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Download Linear And Non Linear Monotone Methods For Valuing Financial Options Under Two Factor Jump Diffusion Models full books in PDF, epub, and Kindle. Read online Linear And Non Linear Monotone Methods For Valuing Financial Options Under Two Factor Jump Diffusion Models ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author :
Publisher :
ISBN 13 :
Total Pages : 994 pages
Book Rating : 4.F/5 ( download)
Download or read book Dissertation Abstracts International written by and published by . This book was released on 2008 with total page 994 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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Publisher :
ISBN 13 :
Total Pages : 1196 pages
Book Rating : 4.:/5 (318 download)
Download or read book SIAM Journal on Scientific Computing written by and published by . This book was released on 2001 with total page 1196 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Peter Tankov
Publisher : CRC Press
ISBN 13 : 1135437947
Total Pages : 552 pages
Book Rating : 4.1/5 (354 download)
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
Author : David Kinderlehrer
Publisher : SIAM
ISBN 13 : 0898714664
Total Pages : 328 pages
Book Rating : 4.8/5 (987 download)
Download or read book An Introduction to Variational Inequalities and Their Applications written by David Kinderlehrer and published by SIAM. This book was released on 2000-01-01 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: Unabridged republication is a resource for topics in elliptic equations and systems and free boundary problems.
Author : Floyd B. Hanson
Publisher : SIAM
ISBN 13 : 9780898718638
Total Pages : 472 pages
Book Rating : 4.7/5 (186 download)
Download or read book Applied Stochastic Processes and Control for Jump-Diffusions written by Floyd B. Hanson and published by SIAM. This book was released on 2007-01-01 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: This self-contained, practical, entry-level text integrates the basic principles of applied mathematics, applied probability, and computational science for a clear presentation of stochastic processes and control for jump diffusions in continuous time. The author covers the important problem of controlling these systems and, through the use of a jump calculus construction, discusses the strong role of discontinuous and nonsmooth properties versus random properties in stochastic systems.
Author : Don L. McLeish
Publisher : John Wiley & Sons
ISBN 13 : 1118160940
Total Pages : 308 pages
Book Rating : 4.1/5 (181 download)
Download or read book Monte Carlo Simulation and Finance written by Don L. McLeish and published by John Wiley & Sons. This book was released on 2011-09-13 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: Monte Carlo methods have been used for decades in physics, engineering, statistics, and other fields. Monte Carlo Simulation and Finance explains the nuts and bolts of this essential technique used to value derivatives and other securities. Author and educator Don McLeish examines this fundamental process, and discusses important issues, including specialized problems in finance that Monte Carlo and Quasi-Monte Carlo methods can help solve and the different ways Monte Carlo methods can be improved upon. This state-of-the-art book on Monte Carlo simulation methods is ideal for finance professionals and students. Order your copy today.
Author : Daniel J. Duffy
Publisher : John Wiley & Sons
ISBN 13 : 1118856481
Total Pages : 452 pages
Book Rating : 4.1/5 (188 download)
Download or read book Finite Difference Methods in Financial Engineering written by Daniel J. Duffy and published by John Wiley & Sons. This book was released on 2013-10-28 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt: The world of quantitative finance (QF) is one of the fastest growing areas of research and its practical applications to derivatives pricing problem. Since the discovery of the famous Black-Scholes equation in the 1970's we have seen a surge in the number of models for a wide range of products such as plain and exotic options, interest rate derivatives, real options and many others. Gone are the days when it was possible to price these derivatives analytically. For most problems we must resort to some kind of approximate method. In this book we employ partial differential equations (PDE) to describe a range of one-factor and multi-factor derivatives products such as plain European and American options, multi-asset options, Asian options, interest rate options and real options. PDE techniques allow us to create a framework for modeling complex and interesting derivatives products. Having defined the PDE problem we then approximate it using the Finite Difference Method (FDM). This method has been used for many application areas such as fluid dynamics, heat transfer, semiconductor simulation and astrophysics, to name just a few. In this book we apply the same techniques to pricing real-life derivative products. We use both traditional (or well-known) methods as well as a number of advanced schemes that are making their way into the QF literature: Crank-Nicolson, exponentially fitted and higher-order schemes for one-factor and multi-factor options Early exercise features and approximation using front-fixing, penalty and variational methods Modelling stochastic volatility models using Splitting methods Critique of ADI and Crank-Nicolson schemes; when they work and when they don't work Modelling jumps using Partial Integro Differential Equations (PIDE) Free and moving boundary value problems in QF Included with the book is a CD containing information on how to set up FDM algorithms, how to map these algorithms to C++ as well as several working programs for one-factor and two-factor models. We also provide source code so that you can customize the applications to suit your own needs.
Author : Ngai Hang Chan
Publisher : John Wiley & Sons
ISBN 13 : 1118735935
Total Pages : 228 pages
Book Rating : 4.1/5 (187 download)
Download or read book Simulation Techniques in Financial Risk Management written by Ngai Hang Chan and published by John Wiley & Sons. This book was released on 2015-04-13 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for the First Edition “…a nice, self-contained introduction to simulation and computational techniques in finance…” – Mathematical Reviews Simulation Techniques in Financial Risk Management, Second Edition takes a unique approach to the field of simulations by focusing on techniques necessary in the fields of finance and risk management. Thoroughly updated, the new edition expands on several key topics in these areas and presents many of the recent innovations in simulations and risk management, such as advanced option pricing models beyond the Black–Scholes paradigm, interest rate models, MCMC methods including stochastic volatility models simulations, model assets and model-free properties, jump diffusion, and state space modeling. The Second Edition also features: Updates to primary software used throughout the book, Microsoft Office® Excel® VBA New topical coverage on multiple assets, model-free properties, and related models More than 300 exercises at the end of each chapter, with select answers in the appendix, to help readers apply new concepts and test their understanding Extensive use of examples to illustrate how to use simulation techniques in risk management Practical case studies, such as the pricing of exotic options; simulations of Greeks in hedging; and the use of Bayesian ideas to assess the impact of jumps, so readers can reproduce the results of the studies A related website with additional solutions to problems within the book as well as Excel VBA and S-Plus computer code for many of the examples within the book Simulation Techniques in Financial Risk Management, Second Edition is an invaluable resource for risk managers in the financial and actuarial industries as well as a useful reference for readers interested in learning how to better gauge risk and make more informed decisions. The book is also ideal for upper-undergraduate and graduate-level courses in simulation and risk management.
Author : Damir Filipovic
Publisher : Springer Science & Business Media
ISBN 13 : 3540680152
Total Pages : 259 pages
Book Rating : 4.5/5 (46 download)
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.
Author : Fabrice D. Rouah
Publisher : John Wiley & Sons
ISBN 13 : 1118429206
Total Pages : 456 pages
Book Rating : 4.1/5 (184 download)
Download or read book Option Pricing Models and Volatility Using Excel-VBA written by Fabrice D. Rouah and published by John Wiley & Sons. This book was released on 2012-06-15 with total page 456 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive guide offers traders, quants, and students the tools and techniques for using advanced models for pricing options. The accompanying website includes data files, such as options prices, stock prices, or index prices, as well as all of the codes needed to use the option and volatility models described in the book. Praise for Option Pricing Models & Volatility Using Excel-VBA "Excel is already a great pedagogical tool for teaching option valuation and risk management. But the VBA routines in this book elevate Excel to an industrial-strength financial engineering toolbox. I have no doubt that it will become hugely successful as a reference for option traders and risk managers." —Peter Christoffersen, Associate Professor of Finance, Desautels Faculty of Management, McGill University "This book is filled with methodology and techniques on how to implement option pricing and volatility models in VBA. The book takes an in-depth look into how to implement the Heston and Heston and Nandi models and includes an entire chapter on parameter estimation, but this is just the tip of the iceberg. Everyone interested in derivatives should have this book in their personal library." —Espen Gaarder Haug, option trader, philosopher, and author of Derivatives Models on Models "I am impressed. This is an important book because it is the first book to cover the modern generation of option models, including stochastic volatility and GARCH." —Steven L. Heston, Assistant Professor of Finance, R.H. Smith School of Business, University of Maryland
Author : Jürgen Franke
Publisher : Springer Science & Business Media
ISBN 13 : 9783540216759
Total Pages : 454 pages
Book Rating : 4.2/5 (167 download)
Download or read book Statistics of Financial Markets written by Jürgen Franke and published by Springer Science & Business Media. This book was released on 2004 with total page 454 pages. Available in PDF, EPUB and Kindle. Book excerpt: Extreme Value Theory (EVT), GARCH MODELS, Hypothesis Testing, Fitting Probability Distributions to Risk Factors and Portfolios.
Author : Svetlana I. Boyarchenko
Publisher : World Scientific
ISBN 13 : 9810249446
Total Pages : 421 pages
Book Rating : 4.8/5 (12 download)
Download or read book Non-Gaussian Merton-Black-Scholes Theory written by Svetlana I. Boyarchenko and published by World Scientific. This book was released on 2002 with total page 421 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces an analytically tractable and computationally effective class of non-Gaussian models for shocks (regular Lvy processes of the exponential type) and related analytical methods similar to the initial Merton-Black-Scholes approach, which the authors call the Merton-Black-Scholes theory.The authors have chosen applications interesting for financial engineers and specialists in financial economics, real options, and partial differential equations (especially pseudodifferential operators); specialists in stochastic processes will benefit from the use of the pseudodifferential operators technique in non-Gaussian situations. The authors also consider discrete time analogues of perpetual American options and the problem of the optimal choice of capital, and outline several possible directions in which the methods of the book can be developed further.Taking account of a diverse audience, the book has been written in such a way that it is simple at the beginning and more technical in further chapters, so that it is accessible to graduate students in relevant areas and mathematicians without prior knowledge of finance or economics.
Author : Fabrice D. Rouah
Publisher : John Wiley & Sons
ISBN 13 : 1118695178
Total Pages : 437 pages
Book Rating : 4.1/5 (186 download)
Download or read book The Heston Model and its Extensions in Matlab and C# written by Fabrice D. Rouah and published by John Wiley & Sons. This book was released on 2013-08-01 with total page 437 pages. Available in PDF, EPUB and Kindle. Book excerpt: Tap into the power of the most popular stochastic volatility model for pricing equity derivatives Since its introduction in 1993, the Heston model has become a popular model for pricing equity derivatives, and the most popular stochastic volatility model in financial engineering. This vital resource provides a thorough derivation of the original model, and includes the most important extensions and refinements that have allowed the model to produce option prices that are more accurate and volatility surfaces that better reflect market conditions. The book's material is drawn from research papers and many of the models covered and the computer codes are unavailable from other sources. The book is light on theory and instead highlights the implementation of the models. All of the models found here have been coded in Matlab and C#. This reliable resource offers an understanding of how the original model was derived from Ricatti equations, and shows how to implement implied and local volatility, Fourier methods applied to the model, numerical integration schemes, parameter estimation, simulation schemes, American options, the Heston model with time-dependent parameters, finite difference methods for the Heston PDE, the Greeks, and the double Heston model. A groundbreaking book dedicated to the exploration of the Heston model—a popular model for pricing equity derivatives Includes a companion website, which explores the Heston model and its extensions all coded in Matlab and C# Written by Fabrice Douglas Rouah a quantitative analyst who specializes in financial modeling for derivatives for pricing and risk management Engaging and informative, this is the first book to deal exclusively with the Heston Model and includes code in Matlab and C# for pricing under the model, as well as code for parameter estimation, simulation, finite difference methods, American options, and more.
Author : Alexander Eydeland
Publisher : John Wiley & Sons
ISBN 13 : 0471455873
Total Pages : 506 pages
Book Rating : 4.4/5 (714 download)
Download or read book Energy and Power Risk Management written by Alexander Eydeland and published by John Wiley & Sons. This book was released on 2003-02-03 with total page 506 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Energy and Power Risk Management "Energy and Power Risk Management identifies and addresses the key issues in the development of the turbulent energy industry and the challenges it poses to market players. An insightful and far-reaching book written by two renowned professionals." -Helyette Geman, Professor of Finance University Paris Dauphine and ESSEC "The most up-to-date and comprehensive book on managing energy price risk in the natural gas and power markets. An absolute imperative for energy traders and energy risk management professionals." -Vincent Kaminski, Managing Director Citadel Investment Group LLC "Eydeland and Wolyniec's work does an excellent job of outlining the methods needed to measure and manage risk in the volatile energy market." -Gerald G. Fleming, Vice President, Head of East Power Trading, TXU Energy Trading "This book combines academic rigor with real-world practicality. It is a must-read for anyone in energy risk management or asset valuation." -Ron Erd, Senior Vice President American Electric Power
Author : Raymond Hon-Fu Chan
Publisher : SIAM
ISBN 13 : 9780898718850
Total Pages : 123 pages
Book Rating : 4.7/5 (188 download)
Download or read book An Introduction to Iterative Toeplitz Solvers written by Raymond Hon-Fu Chan and published by SIAM. This book was released on 2007-01-01 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt: Toeplitz systems arise in a variety of applications in mathematics, scientific computing, and engineering, including numerical partial and ordinary differential equations, numerical solutions of convolution-type integral equations, stationary autoregressive time series in statistics, minimal realization problems in control theory, system identification problems in signal processing, and image restoration problems in image processing.
Author : LEVEQUE
Publisher : Birkhäuser
ISBN 13 : 3034851162
Total Pages : 221 pages
Book Rating : 4.0/5 (348 download)
Download or read book Numerical Methods for Conservation Laws written by LEVEQUE and published by Birkhäuser. This book was released on 2013-11-11 with total page 221 pages. Available in PDF, EPUB and Kindle. Book excerpt: These notes developed from a course on the numerical solution of conservation laws first taught at the University of Washington in the fall of 1988 and then at ETH during the following spring. The overall emphasis is on studying the mathematical tools that are essential in de veloping, analyzing, and successfully using numerical methods for nonlinear systems of conservation laws, particularly for problems involving shock waves. A reasonable un derstanding of the mathematical structure of these equations and their solutions is first required, and Part I of these notes deals with this theory. Part II deals more directly with numerical methods, again with the emphasis on general tools that are of broad use. I have stressed the underlying ideas used in various classes of methods rather than present ing the most sophisticated methods in great detail. My aim was to provide a sufficient background that students could then approach the current research literature with the necessary tools and understanding. vVithout the wonders of TeX and LaTeX, these notes would never have been put together. The professional-looking results perhaps obscure the fact that these are indeed lecture notes. Some sections have been reworked several times by now, but others are still preliminary. I can only hope that the errors are not too blatant. Moreover, the breadth and depth of coverage was limited by the length of these courses, and some parts are rather sketchy.
Author : Joel L. Schiff
Publisher :
ISBN 13 : 9781475772616
Total Pages : 252 pages
Book Rating : 4.7/5 (726 download)
Download or read book The Laplace Transform written by Joel L. Schiff and published by . This book was released on 2014-01-15 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt:
