wishart processes and it considers some related diffusions such as Wright-Fisher processes. It focuses on different simulation schemes for these processes, especially second-order schemes for the weak error. It also presents some models, mostly in the field of finance, where these methods are relevant and provides some numerical experiments. The book explains the mathematical background to understand affine diffusions and analyze the accuracy of the schemes.

Financial Modelling with Jump Processes

Author : Peter Tankov
Publisher : CRC Press
ISBN 13 : 1135437947
Total Pages : 552 pages
Book Rating : 4.1/5 (354 download)

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Book Synopsis Financial Modelling with Jump Processes by : Peter Tankov

Download or read book Financial Modelling with Jump Processes written by Peter Tankov and published by CRC Press. This book was released on 2003-12-30 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic

Time-discrete Method Of Lines For Options And Bonds, The: A Pde Approach

Author : Gunter H Meyer
Publisher : World Scientific
ISBN 13 : 9814619698
Total Pages : 286 pages
Book Rating : 4.8/5 (146 download)

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Book Synopsis Time-discrete Method Of Lines For Options And Bonds, The: A Pde Approach by : Gunter H Meyer

Download or read book Time-discrete Method Of Lines For Options And Bonds, The: A Pde Approach written by Gunter H Meyer and published by World Scientific. This book was released on 2014-11-27 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: Few financial mathematical books have discussed mathematically acceptable boundary conditions for the degenerate diffusion equations in finance. In The Time-Discrete Method of Lines for Options and Bonds, Gunter H Meyer examines PDE models for financial derivatives and shows where the Fichera theory requires the pricing equation at degenerate boundary points, and what modifications of it lead to acceptable tangential boundary conditions at non-degenerate points on computational boundaries when no financial data are available.Extensive numerical simulations are carried out with the method of lines to examine the influence of the finite computational domain and of the chosen boundary conditions on option and bond prices in one and two dimensions, reflecting multiple assets, stochastic volatility, jump diffusion and uncertain parameters. Special emphasis is given to early exercise boundaries, prices and their derivatives near expiration. Detailed graphs and tables are included which may serve as benchmark data for solutions found with competing numerical methods.

Computational Science and Its Applications - ICCSA 2008

Author : Osvaldo Gervasi
Publisher : Springer Science & Business Media
ISBN 13 : 354069840X
Total Pages : 1297 pages
Book Rating : 4.5/5 (46 download)

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Book Synopsis Computational Science and Its Applications - ICCSA 2008 by : Osvaldo Gervasi

Download or read book Computational Science and Its Applications - ICCSA 2008 written by Osvaldo Gervasi and published by Springer Science & Business Media. This book was released on 2008-06-24 with total page 1297 pages. Available in PDF, EPUB and Kindle. Book excerpt: The two-volume set LNCS 5072 and 5073 constitutes the refereed proceedings of the International Conference on Computational Science and Its Applications, ICCSA 2008, held in Perugia, Italy in June/July 2008. The two volumes contain papers presenting a wealth of original research results in the field of computational science, from foundational issues in computer science and mathematics to advanced applications in virtually all sciences making use of computational techniques. The topics of the refereed papers are structured according to the five major conference themes: computational methods, algorithms and applications, high performance technical computing and networks, advanced and emerging applications, geometric modelling, graphics and visualization, information systems and information technologies.

Missing Data Methods

Author : David M. Drukker
Publisher : Emerald Group Publishing
ISBN 13 : 1780525265
Total Pages : 262 pages
Book Rating : 4.7/5 (85 download)

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Book Synopsis Missing Data Methods by : David M. Drukker

Download or read book Missing Data Methods written by David M. Drukker and published by Emerald Group Publishing. This book was released on 2011-11-30 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt: Part of the "Advances in Econometrics" series, this title contains chapters covering topics such as: Missing-Data Imputation in Nonstationary Panel Data Models; Markov Switching Models in Empirical Finance; Bayesian Analysis of Multivariate Sample Selection Models Using Gaussian Copulas; and, Consistent Estimation and Orthogonality.

Mathematics of the Bond Market: A Lévy Processes Approach

Author : Michał Barski
Publisher : Cambridge University Press
ISBN 13 : 1107101298
Total Pages : 401 pages
Book Rating : 4.1/5 (71 download)

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Book Synopsis Mathematics of the Bond Market: A Lévy Processes Approach by : Michał Barski

Download or read book Mathematics of the Bond Market: A Lévy Processes Approach written by Michał Barski and published by Cambridge University Press. This book was released on 2020-04-23 with total page 401 pages. Available in PDF, EPUB and Kindle. Book excerpt: Analyses bond market models with Lévy stochastic factors, suitable for graduates and researchers in probability and mathematical finance.

Advanced Fixed-Income Valuation Tools

Author : Narasimhan Jegadeesh
Publisher : John Wiley & Sons
ISBN 13 : 9780471254195
Total Pages : 438 pages
Book Rating : 4.2/5 (541 download)

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Book Synopsis Advanced Fixed-Income Valuation Tools by : Narasimhan Jegadeesh

Download or read book Advanced Fixed-Income Valuation Tools written by Narasimhan Jegadeesh and published by John Wiley & Sons. This book was released on 1999-12-28 with total page 438 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presenting the most advanced thinking on the topic, this book covers the latest valuation models and techniques. It addresses essential topics such as the subtleties of fixed-income mathematics, new approaches to modeling term structures, and the applications of fixed-income valuation on credit risk, mortgages, munis, and indexed bonds.

Handbook of Financial Econometrics

Author : Yacine Ait-Sahalia
Publisher : Elsevier
ISBN 13 : 0444535497
Total Pages : 385 pages
Book Rating : 4.4/5 (445 download)

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Book Synopsis Handbook of Financial Econometrics by : Yacine Ait-Sahalia

Download or read book Handbook of Financial Econometrics written by Yacine Ait-Sahalia and published by Elsevier. This book was released on 2009-10-21 with total page 385 pages. Available in PDF, EPUB and Kindle. Book excerpt: Applied financial econometrics subjects are featured in this second volume, with papers that survey important research even as they make unique empirical contributions to the literature. These subjects are familiar: portfolio choice, trading volume, the risk-return tradeoff, option pricing, bond yields, and the management, supervision, and measurement of extreme and infrequent risks. Yet their treatments are exceptional, drawing on current data and evidence to reflect recent events and scholarship. A landmark in its coverage, this volume should propel financial econometric research for years. - Presents a broad survey of current research - Contributors are leading econometricians - Offers a clarity of method and explanation unavailable in other financial econometrics collections

Mortgage Valuation Models

Author : Andrew S. Davidson
Publisher : Oxford University Press, USA
ISBN 13 : 0199998167
Total Pages : 465 pages
Book Rating : 4.1/5 (999 download)

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Book Synopsis Mortgage Valuation Models by : Andrew S. Davidson

Download or read book Mortgage Valuation Models written by Andrew S. Davidson and published by Oxford University Press, USA. This book was released on 2014 with total page 465 pages. Available in PDF, EPUB and Kindle. Book excerpt: Valuation of mortgage-backed securities requires blending empirical analysis of borrower behavior and mathematical modeling of interest rates and home prices, with recognition of various prices of risk and uncertainty. This book offers a detailed description of the sophisticated theories and advanced methods used for the real-world valuation of MBS.

Parameter Estimation in Stochastic Volatility Models

Author : Jaya P. N. Bishwal
Publisher : Springer Nature
ISBN 13 : 3031038614
Total Pages : 634 pages
Book Rating : 4.0/5 (31 download)

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Book Synopsis Parameter Estimation in Stochastic Volatility Models by : Jaya P. N. Bishwal

Download or read book Parameter Estimation in Stochastic Volatility Models written by Jaya P. N. Bishwal and published by Springer Nature. This book was released on 2022-08-06 with total page 634 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book develops alternative methods to estimate the unknown parameters in stochastic volatility models, offering a new approach to test model accuracy. While there is ample research to document stochastic differential equation models driven by Brownian motion based on discrete observations of the underlying diffusion process, these traditional methods often fail to estimate the unknown parameters in the unobserved volatility processes. This text studies the second order rate of weak convergence to normality to obtain refined inference results like confidence interval, as well as nontraditional continuous time stochastic volatility models driven by fractional Levy processes. By incorporating jumps and long memory into the volatility process, these new methods will help better predict option pricing and stock market crash risk. Some simulation algorithms for numerical experiments are provided.