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On The Dangers Of A Simplistic American Option Simulation Valuation Method
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Book Synopsis Simulation Techniques in Financial Risk Management by : Ngai Hang Chan
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.
Book Synopsis Real Options and Investment Under Uncertainty by : Eduardo S. Schwartz
Download or read book Real Options and Investment Under Uncertainty written by Eduardo S. Schwartz and published by MIT Press. This book was released on 2004 with total page 890 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study of investment under uncertainty was stagnant for several decades until developments in real options revitalized the field. The topics covered in this book include the reasons behind the under-investment programme.
Book Synopsis Applied Real Option Valuation by : Kaveh Sheibani
Download or read book Applied Real Option Valuation written by Kaveh Sheibani and published by ORLAB Analytics. This book was released on 2010-06-30 with total page 81 pages. Available in PDF, EPUB and Kindle. Book excerpt: Supporting investment profitability analysis and decision-making with real option analysis is an issue of increasing interest among both practitioners and managers. This special issue of the Journal of Applied Operational Research (JAOR) presents some new progress in applying real option analysis and valuation to real world problems in a number of industries.
Book Synopsis Proceedings of the 9th International Conference on Financial Innovation and Economic Development (ICFIED 2024) by : Khaled Elbagory
Download or read book Proceedings of the 9th International Conference on Financial Innovation and Economic Development (ICFIED 2024) written by Khaled Elbagory and published by Springer Nature. This book was released on 2024 with total page 725 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Paul Wilmott Introduces Quantitative Finance by : Paul Wilmott
Download or read book Paul Wilmott Introduces Quantitative Finance written by Paul Wilmott and published by John Wiley & Sons. This book was released on 2013-10-18 with total page 743 pages. Available in PDF, EPUB and Kindle. Book excerpt: Paul Wilmott Introduces Quantitative Finance, Second Edition is an accessible introduction to the classical side of quantitative finance specifically for university students. Adapted from the comprehensive, even epic, works Derivatives and Paul Wilmott on Quantitative Finance, Second Edition, it includes carefully selected chapters to give the student a thorough understanding of futures, options and numerical methods. Software is included to help visualize the most important ideas and to show how techniques are implemented in practice. There are comprehensive end-of-chapter exercises to test students on their understanding.
Book Synopsis Simulation and Optimization in Finance by : Dessislava A. Pachamanova
Download or read book Simulation and Optimization in Finance written by Dessislava A. Pachamanova and published by John Wiley & Sons. This book was released on 2010-09-23 with total page 786 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and practice of financial simulation and optimization In recent years, there has been a notable increase in the use of simulation and optimization methods in the financial industry. Applications include portfolio allocation, risk management, pricing, and capital budgeting under uncertainty. This accessible guide provides an introduction to the simulation and optimization techniques most widely used in finance, while at the same time offering background on the financial concepts in these applications. In addition, it clarifies difficult concepts in traditional models of uncertainty in finance, and teaches you how to build models with software. It does this by reviewing current simulation and optimization methodology-along with available software-and proceeds with portfolio risk management, modeling of random processes, pricing of financial derivatives, and real options applications. Contains a unique combination of finance theory and rigorous mathematical modeling emphasizing a hands-on approach through implementation with software Highlights not only classical applications, but also more recent developments, such as pricing of mortgage-backed securities Includes models and code in both spreadsheet-based software (@RISK, Solver, Evolver, VBA) and mathematical modeling software (MATLAB) Filled with in-depth insights and practical advice, Simulation and Optimization Modeling in Finance offers essential guidance on some of the most important topics in financial management.
Book Synopsis Finance & Economics Readings by : Lee-Ming Tan
Download or read book Finance & Economics Readings written by Lee-Ming Tan and published by Springer. This book was released on 2018-03-05 with total page 181 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a compilation of the best papers presented at the 2017 installment of the Asia-Pacific Conference on Economics & Finance (APEF), which is held annually in Singapore. With a great number of submissions, it presents the latest research findings in economics and finance and discusses relevant issues in today's world. The book is a useful resource for readers who want access to economics, finance and business research focusing on the Asia-Pacific region.
Book Synopsis Valuing Employee Stock Options by : Johnathan Mun
Download or read book Valuing Employee Stock Options written by Johnathan Mun and published by John Wiley & Sons. This book was released on 2004-10-13 with total page 335 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive guide to understanding the implications andapplications of valuing employee stock options in light of the newFAS 123 requirements Due to the new requirements of the Proposed Statement of FinancialAccounting Standards (FAS 123) released by the Financial AccountingStandards Board (FASB)-namely the fact that employee servicesreceived in exchange for equity instruments be recognized infinancial statements-companies are now scrambling to learn how tovalue and expense employee stock options (ESOs). Based on authorDr. Johnathan Mun's consulting and advisory work with the FASBconsulting projects with several Fortune 500 firms, ValuingEmployee Stock Options provides readers with a comprehensive lookat this complex issue. Filled with valuable information on binomial lattice andclosed-form modeling techniques, Valuing Employee Stock Options canhelp financial professionals make informed decisions whenattempting to ascertain the fair-market value of ESOs under the newrequirements. Johnathan Mun, PhD, MBA, MS, CFC, FRM (San Francisco, CA), is VicePresident of Analytical Services at Decisioneering, Inc., themakers of Crystal Ball analytical software. He is also the authorof Applied Risk Analysis (0-471-47885-7), Real Options Analysis(0-471-25696-X), and Real Options Analysis Course (0-471-43001-3),all of which are published by Wiley.
Book Synopsis Numerical Methods for Finance by : John Miller
Download or read book Numerical Methods for Finance written by John Miller and published by CRC Press. This book was released on 2007-09-21 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: Featuring international contributors from both industry and academia, Numerical Methods for Finance explores new and relevant numerical methods for the solution of practical problems in finance. It is one of the few books entirely devoted to numerical methods as applied to the financial field. Presenting state-of-the-art methods in this area
Book Synopsis Information Technology - New Generations by : Shahram Latifi
Download or read book Information Technology - New Generations written by Shahram Latifi and published by Springer. This book was released on 2018-04-12 with total page 775 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents a collection of peer-reviewed, scientific articles from the 15th International Conference on Information Technology – New Generations, held at Las Vegas. The collection addresses critical areas of Machine Learning, Networking and Wireless Communications, Cybersecurity, Data Mining, Software Engineering, High Performance Computing Architectures, Computer Vision, Health, Bioinformatics, and Education.
Book Synopsis Paul Wilmott on Quantitative Finance by : Paul Wilmott
Download or read book Paul Wilmott on Quantitative Finance written by Paul Wilmott and published by John Wiley & Sons. This book was released on 2013-10-25 with total page 1785 pages. Available in PDF, EPUB and Kindle. Book excerpt: Paul Wilmott on Quantitative Finance, Second Edition provides a thoroughly updated look at derivatives and financial engineering, published in three volumes with additional CD-ROM. Volume 1: Mathematical and Financial Foundations; Basic Theory of Derivatives; Risk and Return. The reader is introduced to the fundamental mathematical tools and financial concepts needed to understand quantitative finance, portfolio management and derivatives. Parallels are drawn between the respectable world of investing and the not-so-respectable world of gambling. Volume 2: Exotic Contracts and Path Dependency; Fixed Income Modeling and Derivatives; Credit Risk In this volume the reader sees further applications of stochastic mathematics to new financial problems and different markets. Volume 3: Advanced Topics; Numerical Methods and Programs. In this volume the reader enters territory rarely seen in textbooks, the cutting-edge research. Numerical methods are also introduced so that the models can now all be accurately and quickly solved. Throughout the volumes, the author has included numerous Bloomberg screen dumps to illustrate in real terms the points he raises, together with essential Visual Basic code, spreadsheet explanations of the models, the reproduction of term sheets and option classification tables. In addition to the practical orientation of the book the author himself also appears throughout the book—in cartoon form, readers will be relieved to hear—to personally highlight and explain the key sections and issues discussed. Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.
Download or read book Grid Computing written by Simon C. Lin and published by Springer Science & Business Media. This book was released on 2008-10-16 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt: Grid Computing: International Symposium on Grid Computing (ISGC) 2007 is one of the most important annual events in Asia that brings together scientific contributions by world class researchers and scientists working in the Grid Computing field to exchange ideas, to present challenges, solutions and future development. The objective of this Symposium is to facilitate the information exchange as well as to explore the global collaboration and interoperation among various Grid projects. Based on the ISGC 2007, held in Taipei, Taiwan in March of 2007, this edited volume presents the latest grid solutions and research results in grid operations, grid middleware, biomedical operations, e-science applications and more. Grid Computing: International Symposium on Grid Computing (ISGC) 2007 is designed for a professional audience, composed of researchers and practitioners in academia and industry. This book is also suitable for graduate-level students in computer science. It is also one of the most important sources of Grid Computing and e-Science development in the Asia Pacific region.
Book Synopsis Proceedings of the 2022 4th International Conference on Economic Management and Cultural Industry (ICEMCI 2022) by : Hrushikesh Mallick
Download or read book Proceedings of the 2022 4th International Conference on Economic Management and Cultural Industry (ICEMCI 2022) written by Hrushikesh Mallick and published by Springer Nature. This book was released on 2023-01-13 with total page 2160 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is an open access book. 2022 4th International Conference on Economic Management and Cultural Industry (ICEMCI 2022) to be held in Chongqing (Online) on October 14-16, 2022. As the leader of the global trend of scientific and technological innovation, China is constantly creating a more open scientific and technological innovation environment, expanding the depth and breadth of academic cooperation, and building a shared innovation community. These efforts are making new contributions to globalization and building a community with a shared future for mankind. ICEMCI aims to bring together innovative academics and industry experts in Economic Management and Cultural Industry into a common forum. We will discuss and research on areas such as International Economics and Trade, Sustainable Economic Development, Economic Statistics, Economic Policy, The impact of cultural industries on the economy, etc. ICEMCI 2022 also aims to provide a platform for experts, scholars, engineers, technicians and technology R&D personnel to share scientific research results and cutting-edge technologies, understand academic development trends, expand research ideas, strengthen academic research and discussion, and promote cooperation in the industrialization of academic achievements . With the theme "Economic Management and Cultural Industry", ICEMCI 2022 aspires to keeping up with advances and changes to a consistently morphing field. Leading researchers and industry experts from around the globe will be presenting the latest studies through papers, keynote speeches and oral presentations. We warmly invite you to participate in ICEMCI 2022 and look forward to seeing you in Chongqing !
Book Synopsis Derivatives, Risk Management & Value by : Mondher Bellalah
Download or read book Derivatives, Risk Management & Value written by Mondher Bellalah and published by World Scientific. This book was released on 2010 with total page 996 pages. Available in PDF, EPUB and Kindle. Book excerpt: 19.1. Numerical analysis and simulation techniques : an introduction to finite difference methods. 19.2. Application to European options on non-dividend paying stocks. 19.3. Valuation of American options with a composite volatility. 19.4. Simulation methods : Monte-Carlo method. ch. 20. Numerical methods and partial differential equations for European and American derivatives with complete and incomplete information. 20.1. Valuation of American calls on dividend-paying stocks. 20.2. American puts on dividend-paying stocks. 20.3. Numerical procedures in the presence of information costs : applications. 20.4. Convertible bonds. 20.5. Two-factor interest rate models and bond pricing within information uncertainty. 20.6. CBs pricing within information uncertainty -- pt. VIII. Exotic derivatives. ch. 21. Risk management : exotics and second-generation options. 21.1. Exchange options. 21.2. Forward-start options. 21.3. Pay-later options. 21.4. Simple chooser options. 21.5. Complex choosers. 21.6. Compound options. 21.7. Options on the maximum (minimum). 21.8. Extendible options. 21.9. Equity-linked foreign exchange options and quantos. 21.10. Binary barrier options. 21.11. Lookback options. ch. 22. Value at risk, credit risk, and credit derivatives. 22.1. VaR and riskmetrics : definitions and basic concepts. 22.2. Statistical and probability foundation of VaR. 22.3. A more advanced approach to VaR. 22.4. Credit valuation and the creditmetrics approach. 22.5. Default and credit-quality migration in the creditmetrics approach. 22.6. Credit-quality correlations. 22.7. Portfolio management of default risk in the Kealhofer, McQuown and Vasicek (KMV) approach. 22.8. Credit derivatives : definitions and main concepts. 22.9. The rating agencies models and the proprietary models.
Book Synopsis Risk and Financial Management by : Charles S. Tapiero
Download or read book Risk and Financial Management written by Charles S. Tapiero and published by John Wiley & Sons. This book was released on 2004-07-16 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial risk management has become a popular practice amongst financial institutions to protect against the adverse effects of uncertainty caused by fluctuations in interest rates, exchange rates, commodity prices, and equity prices. New financial instruments and mathematical techniques are continuously developed and introduced in financial practice. These techniques are being used by an increasing number of firms, traders and financial risk managers across various industries. Risk and Financial Management: Mathematical and Computational Methods confronts the many issues and controversies, and explains the fundamental concepts that underpin financial risk management. Provides a comprehensive introduction to the core topics of risk and financial management. Adopts a pragmatic approach, focused on computational, rather than just theoretical, methods. Bridges the gap between theory and practice in financial risk management Includes coverage of utility theory, probability, options and derivatives, stochastic volatility and value at risk. Suitable for students of risk, mathematical finance, and financial risk management, and finance practitioners. Includes extensive reference lists, applications and suggestions for further reading. Risk and Financial Management: Mathematical and Computational Methods is ideally suited to both students of mathematical finance with little background in economics and finance, and students of financial risk management, as well as finance practitioners requiring a clearer understanding of the mathematical and computational methods they use every day. It combines the required level of rigor, to support the theoretical developments, with a practical flavour through many examples and applications.
Book Synopsis Numerical Methods in Finance by : René Carmona
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.
Book Synopsis Stochastic Simulation and Applications in Finance with MATLAB Programs by : Huu Tue Huynh
Download or read book Stochastic Simulation and Applications in Finance with MATLAB Programs written by Huu Tue Huynh and published by John Wiley & Sons. This book was released on 2011-11-21 with total page 354 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic Simulation and Applications in Finance with MATLAB Programs explains the fundamentals of Monte Carlo simulation techniques, their use in the numerical resolution of stochastic differential equations and their current applications in finance. Building on an integrated approach, it provides a pedagogical treatment of the need-to-know materials in risk management and financial engineering. The book takes readers through the basic concepts, covering the most recent research and problems in the area, including: the quadratic re-sampling technique, the Least Squared Method, the dynamic programming and Stratified State Aggregation technique to price American options, the extreme value simulation technique to price exotic options and the retrieval of volatility method to estimate Greeks. The authors also present modern term structure of interest rate models and pricing swaptions with the BGM market model, and give a full explanation of corporate securities valuation and credit risk based on the structural approach of Merton. Case studies on financial guarantees illustrate how to implement the simulation techniques in pricing and hedging. NOTE TO READER: The CD has been converted to URL. Go to the following website www.wiley.com/go/huyhnstochastic which provides MATLAB programs for the practical examples and case studies, which will give the reader confidence in using and adapting specific ways to solve problems involving stochastic processes in finance.
