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Neural Network For Pricing And Universal Static Hedging Of Contingent Claims
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Book Synopsis Neural Network for Pricing and Universal Static Hedging of Contingent Claims by : Vikranth Lokeshwar
Download or read book Neural Network for Pricing and Universal Static Hedging of Contingent Claims written by Vikranth Lokeshwar and published by . This book was released on 2019 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present here a regress later based Monte Carlo approach that uses neural networks for pricing high-dimensional contingent claims. The choice of specific architecture of the neural networks used in the proposed algorithm provides for interpretability of the model, a feature that is often desirable in the financial context. Specifically, the interpretation leads us to demonstrate that any contingent claim -- possibly high dimensional and path-dependent -- under Markovian and no- arbitrage assumptions, can be semi-statically hedged using a portfolio of short maturity options. We show how the method can be used to obtain an upper and lower bound to the true price, where the lower bound is obtained by following a sub-optimal policy, while the upper bound by exploiting the dual formulation. Unlike other duality based upper bounds where one typically has to resort to nested simulation for constructing super-martingales, the martingales in the current approach come at no extra cost, without the need for any sub-simulations. We demonstrate through numerical examples the simplicity and efficiency of the method for both pricing and semi-static hedging of path-dependent options.
Book Synopsis Contingent Claim Pricing, Neural Networks and Smiles by : Emilio Barucci
Download or read book Contingent Claim Pricing, Neural Networks and Smiles written by Emilio Barucci and published by . This book was released on 1996 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis On Pricing and Hedging Defaultable Contingent Claims by : Steffen Lukas
Download or read book On Pricing and Hedging Defaultable Contingent Claims written by Steffen Lukas and published by . This book was released on 2001 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Pricing and Hedging of Contingent Claims in Term Structure Models with Exogenous Issuing of New Bonds by : Daniel Sommer
Download or read book Pricing and Hedging of Contingent Claims in Term Structure Models with Exogenous Issuing of New Bonds written by Daniel Sommer and published by . This book was released on 1997 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Pricing and Hedging Contingent Claims with Liquidity Costs and Market Impact by : Frederic Abergel
Download or read book Pricing and Hedging Contingent Claims with Liquidity Costs and Market Impact written by Frederic Abergel and published by . This book was released on 2013 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the influence of taking liquidity costs and market impact into account when hedging a contingent claim, first in the discrete time setting, then in continuous time. In the latter case and in a complete market, we derive a fully non-linear pricing partial differential equation, and characterizes its parabolic nature according to the value of a numerical parameter naturally interpreted as a relaxation coefficient for market impact. We then investigate the more challenging case of stochastic volatility models, and prove the parabolicity of the pricing equation in a particular case.
Book Synopsis On the Choice and Implementation of Models for the Pricing and Hedging of Interest Rate Contingent Claims by : Peter Malcolm Scot Whitehead
Download or read book On the Choice and Implementation of Models for the Pricing and Hedging of Interest Rate Contingent Claims written by Peter Malcolm Scot Whitehead and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Pricing and Hedging Contingent Claims Using Variance and Higher-Order Moment Swaps by : Leonidas Rompolis
Download or read book Pricing and Hedging Contingent Claims Using Variance and Higher-Order Moment Swaps written by Leonidas Rompolis and published by . This book was released on 2017 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper suggests perfect hedging strategies of contingent claims under stochastic volatility and random jumps of the underlying asset price. This is done by enlarging the market with appropriate swaps whose payoffs depend on higher-order sample moments of the asset price process. Using European options and variance swaps, as well as barrier options written on the S&P 500 index, the paper provides clear cut evidence that hedging strategies employing variance and higher-order moment swaps considerably improves upon the performance of traditional delta hedging strategies. Inclusion of the third-order moment swap improves upon the performance of variance swap based strategies to hedge against random jumps. This result is more profound for short-term OTM put options.
Book Synopsis Mean-variance Hedging and Pricing of Contingent Claims in Incomplete Markets by : Noel Valliant dit Massart
Download or read book Mean-variance Hedging and Pricing of Contingent Claims in Incomplete Markets written by Noel Valliant dit Massart and published by . This book was released on 1995 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Static Mean-variance Hedging of Path-dependent European Contingent Claims in Incomplete Markets of Vanilla European Contingent Claims by : Hendrik Sumpf
Download or read book Static Mean-variance Hedging of Path-dependent European Contingent Claims in Incomplete Markets of Vanilla European Contingent Claims written by Hendrik Sumpf and published by . This book was released on 2014 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Progressive Hedging Algorithm and Application to Contingent Claim by : Chengwu Shao
Download or read book Progressive Hedging Algorithm and Application to Contingent Claim written by Chengwu Shao and published by . This book was released on 2008 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :Dilip B. Madan Publisher :Kingston, Ont. : Institute for Economic Research, Queen's University ISBN 13 : Total Pages :38 pages Book Rating :4.:/5 (285 download)
Book Synopsis Contingent Claims Valued and Hedged by Pricing and Investing in a Basis by : Dilip B. Madan
Download or read book Contingent Claims Valued and Hedged by Pricing and Investing in a Basis written by Dilip B. Madan and published by Kingston, Ont. : Institute for Economic Research, Queen's University. This book was released on 1992 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Valuation and Hedging of Contingent Claims with Markovian Interest Rates by : Nicole el-. Karoui
Download or read book The Valuation and Hedging of Contingent Claims with Markovian Interest Rates written by Nicole el-. Karoui and published by . This book was released on 1991 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Scaling Invariance and Contingent Claim Pricing II by : Jiri Kamiel Hoogland
Download or read book Scaling Invariance and Contingent Claim Pricing II written by Jiri Kamiel Hoogland and published by . This book was released on 1999 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Game-theoretic Derivation of Upper Hedging Prices of Multivariate Contingent Claims and Submodularity by :
Download or read book Game-theoretic Derivation of Upper Hedging Prices of Multivariate Contingent Claims and Submodularity written by and published by . This book was released on 2018 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Infinite-dimensional Linear Programming and Model-independent Hedging of Contingent Claims by : Sergey Badikov
Download or read book Infinite-dimensional Linear Programming and Model-independent Hedging of Contingent Claims written by Sergey Badikov and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis On the Pricing of Contingent Claims Under Constraints by : Shing-Gang Kou
Download or read book On the Pricing of Contingent Claims Under Constraints written by Shing-Gang Kou and published by . This book was released on 1995 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Hedging of Contingent Claims in Financial Markets by : Zhenke Guan
Download or read book Hedging of Contingent Claims in Financial Markets written by Zhenke Guan and published by . This book was released on 2004 with total page 83 pages. Available in PDF, EPUB and Kindle. Book excerpt:
