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Modeling Calibration And Simulation Of Spot Price Paths
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Book Synopsis Market-Conform Valuation of Options by : Tobias Herwig
Download or read book Market-Conform Valuation of Options written by Tobias Herwig and published by Taylor & Francis. This book was released on 2006-01-17 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: The focus of this volume is on the development of new approaches for the market-conform valuation of newly issued derivatives. The first chapter presents a flexible approach to construct the binomial process of the underlying asset price by using a simultaneously backward and forward induction algorithm. This framework can be used to price and hedge a wide range of plain-vanilla and exotic options. In the second chapter this new approach is compared to existing models using a sample of plain-vanilla options, American call options and European Barrier options from two competing markets. In the third chapter new methods to value American-style options via Monte Carlo simulations in accordance with given market prices are discussed. After a short introduction to Monte Carlo methods, two new approaches are proposed. These new frameworks are illustrated via pricing examples for standard American put options.
Book Synopsis Applied and Industrial Mathematics, Venice—2, 1998 by : Renato Spigler
Download or read book Applied and Industrial Mathematics, Venice—2, 1998 written by Renato Spigler and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this volume, I have collected several papers which were presented at the international conference called "Venice-2/Symposium on Applied and In dustrial Mathematics". Such a conference was held in Venice, Italy, between June 11 and 16,1998, and was intended as the follow-up of the very successful similar event (called "Venice-1/Symposium on Applied and Industrial Math ematics"), that was also organized in Venice in October 1989. The Venice-1 conference ended up with a Kluwer volume like this one. I am grateful to Kluwer for having accepted to publish the present volume, the aim of which is to update somehow the state-of-the-art in the field of Ap plied Mathematics as well as in that of the nowadays rather more developed area of Industrial Mathematics. The most of the invited (key-note) speakers contributed to this volume with a paper related to their talk. There are, in addition·, a few significant contributed papers, selected on the basis of their quality and relevance to the present-time research activities. The topics considered in the conference range from rather general sub jects in applied and numerical analysis, to more specialized subjects such as polymers and disordered media, granular flow, semiconductor mathematics, superconductors, elasticity, tomography and other inverse problems, financial modeling, photographic sciences, etc. The papers collected in this volume provide a selection of them. It is clear from the previous list that some attention has been paid to relatively new and emerging fields.
Book Synopsis Mathematical Modeling, Simulation and Optimization for Power Engineering and Management by : Simone Göttlich
Download or read book Mathematical Modeling, Simulation and Optimization for Power Engineering and Management written by Simone Göttlich and published by Springer Nature. This book was released on 2021-02-02 with total page 333 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edited monograph offers a summary of future mathematical methods supporting the recent energy sector transformation. It collects current contributions on innovative methods and algorithms. Advances in mathematical techniques and scientific computing methods are presented centering around economic aspects, technical realization and large-scale networks. Over twenty authors focus on the mathematical modeling of such future systems with careful analysis of desired properties and arising scales. Numerical investigations include efficient methods for the simulation of possibly large-scale interconnected energy systems and modern techniques for optimization purposes to guarantee stable and reliable future operations. The target audience comprises research scientists, researchers in the R&D field, and practitioners. Since the book highlights possible future research directions, graduate students in the field of mathematical modeling or electrical engineering may also benefit strongly.
Book Synopsis Financial Derivatives Modeling by : Christian Ekstrand
Download or read book Financial Derivatives Modeling written by Christian Ekstrand and published by Springer Science & Business Media. This book was released on 2011-08-26 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book gives a comprehensive introduction to the modeling of financial derivatives, covering all major asset classes (equities, commodities, interest rates and foreign exchange) and stretching from Black and Scholes' lognormal modeling to current-day research on skew and smile models. The intended reader has a solid mathematical background and is a graduate/final-year undergraduate student specializing in Mathematical Finance, or works at a financial institution such as an investment bank or a hedge fund.
Book Synopsis Stochastic Volatility Modeling by : Lorenzo Bergomi
Download or read book Stochastic Volatility Modeling written by Lorenzo Bergomi and published by CRC Press. This book was released on 2015-12-16 with total page 520 pages. Available in PDF, EPUB and Kindle. Book excerpt: Packed with insights, Lorenzo Bergomi's Stochastic Volatility Modeling explains how stochastic volatility is used to address issues arising in the modeling of derivatives, including:Which trading issues do we tackle with stochastic volatility? How do we design models and assess their relevance? How do we tell which models are usable and when does c
Book Synopsis Calibration and Parameterization Methods for the Libor Market Model by : Christoph Hackl
Download or read book Calibration and Parameterization Methods for the Libor Market Model written by Christoph Hackl and published by Springer Science & Business Media. This book was released on 2013-12-27 with total page 69 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Libor Market Model (LMM) is a mathematical model for pricing and risk management of interest rate derivatives and has been built on the framework of modelling forward rates. For the conceptual understanding of the model a strong background in the fields of mathematics, statistics, finance and especially for implementation, computer science is necessary. The book provides the ne cessary groundwork to understand the LMM and delivers a framework to implement a working model where possible calibration and parameterization methods for volatility and correlation are explained. Special emphasis lies also on the trade off of speed and correctness where differences in choosing random number generators and the advantages of factor reduction are shown.
Book Synopsis Encyclopedia of Financial Models, Volume III by : Frank J. Fabozzi
Download or read book Encyclopedia of Financial Models, Volume III written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2012-09-20 with total page 1060 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volume 3 of the Encyclopedia of Financial Models The need for serious coverage of financial modeling has never been greater, especially with the size, diversity, and efficiency of modern capital markets. With this in mind, the Encyclopedia of Financial Models has been created to help a broad spectrum of individuals—ranging from finance professionals to academics and students—understand financial modeling and make use of the various models currently available. Incorporating timely research and in-depth analysis, Volume 3 of the Encyclopedia of Financial Models covers both established and cutting-edge models and discusses their real-world applications. Edited by Frank Fabozzi, this volume includes contributions from global financial experts as well as academics with extensive consulting experience in this field. Organized alphabetically by category, this reliable resource consists of forty-four informative entries and provides readers with a balanced understanding of today’s dynamic world of financial modeling. Volume 3 covers Mortgage-Backed Securities Analysis and Valuation, Operational Risk, Optimization Tools, Probability Theory, Risk Measures, Software for Financial Modeling, Stochastic Processes and Tools, Term Structure Modeling, Trading Cost Models, and Volatility Emphasizes both technical and implementation issues, providing researchers, educators, students, and practitioners with the necessary background to deal with issues related to financial modeling The 3-Volume Set contains coverage of the fundamentals and advances in financial modeling and provides the mathematical and statistical techniques needed to develop and test financial models Financial models have become increasingly commonplace, as well as complex. They are essential in a wide range of financial endeavors, and the Encyclopedia of Financial Models will help put them in perspective.
Book Synopsis C++ High Performance for Financial Systems by : Ariel Silahian
Download or read book C++ High Performance for Financial Systems written by Ariel Silahian and published by Packt Publishing Ltd. This book was released on 2024-03-29 with total page 317 pages. Available in PDF, EPUB and Kindle. Book excerpt: An in-depth guide covering system architecture, low-latency strategies, risk management, and machine learning for experienced programmers looking to enter the financial industry and build high-performance trading systems Key Features Get started with building financial trading systems Focus on scalability, architecture, and implementing low-latency network communication in C++ Optimize code and use parallel computing techniques for better performance Purchase of the print or Kindle book includes a free PDF eBook Book DescriptionUnlock the secrets of the finance industry and dive into the world of high-performance trading systems with C++ High Performance for Financial Systems. Trading systems are the backbone of the financial world, and understanding how to build them for optimal performance is crucial for success. If you've ever dreamt of creating scalable and cutting-edge financial software, this guide is your key to success. A cornerstone of this book is its coverage of system design and architecture. The book starts by outlining the role of C++ in finance and trading. You'll learn the principles and methodologies behind building systems that can handle vast amounts of data, execute complex trading strategies with ease, and maintain the highest levels of reliability. Armed with this knowledge, you'll be equipped to tackle even the most challenging trading scenarios. In the fast-paced world of finance, every millisecond counts. This book delves into low-latency strategies that will enable your trading systems to react with lightning speed. You’ll also learn the art of reducing latency, optimizing code, and leveraging the latest hardware and software techniques to gain a competitive edge in the market. By the end of this book, you’ll be well-versed in architecting a financial trading system as well as advanced strategies and new industry trends.What you will learn Design architecture for scalable financial trading systems Understand strategies for low-latency trading and high-frequency trading Discover how to implement machine learning algorithms for financial data analysis Understand risk management techniques for financial trading systems Explore advanced topics in finance and trading, including machine learning for algorithmic trading and portfolio optimization Get up to speed with best practices for developing financial trading systems with C++ Who this book is for This book is for experienced C++ developers who want to enter the finance industry and learn how trading systems work. It is also suitable for quantitative analysts, financial engineers, and anyone interested in building scalable and robust trading systems. The book assumes familiarity with the C++ programming language, data structures, and algorithms. Additionally, readers should have a basic understanding of finance and trading concepts, such as market data, trading strategies, and risk management.
Book Synopsis Quantitative Analysis In Financial Markets: Collected Papers Of The New York University Mathematical Finance Seminar (Vol Ii) by : Marco Avellaneda
Download or read book Quantitative Analysis In Financial Markets: Collected Papers Of The New York University Mathematical Finance Seminar (Vol Ii) written by Marco Avellaneda and published by World Scientific. This book was released on 2001-01-10 with total page 379 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 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 So This is Financial Engineering: An introduction to financial engineering by : Kizzi Nkwocha
Download or read book So This is Financial Engineering: An introduction to financial engineering written by Kizzi Nkwocha and published by Athena Publishing. This book was released on 2024-08-24 with total page 666 pages. Available in PDF, EPUB and Kindle. Book excerpt: So This is Financial Engineering is an authoritative and inspiring book written by Kizzi Nkwocha, the creator of Business Game Changer Magazine, Money and Finance Magazine, and The Property Investor Magazine. This book serves as a comprehensive introduction to the principles and practices of financial engineering, designed specifically for finance professionals seeking to enhance their understanding and skills in this field. Financial engineering is of paramount importance in today's dynamic and complex financial landscape. It involves the application of mathematical and quantitative techniques to design innovative financial products, develop sophisticated risk management strategies, and optimize investment portfolios. This book delves into the significance of financial engineering and explores how it can bring substantial benefits to finance professionals. One of the primary benefits of financial engineering is its ability to provide a systematic framework for decision-making. By employing mathematical models, statistical analysis, and advanced risk assessment techniques, financial engineering equips professionals with the tools to make informed decisions and mitigate risks effectively. It offers a structured approach to tackle complex financial challenges, enabling professionals to optimize their strategies and achieve better outcomes. So This is Financial Engineering serves as a valuable resource for finance professionals as it covers a wide range of topics essential to understanding and implementing financial engineering principles. From option pricing models and portfolio optimization to risk management strategies and market microstructure, the book provides a comprehensive overview of the key concepts and techniques used in financial engineering. By reading So This is Financial Engineering, finance professionals will gain a deeper understanding of the theoretical foundations and practical applications of financial engineering. They will learn how to leverage mathematical models, statistical analysis, and technological advancements to enhance their decision-making capabilities and improve overall financial performance. So This is Financial Engineering not only provides theoretical explanations but also offers practical insights and real-world examples to reinforce learning and encourage practical application. Whether you are a seasoned finance professional or a budding enthusiast looking to expand your knowledge, So This is Financial Engineering is an essential read. It provides a comprehensive and accessible introduction to the principles and practice of financial engineering, empowering you with the tools and insights to excel in the dynamic world of finance.
Book Synopsis Efficient Methods for Valuing Interest Rate Derivatives by : Antoon Pelsser
Download or read book Efficient Methods for Valuing Interest Rate Derivatives written by Antoon Pelsser and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 177 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an overview of the models that can be used for valuing and managing interest rate derivatives. Split into two parts, the first discusses and compares the traditional models, such as spot- and forward-rate models, while the second concentrates on the more recently developed Market models. Unlike most of his competitors, the author's focus is not only on the mathematics: Antoon Pelsser draws on his experience in industry to explore a host of practical issues.
Book Synopsis Trade Policy Issues and Empirical Analysis by : Robert E. Baldwin
Download or read book Trade Policy Issues and Empirical Analysis written by Robert E. Baldwin and published by University of Chicago Press. This book was released on 2008-04-15 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt: Interest in U.S. trade policy has been stimulated in recent years by the massive American trade deficit, by the belief that intervention by foreign governments in international markets has given other countries a competitive edge over the United States, and by concern about the increase in protectionism among industrial countries. In turn, major analytical developments in international economics have revolutionized trade theory, broadening its scope both by introducing in a more formal manner such concepts as imperfect competition, increasing returns, product differentiation, and learning effects and by including the study of political and economic factors that shape trade policy decisions. This collection of papers—the result of a conference held by the NBER—applies these "new" trade theories to existing world cases and also presents complementary empirical studies that are grounded in more traditional trade theories. The volume is divided into four parts. The papers in part 1 consider the problem of imperfect competition, empirically assessing the economic effect of various trade policies introduced in industries in which the "new" trade theory seems to apply. Those in part 2 isolate the effects of protection from the influences of the many economic changes that accompany actual periods of protection and also examine how the effects from exogenous changes in economic conditions vary with the form of protection. Part 3 provides new empirical evidence on the effect of foreign production by a country's firms on the home country's exports. Finally, in part 4, two key bilateral issues are analyzed: recent U.S.-Japanese trade tensions and the incident involving the threat of the imposition of countervailing duties by the United States on Canadian softwood lumber.
Book Synopsis Exotic Option Pricing and Advanced Lévy Models by : Andreas Kyprianou
Download or read book Exotic Option Pricing and Advanced Lévy Models written by Andreas Kyprianou and published by John Wiley & Sons. This book was released on 2006-06-14 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since around the turn of the millennium there has been a general acceptance that one of the more practical improvements one may make in the light of the shortfalls of the classical Black-Scholes model is to replace the underlying source of randomness, a Brownian motion, by a Lévy process. Working with Lévy processes allows one to capture desirable distributional characteristics in the stock returns. In addition, recent work on Lévy processes has led to the understanding of many probabilistic and analytical properties, which make the processes attractive as mathematical tools. At the same time, exotic derivatives are gaining increasing importance as financial instruments and are traded nowadays in large quantities in OTC markets. The current volume is a compendium of chapters, each of which consists of discursive review and recent research on the topic of exotic option pricing and advanced Lévy markets, written by leading scientists in this field. In recent years, Lévy processes have leapt to the fore as a tractable mechanism for modeling asset returns. Exotic option values are especially sensitive to an accurate portrayal of these dynamics. This comprehensive volume provides a valuable service for financial researchers everywhere by assembling key contributions from the world's leading researchers in the field. Peter Carr, Head of Quantitative Finance, Bloomberg LP. This book provides a front-row seat to the hottest new field in modern finance: options pricing in turbulent markets. The old models have failed, as many a professional investor can sadly attest. So many of the brightest minds in mathematical finance across the globe are now in search of new, more accurate models. Here, in one volume, is a comprehensive selection of this cutting-edge research. Richard L. Hudson, former Managing Editor of The Wall Street Journal Europe, and co-author with Benoit B. Mandelbrot of The (Mis)Behaviour of Markets: A Fractal View of Risk, Ruin and Reward
Book Synopsis Credit Derivatives Pricing Models by : Philipp J. Schönbucher
Download or read book Credit Derivatives Pricing Models written by Philipp J. Schönbucher and published by John Wiley & Sons. This book was released on 2003-06-13 with total page 403 pages. Available in PDF, EPUB and Kindle. Book excerpt: The credit derivatives market is booming and, for the first time, expanding into the banking sector which previously has had very little exposure to quantitative modeling. This phenomenon has forced a large number of professionals to confront this issue for the first time. Credit Derivatives Pricing Models provides an extremely comprehensive overview of the most current areas in credit risk modeling as applied to the pricing of credit derivatives. As one of the first books to uniquely focus on pricing, this title is also an excellent complement to other books on the application of credit derivatives. Based on proven techniques that have been tested time and again, this comprehensive resource provides readers with the knowledge and guidance to effectively use credit derivatives pricing models. Filled with relevant examples that are applied to real-world pricing problems, Credit Derivatives Pricing Models paves a clear path for a better understanding of this complex issue. Dr. Philipp J. Schönbucher is a professor at the Swiss Federal Institute of Technology (ETH), Zurich, and has degrees in mathematics from Oxford University and a PhD in economics from Bonn University. He has taught various training courses organized by ICM and CIFT, and lectured at risk conferences for practitioners on credit derivatives pricing, credit risk modeling, and implementation.
Book Synopsis Structured Finance Modeling with Object-Oriented VBA by : Evan Tick
Download or read book Structured Finance Modeling with Object-Oriented VBA written by Evan Tick and published by John Wiley & Sons. This book was released on 2011-07-28 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt: A detailed look at how object-oriented VBA should be used to model complex financial structures This guide helps readers overcome the difficult task of modeling complex financial structures and bridges the gap between professional C++/Java programmers writing production models and front-office analysts building Excel spreadsheet models. It reveals how to model financial structures using object-oriented VBA in an Excel environment, allowing desk-based analysts to quickly produce flexible and robust models. Filled with in-depth insight and expert advice, it skillfully illustrates the art of object-oriented programming for the explicit purpose of modeling structured products. Residential mortgage securitization is used as a unifying example throughout the text.
Download or read book Virtual Barrels written by Ilia Bouchouev and published by Springer Nature. This book was released on 2024-01-05 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global oil market is no longer solely influenced by the supply and demand of physical oil barrels. In today's landscape, financial barrels traded by hedge funds using quantitative algorithms and dealers managing large portfolios of oil derivatives are equally crucial in determining the price of oil. This book offers a fascinating insight into the world of oil derivatives, exploring the quantitative models and trading strategies used by professional market participants. With a focus on oil options and volatility trading, the reader is taken on a journey through the story of this market, narrated by one of its pioneers who managed a highly successful trading business for almost a quarter of a century. Bridging the fields of energy economics and mathematical finance, this book demonstrates how the science of trading can unearth unique opportunities in the oil market. Written for aspiring quantitative traders and academic researchers alike, it offers a rare glimpse into the opaque and secretive world of oil derivatives, showcasing how it operates in practice.
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.
