Option Pricing In The Moderate Deviations Regime

Download Option Pricing In The Moderate Deviations Regime full books in PDF, epub, and Kindle. Read online Option Pricing In The Moderate Deviations Regime ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!

Options - 45 Years Since The Publication Of The Black-scholes-merton Model: The Gershon Fintech Center Conference

Download Options - 45 Years Since The Publication Of The Black-scholes-merton Model: The Gershon Fintech Center Conference PDF Online Free

Author : David Gershon
Publisher : World Scientific
ISBN 13 : 9811259151
Total Pages : 554 pages
Book Rating : 4.8/5 (112 download)

Book Synopsis Options - 45 Years Since The Publication Of The Black-scholes-merton Model: The Gershon Fintech Center Conference by : David Gershon

Download or read book Options - 45 Years Since The Publication Of The Black-scholes-merton Model: The Gershon Fintech Center Conference written by David Gershon and published by World Scientific. This book was released on 2022-12-21 with total page 554 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains contributions by the best-known and consequential researchers who, over several decades, shaped the field of financial engineering. It presents a comprehensive and unique perspective on the historical development and the current state of derivatives research. The book covers classical and modern approaches to option pricing, realized and implied volatilities, classical and rough stochastic processes, and contingent claims analysis in corporate finance. The book is invaluable for students, academic researchers, and practitioners working with financial derivatives, market regulation, trading, risk management, and corporate decision-making.

Rough Volatility

Download Rough Volatility PDF Online Free

Author : Christian Bayer
Publisher : SIAM
ISBN 13 : 1611977789
Total Pages : 292 pages
Book Rating : 4.6/5 (119 download)

Book Synopsis Rough Volatility by : Christian Bayer

Download or read book Rough Volatility written by Christian Bayer and published by SIAM. This book was released on 2023-12-18 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volatility underpins financial markets by encapsulating uncertainty about prices, individual behaviors, and decisions and has traditionally been modeled as a semimartingale, with consequent scaling properties. The mathematical description of the volatility process has been an active topic of research for decades; however, driven by empirical estimates of the scaling behavior of volatility, a new paradigm has emerged, whereby paths of volatility are rougher than those of semimartingales. According to this perspective, volatility behaves essentially as a fractional Brownian motion with a small Hurst parameter. The first book to offer a comprehensive exploration of the subject, Rough Volatility contributes to the understanding and application of rough volatility models by equipping readers with the tools and insights needed to delve into the topic, exploring the motivation for rough volatility modeling, providing a toolbox for computation and practical implementation, and organizing the material to reflect the subject’s development and progression. This book is designed for researchers and graduate students in quantitative finance as well as quantitative analysts and finance professionals.

Nonlinear Option Pricing

Download Nonlinear Option Pricing PDF Online Free

Author : Julien Guyon
Publisher : CRC Press
ISBN 13 : 1466570334
Total Pages : 486 pages
Book Rating : 4.4/5 (665 download)

Book Synopsis Nonlinear Option Pricing by : Julien Guyon

Download or read book Nonlinear Option Pricing written by Julien Guyon and published by CRC Press. This book was released on 2013-12-19 with total page 486 pages. Available in PDF, EPUB and Kindle. Book excerpt: New Tools to Solve Your Option Pricing Problems For nonlinear PDEs encountered in quantitative finance, advanced probabilistic methods are needed to address dimensionality issues. Written by two leaders in quantitative research—including Risk magazine’s 2013 Quant of the Year—Nonlinear Option Pricing compares various numerical methods for solving high-dimensional nonlinear problems arising in option pricing. Designed for practitioners, it is the first authored book to discuss nonlinear Black-Scholes PDEs and compare the efficiency of many different methods. Real-World Solutions for Quantitative Analysts The book helps quants develop both their analytical and numerical expertise. It focuses on general mathematical tools rather than specific financial questions so that readers can easily use the tools to solve their own nonlinear problems. The authors build intuition through numerous real-world examples of numerical implementation. Although the focus is on ideas and numerical examples, the authors introduce relevant mathematical notions and important results and proofs. The book also covers several original approaches, including regression methods and dual methods for pricing chooser options, Monte Carlo approaches for pricing in the uncertain volatility model and the uncertain lapse and mortality model, the Markovian projection method and the particle method for calibrating local stochastic volatility models to market prices of vanilla options with/without stochastic interest rates, the a + bλ technique for building local correlation models that calibrate to market prices of vanilla options on a basket, and a new stochastic representation of nonlinear PDE solutions based on marked branching diffusions.

Large Deviations and Asymptotic Methods in Finance

Download Large Deviations and Asymptotic Methods in Finance PDF Online Free

Author : Peter K. Friz
Publisher : Springer
ISBN 13 : 3319116053
Total Pages : 590 pages
Book Rating : 4.3/5 (191 download)

Book Synopsis Large Deviations and Asymptotic Methods in Finance by : Peter K. Friz

Download or read book Large Deviations and Asymptotic Methods in Finance written by Peter K. Friz and published by Springer. This book was released on 2015-06-16 with total page 590 pages. Available in PDF, EPUB and Kindle. Book excerpt: Topics covered in this volume (large deviations, differential geometry, asymptotic expansions, central limit theorems) give a full picture of the current advances in the application of asymptotic methods in mathematical finance, and thereby provide rigorous solutions to important mathematical and financial issues, such as implied volatility asymptotics, local volatility extrapolation, systemic risk and volatility estimation. This volume gathers together ground-breaking results in this field by some of its leading experts. Over the past decade, asymptotic methods have played an increasingly important role in the study of the behaviour of (financial) models. These methods provide a useful alternative to numerical methods in settings where the latter may lose accuracy (in extremes such as small and large strikes, and small maturities), and lead to a clearer understanding of the behaviour of models, and of the influence of parameters on this behaviour. Graduate students, researchers and practitioners will find this book very useful, and the diversity of topics will appeal to people from mathematical finance, probability theory and differential geometry.

Conquering the Fear of Freedom

Download Conquering the Fear of Freedom PDF Online Free

Author : Shinji Takagi
Publisher : OUP Oxford
ISBN 13 : 0191024066
Total Pages : 333 pages
Book Rating : 4.1/5 (91 download)

Book Synopsis Conquering the Fear of Freedom by : Shinji Takagi

Download or read book Conquering the Fear of Freedom written by Shinji Takagi and published by OUP Oxford. This book was released on 2015-04-16 with total page 333 pages. Available in PDF, EPUB and Kindle. Book excerpt: Conquering the Fear of Freedom presents an analytical review of Japanese exchange rate policy from the end of World War II to the present. It examines how authorities, starting with the imposition of draconian controls over all international financial flows, moved toward eliminating virtually all state interference regulating foreign exchange transactions, including official intervention in the foreign exchange market. It describes how policy and institutional frameworks evolved, explains their domestic and international contexts, and assesses the impacts and consequences of policy actions. Following successful exchange rate-based stabilization in the early 1950s, Japan entered the world trading system with an overvalued currency, which helped perpetuate exchange and capital controls. As the culture of administrative control became ingrained, Japan took a decidedly gradualist approach to establishing current and capital account convertibility. The protracted capital account liberalization, coupled with slow domestic financial liberalization, created large swings in the yen's exchange rate when it was floated in the 1970s. Politicization by major trading partners of Japan's large bilateral trade surplus pressured authorities to subordinate domestic stability to external objectives. The ultimate outcome was costly: from the late 1980s, Japan successively experienced asset price inflation, a banking crisis, and economic stagnation. The book concludes by arguing that the shrinking trade surplus against the background of profound structural changes, the rise of China that has diminished the political intensity of any remaining bilateral economic issues, and the world's sympathy over two decades of deflation have given Japan, at least for now, the freedom to use macroeconomic policies for domestic purposes.

Financial Signal Processing and Machine Learning

Download Financial Signal Processing and Machine Learning PDF Online Free

Author : Ali N. Akansu
Publisher : John Wiley & Sons
ISBN 13 : 1118745639
Total Pages : 312 pages
Book Rating : 4.1/5 (187 download)

Book Synopsis Financial Signal Processing and Machine Learning by : Ali N. Akansu

Download or read book Financial Signal Processing and Machine Learning written by Ali N. Akansu and published by John Wiley & Sons. This book was released on 2016-04-21 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: The modern financial industry has been required to deal with large and diverse portfolios in a variety of asset classes often with limited market data available. Financial Signal Processing and Machine Learning unifies a number of recent advances made in signal processing and machine learning for the design and management of investment portfolios and financial engineering. This book bridges the gap between these disciplines, offering the latest information on key topics including characterizing statistical dependence and correlation in high dimensions, constructing effective and robust risk measures, and their use in portfolio optimization and rebalancing. The book focuses on signal processing approaches to model return, momentum, and mean reversion, addressing theoretical and implementation aspects. It highlights the connections between portfolio theory, sparse learning and compressed sensing, sparse eigen-portfolios, robust optimization, non-Gaussian data-driven risk measures, graphical models, causal analysis through temporal-causal modeling, and large-scale copula-based approaches. Key features: Highlights signal processing and machine learning as key approaches to quantitative finance. Offers advanced mathematical tools for high-dimensional portfolio construction, monitoring, and post-trade analysis problems. Presents portfolio theory, sparse learning and compressed sensing, sparsity methods for investment portfolios. including eigen-portfolios, model return, momentum, mean reversion and non-Gaussian data-driven risk measures with real-world applications of these techniques. Includes contributions from leading researchers and practitioners in both the signal and information processing communities, and the quantitative finance community.

Evaluating Policy Regimes

Download Evaluating Policy Regimes PDF Online Free

Author : Ralph Bryant
Publisher : Brookings Institution Press
ISBN 13 : 9780815714910
Total Pages : 1028 pages
Book Rating : 4.7/5 (149 download)

Book Synopsis Evaluating Policy Regimes by : Ralph Bryant

Download or read book Evaluating Policy Regimes written by Ralph Bryant and published by Brookings Institution Press. This book was released on 2010-12-01 with total page 1028 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economists have long debated the theoretical merits—for an individual nation and for a multi-nation world economy—of alternative approaches to the conduct of economic policy. Yet theory alone cannot resolve the important issues at stake. Only after the robustness of policy regimes has been carefully examined with empirical evidence will policymakers and economists be able to reach more of a consensus. This pathbreaking volume takes major steps forward in meeting the need for a combination of theoretical and empirical evaluations of alternative policy regimes. Bringing together individuals and groups doing pioneering research on macroeconomic interaction, it explores what approach to monetary policy would lead to superior performance by individual national economies and the world economy as a whole. Many parts of the book use the analytical techniques of stochastic simulation, an evaluation procedure increasingly employed at the frontier of empirical economic analysis. The book provides a summary of the hey issues involved in evaluating policy regimes and clarifies the relationships among those issues. The authors examine the stabilization properties of alternative monetary-policy regimes and analyze how well various regime types perform in the face of unexpected shocks to national economies. Among their conclusions, they find that some simplified regimes for monetary policy are markedly less promising than others for achieving the stabilization objectives commonly sought by policymakers. Evaluating Policy Regimes is another major installment in a continuing world wide research project, sponsored by the Brookings Institution, to improve empirical knowledge about the interdependence of national economies.

The Dynamics of Emerging Stock Markets

Download The Dynamics of Emerging Stock Markets PDF Online Free

Author : Mohamed El Hedi Arouri
Publisher : Springer Science & Business Media
ISBN 13 : 3790823899
Total Pages : 214 pages
Book Rating : 4.7/5 (98 download)

Book Synopsis The Dynamics of Emerging Stock Markets by : Mohamed El Hedi Arouri

Download or read book The Dynamics of Emerging Stock Markets written by Mohamed El Hedi Arouri and published by Springer Science & Business Media. This book was released on 2009-12-24 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: Emerging markets have received a particular attention of academic researchers and practitioners since they decided to open their domestic capital markets to foreign participants about three decades ago. At the same time, we remark that theoretical and empirical research in emerging stock markets has been particularly challenged by their fast changes in nature and size under the effects of financial liberalization and reforms. This evolving feature has particularly led to a commensurate increase in sophistication of modeling techniques used for understanding financial markets. In this spirit, the book aims at providing the audience a comprehensive understanding of emerging stock markets in various aspects using modern financial econometric methods. It addresses the empirical techniques needed by economic agents to analyze the dynamics of these markets and illustrates how they can be applied to the actual data. On the other hand, it presents and discusses new research findings and their implications.

Keeping it Simple–Efficiency Costs of Fixed Margin Regimes in Transfer Pricing

Download Keeping it Simple–Efficiency Costs of Fixed Margin Regimes in Transfer Pricing PDF Online Free

Author : Sebastian Beer
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.4/5 (2 download)

Book Synopsis Keeping it Simple–Efficiency Costs of Fixed Margin Regimes in Transfer Pricing by : Sebastian Beer

Download or read book Keeping it Simple–Efficiency Costs of Fixed Margin Regimes in Transfer Pricing written by Sebastian Beer and published by International Monetary Fund. This book was released on 2022-09-23 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: Simplifying tax policy comes with costs and benefits. This paper explores simplification options for the taxation of MNEs, an area where administrative and compliance costs of the current rules are large. Simplified approaches seek to reduce these costs by relying on an approximation of the true tax base, potentially distorting resource allocation. We examine the efficiency cost of transfer pricing simplification theoretically and empirically. Using a sample of 300,000 firms located in 22 countries, we estimate that common transfer pricing practices reduce efficiency between 0.25 and 2.2 percent of total factor productivity across sectors. Focusing on the manufacturing sector, we then observe that simplification more than doubles sectoral inefficiency on average. However, large differences exist, with moderate efficiency costs in several sectors.

Pricing, Hedging, and Trading Exotic Options

Download Pricing, Hedging, and Trading Exotic Options PDF Online Free

Author : Israel Nelken
Publisher : Irwin Professional Publishing
ISBN 13 :
Total Pages : 328 pages
Book Rating : 4.3/5 ( download)

Book Synopsis Pricing, Hedging, and Trading Exotic Options by : Israel Nelken

Download or read book Pricing, Hedging, and Trading Exotic Options written by Israel Nelken and published by Irwin Professional Publishing. This book was released on 2000 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: "In describing the major types of exotic options Pricing, Hedging, and Trading Exotic Options also reveals their key applications.

An Options-based Analysis of Emerging Market Exchange Rate Expectations

Download An Options-based Analysis of Emerging Market Exchange Rate Expectations PDF Online Free

Author : José Campa
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.X/5 (6 download)

Book Synopsis An Options-based Analysis of Emerging Market Exchange Rate Expectations by : José Campa

Download or read book An Options-based Analysis of Emerging Market Exchange Rate Expectations written by José Campa and published by . This book was released on 2000 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Exotic Options and Hybrids

Download Exotic Options and Hybrids PDF Online Free

Author : Mohamed Bouzoubaa
Publisher : John Wiley & Sons
ISBN 13 : 0470688033
Total Pages : 405 pages
Book Rating : 4.4/5 (76 download)

Book Synopsis Exotic Options and Hybrids by : Mohamed Bouzoubaa

Download or read book Exotic Options and Hybrids written by Mohamed Bouzoubaa and published by John Wiley & Sons. This book was released on 2010-05-17 with total page 405 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent financial crisis brought to light many of the misunderstandings and misuses of exotic derivatives. With market participants on both the buy and sell-side having been found guilty of not understanding the products they were dealing with, never before has there been a greater need for clarification and explanation. Exotic Options and Hybrids is a practical guide to structuring, pricing and hedging complex exotic options and hybrid derivatives that will serve readers through the recent crisis, the road to recovery, the next bull market and beyond. Written by experienced practitioners, it focuses on the three main parts of a derivative’s life: the structuring of a product, its pricing and its hedging. Divided into four parts, the book covers a multitude of structures, encompassing many of the most up-to-date and promising products from exotic equity derivatives and structured notes to hybrid derivatives and dynamic strategies. Based on a realistic setting from the heart of the business, inside a derivatives operation, the practical and intuitive discussions of these aspects make these exotic concepts truly accessible. Adoptions of real trades are examined in detail, and all of the numerous examples are carefully selected so as to highlight interesting and significant aspects of the business. The introduction of payoff structures is accompanied by scenario analysis, diagrams and lifelike sample term sheets. Readers learn how to spot where the risks lie to pave the way for sound valuation and hedging of such products. There are also questions and accompanying discussions dispersed in the text, each exploited to illustrate one or more concepts from the context in which they are set. The applications, the strengths and the limitations of various models are highlighted, in relevance to the products and their risks, rather than the model implementations. Models are de-mystified in separately dedicated sections, but their implications are alluded to throughout the book in an intuitive and non-mathematical manner. By discussing exotic options and hybrids in a practical, non-mathematical and highly intuitive setting, this book will blast through the misunderstanding of exotic derivatives, enabling practitioners to fully understand and correctly structure, price and hedge theses products effectively, and stand strong as the only book in its class to make these “exotic” concepts truly accessible.

Economics Gone Astray

Download Economics Gone Astray PDF Online Free

Author : Bluford H Putnam
Publisher : World Scientific
ISBN 13 : 1944659609
Total Pages : 273 pages
Book Rating : 4.9/5 (446 download)

Book Synopsis Economics Gone Astray by : Bluford H Putnam

Download or read book Economics Gone Astray written by Bluford H Putnam and published by World Scientific. This book was released on 2019-01-04 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'It is written in clear English, without equations, and with plenty of charts to ground one’s understanding in the real world … The authors make a compelling case that economists need to take their simplifying assumptions more seriously, to embrace statistical techniques that can track dynamic markets with time-varying parameters, and to always be aware of the importance of shifts in the underlying context.'Global Commodities Applied Research DigestEconomics Gone Astray is a collection of essays on critical topics in macroeconomics that frame the issues in terms of clearly stated assumptions, highlighting the errors often made by professional economists, and allowing readers to better analyze market behavior and the economic consequences of policy decisions.The book differs from textbook economics, as it tackles sophisticated topics without using mathematics or technical jargon. This makes the book highly accessible to all types of readers, from investors and investment professionals, to professors and their students.The book's style integrates a large quantity of clearly drawn charts which help anchor the readers' perceptions of the topics being examined, from inflation to taxes, to demographics.

Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes)

Download Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) PDF Online Free

Author : Cheng Few Lee
Publisher : World Scientific
ISBN 13 : 9811202400
Total Pages : 5053 pages
Book Rating : 4.8/5 (112 download)

Book Synopsis Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) by : Cheng Few Lee

Download or read book Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) written by Cheng Few Lee and published by World Scientific. This book was released on 2020-07-30 with total page 5053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.

Geometric Aspects of Functional Analysis

Download Geometric Aspects of Functional Analysis PDF Online Free

Author : Vitali D. Milman
Publisher : Springer
ISBN 13 : 3540720537
Total Pages : 330 pages
Book Rating : 4.5/5 (47 download)

Book Synopsis Geometric Aspects of Functional Analysis by : Vitali D. Milman

Download or read book Geometric Aspects of Functional Analysis written by Vitali D. Milman and published by Springer. This book was released on 2007-04-27 with total page 330 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of original papers related to the Israeli GAFA seminar (on Geometric Aspects of Functional Analysis) during the years 2004-2005 reflects the general trends of the theory and are a source of inspiration for research. Most of the papers deal with different aspects of the Asymptotic Geometric Analysis, ranging from classical topics in the geometry of convex bodies to the study of sections or projections of convex bodies.

The Political Economy of Risk and Choice in Senegal

Download The Political Economy of Risk and Choice in Senegal PDF Online Free

Author : John Waterbury
Publisher : Routledge
ISBN 13 : 1135779473
Total Pages : 200 pages
Book Rating : 4.1/5 (357 download)

Book Synopsis The Political Economy of Risk and Choice in Senegal by : John Waterbury

Download or read book The Political Economy of Risk and Choice in Senegal written by John Waterbury and published by Routledge. This book was released on 2005-08-12 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: First Published in 1987. Routledge is an imprint of Taylor & Francis, an informa company.

Governance of Rural Electricity Systems in India

Download Governance of Rural Electricity Systems in India PDF Online Free

Author : Haribandhu Panda
Publisher : Academic Foundation
ISBN 13 : 9788171886036
Total Pages : 388 pages
Book Rating : 4.8/5 (86 download)

Book Synopsis Governance of Rural Electricity Systems in India by : Haribandhu Panda

Download or read book Governance of Rural Electricity Systems in India written by Haribandhu Panda and published by Academic Foundation. This book was released on 2007 with total page 388 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contributed articles presented at workshop on "Governance in Rural Electricity" on December 15-16, 2004, in Ānand, India, as part of the Silver Jubilee Symposium of the Institute of Rural Management.