Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Download Monte Carlo Least Squares Applied To Swing Options full books in PDF, epub, and Kindle. Read online Monte Carlo Least Squares Applied To Swing Options ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author : Michael Fischbach
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (73 download)
Download or read book Monte Carlo Least Squares Applied to Swing Options written by Michael Fischbach and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Marc Hanfeld
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (958 download)
Download or read book Operating a Swing Option on Today's Gas Markets written by Marc Hanfeld and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate, if it pays off for a company to invest into complex swing option algorithms. We first introduce least squares Monte Carlo as a complex valuation algorithm and explain in detail how it works. Using a simulation study and two backtest scenarios we compare the output of this method with a simple myopic approach, and evaluate the results also from a business point of view. We find that myopic operation performs fairly well, but given a certain contract size and a certain contract flexibility, LSMC clearly prevails.
Download or read book Pricing Swing Options within Stochastic Volatility Model by Least Square Monte Carlo written by and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jim Redington
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (115 download)
Download or read book Application of the Least Squares Monte Carlo Technique to the Valuation of Gas Storage Assets and Swing Options written by Jim Redington and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Selvaprabu Nadarajah
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Comparison of Least Squares Monte Carlo Methods with Applications to Energy Real Options written by Selvaprabu Nadarajah and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Least squares Monte Carlo (LSM) is a state-of-the-art approximate dynamic programming approach used in financial engineering and real options to value and manage options with early or multiple exercise opportunities. It is also applicable to capacity investment and inventory/production management problems with demand/supply forecast updates arising in operations and hydropower-reservoir management. LSM has two variants, referred to as regress-now/later (LSMN/L), which compute continuation/value function approximations (C/VFAs). We provide novel numerical evidence for the relative performance of these methods applied to energy swing and storage options, two typical real options, using a common price evolution model. LSMN/L estimate C/VFAs that yield equally accurate (near optimal) and precise lower and dual (upper) bounds on the value of these real options. Estimating the LSMN/L C/VFAs and their associated lower bounds takes similar computational effort. In contrast, the estimation of a dual bound using the LSML VFA instead of the LSMN CFA takes seconds rather than minutes or hours. This finding suggests the use of LSML in lieu of LSMN when estimating dual bounds on the value of early or multiple exercise options, as well as of related capacity investment and inventory/production policies.
Author : Kathrin Glau
Publisher : Springer
ISBN 13 : 331909114X
Total Pages : 434 pages
Book Rating : 4.3/5 (19 download)
Download or read book Innovations in Quantitative Risk Management written by Kathrin Glau and published by Springer. This book was released on 2015-01-09 with total page 434 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative models are omnipresent –but often controversially discussed– in todays risk management practice. New regulations, innovative financial products, and advances in valuation techniques provide a continuous flow of challenging problems for financial engineers and risk managers alike. Designing a sound stochastic model requires finding a careful balance between parsimonious model assumptions, mathematical viability, and interpretability of the output. Moreover, data requirements and the end-user training are to be considered as well. The KPMG Center of Excellence in Risk Management conference Risk Management Reloaded and this proceedings volume contribute to bridging the gap between academia –providing methodological advances– and practice –having a firm understanding of the economic conditions in which a given model is used. Discussed fields of application range from asset management, credit risk, and energy to risk management issues in insurance. Methodologically, dependence modeling, multiple-curve interest rate-models, and model risk are addressed. Finally, regulatory developments and possible limits of mathematical modeling are discussed.
Author : Bijan Sadighi
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (14 download)
Download or read book Computing Risk Sensitivities for Swing Options written by Bijan Sadighi and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The robust and efficient computation of risk sensitivities in Monte Carlo simulations is a topic of great practical relevance. The standard approach to compute risk sensitivities in a Monte Carlo simulation, the finite difference estimator, is known to be computationally inefficient and biased. In this paper we apply several alternative numerical techniques for the estimation of risk sensitivities to swing options, which are a class of multi-exercisable Bermudan options. The used estimators include the pathwise method, the likelihood ratio method, hybrid combinations of the two methods as well as the Modified Least Squares Monte Carlo method. With these techniques we estimate deltas and gammas for upswing and downswing options under two different stochastic processes. All estimation methods can be successfully applied to swing options and provide accurate risk sensitivities. We find that the pathwise method exhibits the lowest bias and standard error for the estimation of delta while the hybrid estimators produce the best results for the estimation of gamma. On the other hand, the likelihood ratio method and the Modified Least Squares method are not able to outperform the finite difference method. Eventually, we apply the risk sensitivity estimators to a dynamic hedging simulation for swing options in which all estimators demonstrate stable results.
Author :
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Apply the Least Squares Monte Carlo Approach to Extremely Complex Options: A Building Block Methodology written by and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lei Zhang
Publisher :
ISBN 13 :
Total Pages : 284 pages
Book Rating : 4.:/5 (125 download)
Download or read book Approving Least Squares Monte Carlo Approach for Valuing American Options written by Lei Zhang and published by . This book was released on 2004 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : René Carmona
Publisher : Springer Science & Business Media
ISBN 13 : 3642257461
Total Pages : 478 pages
Book Rating : 4.6/5 (422 download)
Download or read book Numerical Methods in Finance written by René Carmona and published by Springer Science & Business Media. This book was released on 2012-03-23 with total page 478 pages. Available in PDF, EPUB and Kindle. Book excerpt: Numerical methods in finance have emerged as a vital field at the crossroads of probability theory, finance and numerical analysis. Based on presentations given at the workshop Numerical Methods in Finance held at the INRIA Bordeaux (France) on June 1-2, 2010, this book provides an overview of the major new advances in the numerical treatment of instruments with American exercises. Naturally it covers the most recent research on the mathematical theory and the practical applications of optimal stopping problems as they relate to financial applications. By extension, it also provides an original treatment of Monte Carlo methods for the recursive computation of conditional expectations and solutions of BSDEs and generalized multiple optimal stopping problems and their applications to the valuation of energy derivatives and assets. The articles were carefully written in a pedagogical style and a reasonably self-contained manner. The book is geared toward quantitative analysts, probabilists, and applied mathematicians interested in financial applications.
Author : 黃惠君
Publisher :
ISBN 13 :
Total Pages : 102 pages
Book Rating : 4.:/5 (62 download)
Download or read book Numerical study to least-squares monte carlo method for pricing american options written by 黃惠君 and published by . This book was released on 2003 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Chris Harris
Publisher : John Wiley & Sons
ISBN 13 : 0470011580
Total Pages : 550 pages
Book Rating : 4.4/5 (7 download)
Download or read book Electricity Markets written by Chris Harris and published by John Wiley & Sons. This book was released on 2006-05-18 with total page 550 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understand the electricity market, its policies and how they drive prices, emissions, and security, with this comprehensive cross-disciplinary book. Author Chris Harris includes technical and quantitative arguments so you can confidently construct pricing models based on the various fluctuations that occur. Whether you?re a trader or an analyst, this book will enable you to make informed decisions about this volatile industry.
Author : Enrico Edoli
Publisher : Springer
ISBN 13 : 1137412976
Total Pages : 210 pages
Book Rating : 4.1/5 (374 download)
Download or read book Optimization Methods for Gas and Power Markets written by Enrico Edoli and published by Springer. This book was released on 2016-04-30 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: As power and gas markets are becoming more and more mature and globally competitive, the importance of reaching maximum potential economic efficiency is fundamental in all the sectors of the value chain, from investments selection to asset optimization, trading and sales. Optimization techniques can be used in many different fields of the energy industry, in order to reduce production and financial costs, increase sales revenues and mitigate all kinds of risks potentially affecting the economic margin. For this reason the industry has now focused its attention on the general concept of optimization and to the different techniques (mainly mathematical techniques) to reach it. Optimization Methods for Gas and Power Markets presents both theoretical elements and practical examples for solving energy optimization issues in gas and power markets. Starting with the theoretical framework and the basic business and economics of power and gas optimization, it quickly moves on to review the mathematical optimization problems inherent to the industry, and their solutions – all supported with examples from the energy sector. Coverage ranges from very long-term (and capital intensive) optimization problems such as investment valuation/diversification to asset (gas and power) optimization/hedging problems, and pure trading decisions. This book first presents the readers with various examples of optimization problems arising in power and gas markets, then deals with general optimization problems and describes the mathematical tools useful for their solution. The remainder of the book is dedicated to presenting a number of key business cases which apply the proposed techniques to concrete market problems. Topics include static asset optimization, real option evaluation, dynamic optimization of structured products like swing, virtual storage or virtual power plant contracts and optimal trading in intra-day power markets. As the book progresses, so too does the level of mathematical complexity, providing readers with an appreciation of the growing sophistication of even common problems in current market practice. Optimization Methods for Gas and Power Markets provides a valuable quantitative guide to the technicalities of optimization methodologies in gas and power markets; it is essential reading for practitioners in the energy industry and financial sector who work in trading, quantitative analysis and energy risk modeling.
Author :
Publisher :
ISBN 13 :
Total Pages : 152 pages
Book Rating : 4.E/5 ( download)
Download or read book Valuing Bermuda-Asian Options by Least Squares Monte Carlo Simulation written by and published by . This book was released on 2007 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kai-Siong Leow
Publisher :
ISBN 13 :
Total Pages : 110 pages
Book Rating : 4.:/5 (859 download)
Download or read book Pricing of Swing Options written by Kai-Siong Leow and published by . This book was released on 2013 with total page 110 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the problem of pricing swing options, a class of multiple early exercise options that are traded in energy market, particularly in the electricity and natural gas markets. These contracts permit the option holder to periodically exercise the right to trade a variable amount of energy with a counterparty, subject to local volumetric constraints. In addition, the total amount of energy traded from settlement to expiration with the counterparty is restricted by a global volumetric constraint. Violation of this global volumetric constraint is allowed but would lead to penalty settled at expiration. The pricing problem is formulated as a stochastic optimal control problem in discrete time and state space. We present a stochastic dynamic programming algorithm which is based on piecewise linear concave approximation of value functions. This algorithm yields the value of the swing option under the assumption that the optimal exercise policy is applied by the option holder. We present a proof of an almost sure convergence that the algorithm generates the optimal exercise strategy as the number of iterations approaches to infinity. Finally, we provide a numerical example for pricing a natural gas swing call option.
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 : Lars Stentoft
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (471 download)
Download or read book Assessing the Least Squares Monte-Carlo Approach to American Option Valuation written by Lars Stentoft and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
