Multi Moment Approximate Option Pricing Models

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Multi-Moment Approximate Option Pricing Models

Author : Emmanuel Jurczenko
Publisher :
ISBN 13 :
Total Pages : 57 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Multi-Moment Approximate Option Pricing Models by : Emmanuel Jurczenko

Download or read book Multi-Moment Approximate Option Pricing Models written by Emmanuel Jurczenko and published by . This book was released on 2002 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: After the seminal paper of Jarrow and Rudd (1982), several authors have proposed to use different statistical series expansion to price options when the risk-neutral density is asymmetric and leptokurtic. Amongst them, one can distinguish the Gram-Charlier Type A series expansion (Corrado and Su, 1996-b and 1997-b), log-normal Gram-Charlier series expansion (Jarrow and Rudd, 1982) and Edgeworth series expansion (Rubinstein, 1998). The purpose of this paper is to compare these different multi-moment approximate option pricing models. We first recall the link between risk-neutral densities and moments in a general statistical series expansion framework. We then derive analytical formulae for these different four-moment approximate option pricing models, namely, the Jarrow and Rudd (1982), Corrado and Su (1996-b and 1997-b) and Rubinstein (1998) models. We investigate in particular the conditions that ensure the respect of the martingale restriction (see Longstaff, 1995) and compare with option pricing models such as Black and Scholes (1973) and Hermite polynomial models (see Madan and Milne, 1994, Abken et al.,1996). We also get for these approximate option pricing models analytical expressions of implied probability distribution, implied volatility smile functions and several hedging parameters of interest, such as the Psi and the Chi that measure respectively the changes in the option price with respect to the changes in kurtosis and skewness.

Revisited Multi-moment Approximate Option Pricing Models

Author : Emmanuel Jurczenko
Publisher :
ISBN 13 :
Total Pages : 85 pages
Book Rating : 4.:/5 (248 download)

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Book Synopsis Revisited Multi-moment Approximate Option Pricing Models by : Emmanuel Jurczenko

Download or read book Revisited Multi-moment Approximate Option Pricing Models written by Emmanuel Jurczenko and published by . This book was released on 2002 with total page 85 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Multi-moment Asset Allocation and Pricing Models

Author : Emmanuel Jurczenko
Publisher : John Wiley & Sons
ISBN 13 : 0470057998
Total Pages : 258 pages
Book Rating : 4.4/5 (7 download)

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Book Synopsis Multi-moment Asset Allocation and Pricing Models by : Emmanuel Jurczenko

Download or read book Multi-moment Asset Allocation and Pricing Models written by Emmanuel Jurczenko and published by John Wiley & Sons. This book was released on 2006-10-02 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: While mainstream financial theories and applications assume that asset returns are normally distributed and individual preferences are quadratic, the overwhelming empirical evidence shows otherwise. Indeed, most of the asset returns exhibit “fat-tails” distributions and investors exhibit asymmetric preferences. These empirical findings lead to the development of a new area of research dedicated to the introduction of higher order moments in portfolio theory and asset pricing models. Multi-moment asset pricing is a revolutionary new way of modeling time series in finance which allows various degrees of long-term memory to be generated. It allows risk and prices of risk to vary through time enabling the accurate valuation of long-lived assets. This book presents the state-of-the art in multi-moment asset allocation and pricing models and provides many new developments in a single volume, collecting in a unified framework theoretical results and applications previously scattered throughout the financial literature. The topics covered in this comprehensive volume include: four-moment individual risk preferences, mathematics of the multi-moment efficient frontier, coherent asymmetric risks measures, hedge funds asset allocation under higher moments, time-varying specifications of (co)moments and multi-moment asset pricing models with homogeneous and heterogeneous agents. Written by leading academics, Multi-moment Asset Allocation and Pricing Models offers a unique opportunity to explore the latest findings in this new field of research.

Black Scholes and Beyond: Option Pricing Models

Author : Neil Chriss
Publisher : McGraw-Hill
ISBN 13 :
Total Pages : 512 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis Black Scholes and Beyond: Option Pricing Models by : Neil Chriss

Download or read book Black Scholes and Beyond: Option Pricing Models written by Neil Chriss and published by McGraw-Hill. This book was released on 1997 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: An unprecedented book on option pricing! For the first time, the basics on modern option pricing are explained ``from scratch'' using only minimal mathematics. Market practitioners and students alike will learn how and why the Black-Scholes equation works, and what other new methods have been developed that build on the success of Black-Shcoles. The Cox-Ross-Rubinstein binomial trees are discussed, as well as two recent theories of option pricing: the Derman-Kani theory on implied volatility trees and Mark Rubinstein's implied binomial trees. Black-Scholes and Beyond will not only help the reader gain a solid understanding of the Balck-Scholes formula, but will also bring the reader up to date by detailing current theoretical developments from Wall Street. Furthermore, the author expands upon existing research and adds his own new approaches to modern option pricing theory. Among the topics covered in Black-Scholes and Beyond: detailed discussions of pricing and hedging options; volatility smiles and how to price options ``in the presence of the smile''; complete explanation on pricing barrier options.

Option Pricing Models and Volatility Using Excel-VBA

Author : Fabrice D. Rouah
Publisher : John Wiley & Sons
ISBN 13 : 1118429206
Total Pages : 456 pages
Book Rating : 4.1/5 (184 download)

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Book Synopsis Option Pricing Models and Volatility Using Excel-VBA by : Fabrice D. Rouah

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

Optimal Statistical Inference in Financial Engineering

Author : Masanobu Taniguchi
Publisher : CRC Press
ISBN 13 : 1420011030
Total Pages : 379 pages
Book Rating : 4.4/5 (2 download)

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Book Synopsis Optimal Statistical Inference in Financial Engineering by : Masanobu Taniguchi

Download or read book Optimal Statistical Inference in Financial Engineering written by Masanobu Taniguchi and published by CRC Press. This book was released on 2007-11-26 with total page 379 pages. Available in PDF, EPUB and Kindle. Book excerpt: Until now, few systematic studies of optimal statistical inference for stochastic processes had existed in the financial engineering literature, even though this idea is fundamental to the field. Balancing statistical theory with data analysis, Optimal Statistical Inference in Financial Engineering examines how stochastic models can effectively des

Frontiers in Quantitative Finance

Author : Rama Cont
Publisher : John Wiley & Sons
ISBN 13 : 0470456809
Total Pages : 312 pages
Book Rating : 4.4/5 (74 download)

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Book Synopsis Frontiers in Quantitative Finance by : Rama Cont

Download or read book Frontiers in Quantitative Finance written by Rama Cont and published by John Wiley & Sons. This book was released on 2009-03-09 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Petit D'euner de la Finance–which author Rama Cont has been co-organizing in Paris since 1998–is a well-known quantitative finance seminar that has progressively become a platform for the exchange of ideas between the academic and practitioner communities in quantitative finance. Frontiers in Quantitative Finance is a selection of recent presentations in the Petit D'euner de la Finance. In this book, leading quants and academic researchers cover the most important emerging issues in quantitative finance and focus on portfolio credit risk and volatility modeling.

The Approximate Option Pricing Model

Author : Gunther Capelle-Blancard
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (535 download)

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Book Synopsis The Approximate Option Pricing Model by : Gunther Capelle-Blancard

Download or read book The Approximate Option Pricing Model written by Gunther Capelle-Blancard and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Pricing Models of Volatility Products and Exotic Variance Derivatives

Author : Yue Kuen Kwok
Publisher : CRC Press
ISBN 13 : 1000584259
Total Pages : 283 pages
Book Rating : 4.0/5 (5 download)

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Book Synopsis Pricing Models of Volatility Products and Exotic Variance Derivatives by : Yue Kuen Kwok

Download or read book Pricing Models of Volatility Products and Exotic Variance Derivatives written by Yue Kuen Kwok and published by CRC Press. This book was released on 2022-05-08 with total page 283 pages. Available in PDF, EPUB and Kindle. Book excerpt: Pricing Models of Volatility Products and Exotic Variance Derivatives summarizes most of the recent research results in pricing models of derivatives on discrete realized variance and VIX. The book begins with the presentation of volatility trading and uses of variance derivatives. It then moves on to discuss the robust replication strategy of variance swaps using portfolio of options, which is one of the major milestones in pricing theory of variance derivatives. The replication procedure provides the theoretical foundation of the construction of VIX. This book provides sound arguments for formulating the pricing models of variance derivatives and establishes formal proofs of various technical results. Illustrative numerical examples are included to show accuracy and effectiveness of analytic and approximation methods. Features Useful for practitioners and quants in the financial industry who need to make choices between various pricing models of variance derivatives Fabulous resource for researchers interested in pricing and hedging issues of variance derivatives and VIX products Can be used as a university textbook in a topic course on pricing variance derivatives

Option Pricing

Author : Robert A. Jarrow
Publisher : Irwin Professional Publishing
ISBN 13 :
Total Pages : 272 pages
Book Rating : 4.:/5 (321 download)

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Book Synopsis Option Pricing by : Robert A. Jarrow

Download or read book Option Pricing written by Robert A. Jarrow and published by Irwin Professional Publishing. This book was released on 1983 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Mathematical Modeling and Methods of Option Pricing

Author : Lishang Jiang
Publisher : World Scientific
ISBN 13 : 9812563695
Total Pages : 344 pages
Book Rating : 4.8/5 (125 download)

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Book Synopsis Mathematical Modeling and Methods of Option Pricing by : Lishang Jiang

Download or read book Mathematical Modeling and Methods of Option Pricing written by Lishang Jiang and published by World Scientific. This book was released on 2005 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the perspective of partial differential equations (PDE), this book introduces the Black-Scholes-Merton's option pricing theory. A unified approach is used to model various types of option pricing as PDE problems, to derive pricing formulas as their solutions, and to design efficient algorithms from the numerical calculation of PDEs.

Quantitative Finance

Author : Erik Schlogl
Publisher : CRC Press
ISBN 13 : 1315359855
Total Pages : 356 pages
Book Rating : 4.3/5 (153 download)

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Book Synopsis Quantitative Finance by : Erik Schlogl

Download or read book Quantitative Finance written by Erik Schlogl and published by CRC Press. This book was released on 2018-09-03 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative Finance: An Object-Oriented Approach in C++ provides readers with a foundation in the key methods and models of quantitative finance. Keeping the material as self-contained as possible, the author introduces computational finance with a focus on practical implementation in C++. Through an approach based on C++ classes and templates, the text highlights the basic principles common to various methods and models while the algorithmic implementation guides readers to a more thorough, hands-on understanding. By moving beyond a purely theoretical treatment to the actual implementation of the models using C++, readers greatly enhance their career opportunities in the field. The book also helps readers implement models in a trading or research environment. It presents recipes and extensible code building blocks for some of the most widespread methods in risk management and option pricing. Web Resource The author’s website provides fully functional C++ code, including additional C++ source files and examples. Although the code is used to illustrate concepts (not as a finished software product), it nevertheless compiles, runs, and deals with full, rather than toy, problems. The website also includes a suite of practical exercises for each chapter covering a range of difficulty levels and problem complexity.

Option Pricing and Estimation of Financial Models with R

Author : Stefano M. Iacus
Publisher : John Wiley & Sons
ISBN 13 : 1119990203
Total Pages : 402 pages
Book Rating : 4.1/5 (199 download)

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Book Synopsis Option Pricing and Estimation of Financial Models with R by : Stefano M. Iacus

Download or read book Option Pricing and Estimation of Financial Models with R written by Stefano M. Iacus and published by John Wiley & Sons. This book was released on 2011-02-23 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents inference and simulation of stochastic process in the field of model calibration for financial times series modelled by continuous time processes and numerical option pricing. Introduces the bases of probability theory and goes on to explain how to model financial times series with continuous models, how to calibrate them from discrete data and further covers option pricing with one or more underlying assets based on these models. Analysis and implementation of models goes beyond the standard Black and Scholes framework and includes Markov switching models, Lévy models and other models with jumps (e.g. the telegraph process); Topics other than option pricing include: volatility and covariation estimation, change point analysis, asymptotic expansion and classification of financial time series from a statistical viewpoint. The book features problems with solutions and examples. All the examples and R code are available as an additional R package, therefore all the examples can be reproduced.

Handbook of Multi-Commodity Markets and Products

Author : Andrea Roncoroni
Publisher : John Wiley & Sons
ISBN 13 : 0470661836
Total Pages : 1076 pages
Book Rating : 4.4/5 (76 download)

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Book Synopsis Handbook of Multi-Commodity Markets and Products by : Andrea Roncoroni

Download or read book Handbook of Multi-Commodity Markets and Products written by Andrea Roncoroni and published by John Wiley & Sons. This book was released on 2015-02-19 with total page 1076 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Multi-Commodity Markets and ProductsOver recent decades, the marketplace has seen an increasing integration, not only among different types of commodity markets such as energy, agricultural, and metals, but also with financial markets. This trend raises important questions about how to identify and analyse opportunities in and manage risks of commodity products. The Handbook of Multi-Commodity Markets and Products offers traders, commodity brokers, and other professionals a practical and comprehensive manual that covers market structure and functioning, as well as the practice of trading across a wide range of commodity markets and products. Written in non-technical language, this important resource includes the information needed to begin to master the complexities of and to operate successfully in today’s challenging and fluctuating commodity marketplace. Designed as a practical practitioner-orientated resource, the book includes a detailed overview of key markets – oil, coal, electricity, emissions, weather, industrial metals, freight, agricultural and foreign exchange – and contains a set of tools for analysing, pricing and managing risk for the individual markets. Market features and the main functioning rules of the markets in question are presented, along with the structure of basic financial products and standardised deals. A range of vital topics such as stochastic and econometric modelling, market structure analysis, contract engineering, as well as risk assessment and management are presented and discussed in detail with illustrative examples to commodity markets. The authors showcase how to structure and manage both simple and more complex multi-commodity deals. Addressing the issues of profit-making and risk management, the book reveals how to exploit pay-off profiles and trading strategies on a diversified set of commodity prices. In addition, the book explores how to price energy products and other commodities belonging to markets segmented across specific structural features. The Handbook of Multi-Commodity Markets and Products includes a wealth of proven methods and useful models that can be selected and developed in order to make appropriate estimations of the future evolution of prices and appropriate valuations of products. The authors additionally explore market risk issues and what measures of risk should be adopted for the purpose of accurately assessing exposure from multi-commodity portfolios. This vital resource offers the models, tools, strategies and general information commodity brokers and other professionals need to succeed in today’s highly competitive marketplace.

The Approximate Option Pricing Model

Author : Gunther Capelle-Blancard
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (535 download)

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Book Synopsis The Approximate Option Pricing Model by : Gunther Capelle-Blancard

Commemorative Guidebook to the First Field Conference

Author :
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (155 download)

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Book Synopsis Commemorative Guidebook to the First Field Conference by :

Download or read book Commemorative Guidebook to the First Field Conference written by and published by . This book was released on 1981* with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Option Pricing in Incomplete Markets

Author : Yoshio Miyahara
Publisher : World Scientific
ISBN 13 : 1848163487
Total Pages : 200 pages
Book Rating : 4.8/5 (481 download)

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Book Synopsis Option Pricing in Incomplete Markets by : Yoshio Miyahara

Download or read book Option Pricing in Incomplete Markets written by Yoshio Miyahara and published by World Scientific. This book was released on 2012 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume offers the reader practical methods to compute the option prices in the incomplete asset markets. The [GLP & MEMM] pricing models are clearly introduced, and the properties of these models are discussed in great detail. It is shown that the geometric L(r)vy process (GLP) is a typical example of the incomplete market, and that the MEMM (minimal entropy martingale measure) is an extremely powerful pricing measure. This volume also presents the calibration procedure of the [GLP \& MEMM] model that has been widely used in the application of practical problem