On The Quadratic Valuation Of American Options

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Currency Derivatives

Author : David F. DeRosa
Publisher : John Wiley & Sons
ISBN 13 : 9780471252672
Total Pages : 414 pages
Book Rating : 4.2/5 (526 download)

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Book Synopsis Currency Derivatives by : David F. DeRosa

Download or read book Currency Derivatives written by David F. DeRosa and published by John Wiley & Sons. This book was released on 1998-09-07 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mit über einer Billion US Dollar Umsatz stellt der Devisenhandel weltweit den größten Markt dar. In diesem Markt sind Währungsderivate zu einem bevorzugten Handelsinstrument geworden, das von Großbanken, Brokerhäusern, Hedge Funds (spekulativ ausgerichteter Fonds, der mit Hilfe von Derivaten seine Gewinne zu optimieren versucht) und Handelsberatern eingesetzt wird. Zwar sind diese Instrumente heute komplexer denn je, aber sie sind ein unverzichtbares Mittel des Risikomanagements im Devisenhandel. Herausgegeben von führenden Devisenhändlern und Analysten, ist dieses Buch Basislektüre für jeden, der sich in diesem Bereich bewegt. Eine Sammlung der 20 besten und meist zitierten Beiträge zu Währungsderivaten, Preistheorie und Anwendungen von Hedging-Methoden (10/98)

Derivative Products and Pricing

Author : Satyajit Das
Publisher : John Wiley & Sons
ISBN 13 : 0470821647
Total Pages : 873 pages
Book Rating : 4.4/5 (78 download)

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Book Synopsis Derivative Products and Pricing by : Satyajit Das

Download or read book Derivative Products and Pricing written by Satyajit Das and published by John Wiley & Sons. This book was released on 2005-10-06 with total page 873 pages. Available in PDF, EPUB and Kindle. Book excerpt: Derivative Products & Pricing consists of 4 Parts divided into 16 chapters covering the role and function of derivatives, basic derivative instruments (exchange traded products (futures and options on future contracts) and over-the-counter products (forwards, options and swaps)), the pricing and valuation of derivatives instruments, derivative trading and portfolio management.

Pricing Options with Futures-Style Margining

Author : Alan White
Publisher : Routledge
ISBN 13 : 113568782X
Total Pages : 225 pages
Book Rating : 4.1/5 (356 download)

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Book Synopsis Pricing Options with Futures-Style Margining by : Alan White

Download or read book Pricing Options with Futures-Style Margining written by Alan White and published by Routledge. This book was released on 2014-02-04 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines the applicability of a relatively new and powerful tool, genetic adaptive neural networks, to the field of option valuation. A genetic adaptive neural network model is developed to price option contracts with futures-style margining. This model is capable of estimating complex, non-linear relationships without having prior knowledge of the specific nature of the relationships. Traditional option pricing models require that the researcher or practitioner specify the distribution of the underlying asset. In addition, the methodology is able to easily accommodate additional inputs(something that cannot be preformed with existing models. Since 1973, options on stock have been traded on organized exchanges in the United States. An option on a stock gives the option owner the right to buy or sell the stock for a pre-set price.. Since the introduction of stock options, the options market has experienced tremendous growth and has spawned even more exotic types of derivative securities. Obviously, valuing these securities is an issue of great importance to investors and hedgers in the financial marketplace. Existing pricing models produce systematic pricing errors and new models have to be developed for options with differing characteristics. The genetic adaptive neural network is found to provide more accurate valuation than a traditional option pricing model when applied to the 3-month Eurodollar futures-option contract traded on the London International Financial Futures and Options Exchange.

Introduction to Option Pricing Theory

Author : Gopinath Kallianpur
Publisher : Springer Science & Business Media
ISBN 13 : 1461205115
Total Pages : 266 pages
Book Rating : 4.4/5 (612 download)

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Book Synopsis Introduction to Option Pricing Theory by : Gopinath Kallianpur

Download or read book Introduction to Option Pricing Theory written by Gopinath Kallianpur and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the appearance of seminal works by R. Merton, and F. Black and M. Scholes, stochastic processes have assumed an increasingly important role in the development of the mathematical theory of finance. This work examines, in some detail, that part of stochastic finance pertaining to option pricing theory. Thus the exposition is confined to areas of stochastic finance that are relevant to the theory, omitting such topics as futures and term-structure. This self-contained work begins with five introductory chapters on stochastic analysis, making it accessible to readers with little or no prior knowledge of stochastic processes or stochastic analysis. These chapters cover the essentials of Ito's theory of stochastic integration, integration with respect to semimartingales, Girsanov's Theorem, and a brief introduction to stochastic differential equations. Subsequent chapters treat more specialized topics, including option pricing in discrete time, continuous time trading, arbitrage, complete markets, European options (Black and Scholes Theory), American options, Russian options, discrete approximations, and asset pricing with stochastic volatility. In several chapters, new results are presented. A unique feature of the book is its emphasis on arbitrage, in particular, the relationship between arbitrage and equivalent martingale measures (EMM), and the derivation of necessary and sufficient conditions for no arbitrage (NA). {\it Introduction to Option Pricing Theory} is intended for students and researchers in statistics, applied mathematics, business, or economics, who have a background in measure theory and have completed probability theory at the intermediate level. The work lends itself to self-study, as well as to a one-semester course at the graduate level.

Options, Futures, and Other Derivatives

Author : John Hull
Publisher :
ISBN 13 : 9780131977051
Total Pages : 789 pages
Book Rating : 4.9/5 (77 download)

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Book Synopsis Options, Futures, and Other Derivatives by : John Hull

Download or read book Options, Futures, and Other Derivatives written by John Hull and published by . This book was released on 2006 with total page 789 pages. Available in PDF, EPUB and Kindle. Book excerpt: For advanced undergraduate or graduate business, economics, and financial engineering courses in derivatives, options and futures, financial engineering or risk management. Designed to bridge the gap between theory and practice, this successful book is regarded as "the bible" in trading rooms throughout the world. Hull offers a clear presentation with various numerical examples, as well as good practical knowledge of how derivatives are priced and traded.

Handbook of the Economics of Finance

Author : G. Constantinides
Publisher : Elsevier
ISBN 13 : 0080495087
Total Pages : 698 pages
Book Rating : 4.0/5 (84 download)

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Book Synopsis Handbook of the Economics of Finance by : G. Constantinides

Download or read book Handbook of the Economics of Finance written by G. Constantinides and published by Elsevier. This book was released on 2003-11-04 with total page 698 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volume 1B covers the economics of financial markets: the saving and investment decisions; the valuation of equities, derivatives, and fixed income securities; and market microstructure.

Practical Quantitative Finance with ASP.NET Core and Angular

Author : Jack Xu
Publisher : UniCAD
ISBN 13 : 0979372569
Total Pages : 652 pages
Book Rating : 4.9/5 (793 download)

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Book Synopsis Practical Quantitative Finance with ASP.NET Core and Angular by : Jack Xu

Download or read book Practical Quantitative Finance with ASP.NET Core and Angular written by Jack Xu and published by UniCAD. This book was released on 2019-03 with total page 652 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides comprehensive details of developing ultra-modern, responsive single-page applications (SPA) for quantitative finance using ASP.NET Core and Angular. It pays special attention to create distributed web SPA applications and reusable libraries that can be directly used to solve real-world problems in quantitative finance. The book contains: Overview of ASP.NET Core and Angular, which is necessary to create SPA for quantitative finance. Step-by-step approaches to create a variety of Angular compatible real-time stock charts and technical indicators using ECharts and TA-Lib. Introduction to access market data from online data sources using .NET Web API and Angular service, including EOD, intraday, real-time stock quotes, interest rates. Detailed procedures to price equity options and fixed-income instruments using QuantLib, including European/American/Barrier/Bermudan options, bonds, CDS, as well as related topics such as cash flows, term structures, yield curves, discount factors, and zero-coupon bonds. Detailed explanation to linear analysis and machine learning in finance, which covers linear regression, PCA, KNN, SVM, and neural networks. In-depth descriptions of trading strategy development and back-testing for crossover and z-score based trading signals.

Mathematical Models of Financial Derivatives

Author : Yue-Kuen Kwok
Publisher : Springer Science & Business Media
ISBN 13 : 3540686886
Total Pages : 541 pages
Book Rating : 4.5/5 (46 download)

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Book Synopsis Mathematical Models of Financial Derivatives by : Yue-Kuen Kwok

Download or read book Mathematical Models of Financial Derivatives written by Yue-Kuen Kwok and published by Springer Science & Business Media. This book was released on 2008-07-10 with total page 541 pages. Available in PDF, EPUB and Kindle. Book excerpt: This second edition, now featuring new material, focuses on the valuation principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are analysed, emphasising aspects of pricing, hedging and practical usage. This second edition features additional emphasis on the discussion of Ito calculus and Girsanovs Theorem, and the risk-neutral measure and equivalent martingale pricing approach. A new chapter on credit risk models and pricing of credit derivatives has been added. Up-to-date research results are provided by many useful exercises.

Option Pricing and Portfolio Optimization

Author : Ralf Korn
Publisher : American Mathematical Soc.
ISBN 13 : 9780821821237
Total Pages : 272 pages
Book Rating : 4.8/5 (212 download)

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Book Synopsis Option Pricing and Portfolio Optimization by : Ralf Korn

Download or read book Option Pricing and Portfolio Optimization written by Ralf Korn and published by American Mathematical Soc.. This book was released on 2001 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding and working with the current models of financial markets requires a sound knowledge of the mathematical tools and ideas from which they are built. Banks and financial houses all over the world recognize this and are avidly recruiting mathematicians, physicists, and other scientists with these skills. The mathematics involved in modern finance springs from the heart of probability and analysis: the Itô calculus, stochastic control, differential equations, martingales, and so on. The authors give rigorous treatments of these topics, while always keeping the applications in mind. Thus, the way in which the mathematics is developed is governed by the way it will be used, rather than by the goal of optimal generality. Indeed, most of purely mathematical topics are treated in extended "excursions" from the applications into the theory. Thus, with the main topic of financial modelling and optimization in view, the reader also obtains a self-contained and complete introduction to the underlying mathematics. This book is specifically designed as a graduate textbook. It could be used for the second part of a course in probability theory, as it includes as applied introduction to the basics of stochastic processes (martingales and Brownian motion) and stochastic calculus. It would also be suitable for a course in continuous-time finance that assumes familiarity with stochastic processes. The prerequisites are basic probability theory and calculus. Some background in stochastic processes would be useful, but not essential.

Derivatives, Risk Management & Value

Author : Mondher Bellalah
Publisher : World Scientific
ISBN 13 : 9812838635
Total Pages : 996 pages
Book Rating : 4.8/5 (128 download)

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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.

Electricity Markets

Author : Chris Harris
Publisher : John Wiley & Sons
ISBN 13 : 1119995132
Total Pages : 550 pages
Book Rating : 4.1/5 (199 download)

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Book Synopsis Electricity Markets by : Chris Harris

Download or read book Electricity Markets written by Chris Harris and published by John Wiley & Sons. This book was released on 2011-01-31 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.

Mathematical Modelling and Numerical Methods in Finance

Author : Alain Bensoussan
Publisher : Elsevier
ISBN 13 : 0080931006
Total Pages : 743 pages
Book Rating : 4.0/5 (89 download)

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Book Synopsis Mathematical Modelling and Numerical Methods in Finance by : Alain Bensoussan

Download or read book Mathematical Modelling and Numerical Methods in Finance written by Alain Bensoussan and published by Elsevier. This book was released on 2009-06-16 with total page 743 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mathematical finance is a prolific scientific domain in which there exists a particular characteristic of developing both advanced theories and practical techniques simultaneously. Mathematical Modelling and Numerical Methods in Finance addresses the three most important aspects in the field: mathematical models, computational methods, and applications, and provides a solid overview of major new ideas and results in the three domains. - Coverage of all aspects of quantitative finance including models, computational methods and applications - Provides an overview of new ideas and results - Contributors are leaders of the field

Financial Risk Management

Author : Jimmy Skoglund
Publisher : John Wiley & Sons
ISBN 13 : 1119135516
Total Pages : 580 pages
Book Rating : 4.1/5 (191 download)

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Book Synopsis Financial Risk Management by : Jimmy Skoglund

Download or read book Financial Risk Management written by Jimmy Skoglund and published by John Wiley & Sons. This book was released on 2015-10-12 with total page 580 pages. Available in PDF, EPUB and Kindle. Book excerpt: A global banking risk management guide geared toward the practitioner Financial Risk Management presents an in-depth look at banking risk on a global scale, including comprehensive examination of the U.S. Comprehensive Capital Analysis and Review, and the European Banking Authority stress tests. Written by the leaders of global banking risk products and management at SAS, this book provides the most up-to-date information and expert insight into real risk management. The discussion begins with an overview of methods for computing and managing a variety of risk, then moves into a review of the economic foundation of modern risk management and the growing importance of model risk management. Market risk, portfolio credit risk, counterparty credit risk, liquidity risk, profitability analysis, stress testing, and others are dissected and examined, arming you with the strategies you need to construct a robust risk management system. The book takes readers through a journey from basic market risk analysis to major recent advances in all financial risk disciplines seen in the banking industry. The quantitative methodologies are developed with ample business case discussions and examples illustrating how they are used in practice. Chapters devoted to firmwide risk and stress testing cross reference the different methodologies developed for the specific risk areas and explain how they work together at firmwide level. Since risk regulations have driven a lot of the recent practices, the book also relates to the current global regulations in the financial risk areas. Risk management is one of the fastest growing segments of the banking industry, fueled by banks' fundamental intermediary role in the global economy and the industry's profit-driven increase in risk-seeking behavior. This book is the product of the authors' experience in developing and implementing risk analytics in banks around the globe, giving you a comprehensive, quantitative-oriented risk management guide specifically for the practitioner. Compute and manage market, credit, asset, and liability risk Perform macroeconomic stress testing and act on the results Get up to date on regulatory practices and model risk management Examine the structure and construction of financial risk systems Delve into funds transfer pricing, profitability analysis, and more Quantitative capability is increasing with lightning speed, both methodologically and technologically. Risk professionals must keep pace with the changes, and exploit every tool at their disposal. Financial Risk Management is the practitioner's guide to anticipating, mitigating, and preventing risk in the modern banking industry.

Risk Management and Financial Derivatives

Author : Satyajit Das
Publisher : McGraw-Hill Companies
ISBN 13 :
Total Pages : 888 pages
Book Rating : 4.:/5 (321 download)

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Book Synopsis Risk Management and Financial Derivatives by : Satyajit Das

Download or read book Risk Management and Financial Derivatives written by Satyajit Das and published by McGraw-Hill Companies. This book was released on 1998 with total page 888 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Risk Management and Financial Derivatives: A Guide to the Mathematics meets the demand for a simple, nontechnical explanation of the methodology of risk management and financial derivatives." "Risk Management and Financial Derivatives provides clear, concise explanations of the mathematics behind today's complex financial risk management topics. An ideal introduction for those new to the subject, it will also serve as an indispensable reference for those already experienced in the field."--BOOK JACKET.Title Summary field provided by Blackwell North America, Inc. All Rights Reserved

Finite Difference Methods,Theory and Applications

Author : Ivan Dimov
Publisher : Springer
ISBN 13 : 3319202391
Total Pages : 443 pages
Book Rating : 4.3/5 (192 download)

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Book Synopsis Finite Difference Methods,Theory and Applications by : Ivan Dimov

Download or read book Finite Difference Methods,Theory and Applications written by Ivan Dimov and published by Springer. This book was released on 2015-06-16 with total page 443 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the thoroughly refereed post-conference proceedings of the 6th International Conference on Finite Difference Methods, FDM 2014, held in Lozenetz, Bulgaria, in June 2014. The 36 revised full papers were carefully reviewed and selected from 62 submissions. These papers together with 12 invited papers cover topics such as finite difference and combined finite difference methods as well as finite element methods and their various applications in physics, chemistry, biology and finance.

Derivatives

Author : Robert E. Whaley
Publisher : John Wiley & Sons
ISBN 13 : 0470086386
Total Pages : 962 pages
Book Rating : 4.4/5 (7 download)

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Book Synopsis Derivatives by : Robert E. Whaley

Download or read book Derivatives written by Robert E. Whaley and published by John Wiley & Sons. This book was released on 2007-02-26 with total page 962 pages. Available in PDF, EPUB and Kindle. Book excerpt: Robert Whaley has more than twenty-five years of experience in the world of finance, and with this book he shares his hard-won knowledge in the field of derivatives with you. Divided into ten information-packed parts, Derivatives shows you how this financial tool can be used in practice to create risk management, valuation, and investment solutions that are appropriate for a variety of market situations.

Binomial Models in Finance

Author : John van der Hoek
Publisher : Springer Science & Business Media
ISBN 13 : 0387316078
Total Pages : 309 pages
Book Rating : 4.3/5 (873 download)

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Book Synopsis Binomial Models in Finance by : John van der Hoek

Download or read book Binomial Models in Finance written by John van der Hoek and published by Springer Science & Business Media. This book was released on 2006-04-18 with total page 309 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book describes the modelling of prices of ?nancial assets in a simple d- crete time, discrete state, binomial framework. By avoiding the mathematical technicalitiesofcontinuoustime?nancewehopewehavemadethematerial accessible to a wide audience. Some of the developments and formulae appear here for the ?rst time in book form. We hope our book will appeal to various audiences. These include MBA s- dents,upperlevelundergraduatestudents,beginningdoctoralstudents,qu- titative analysts at a basic level and senior executives who seek material on new developments in ?nance at an accessible level. The basic building block in our book is the one-step binomial model where a known price today can take one of two possible values at a future time, which might, for example, be tomorrow, or next month, or next year. In this simple situation “risk neutral pricing” can be de?ned and the model can be applied to price forward contracts, exchange rate contracts and interest rate derivatives. In a few places we discuss multinomial models to explain the notions of incomplete markets and how pricing can be viewed in such a context, where unique prices are no longer available. The simple one-period framework can then be extended to multi-period m- els.TheCox-Ross-RubinsteinapproximationtotheBlackScholesoptionpr- ing formula is an immediate consequence. American, barrier and exotic - tions can all be discussed and priced using binomial models. More precise modelling issues such as implied volatility trees and implied binomial trees are treated, as well as interest rate models like those due to Ho and Lee; and Black, Derman and Toy.