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Option Pricing Under Skewness And Kurtosis Using A Cornish Fisher Expansion
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Book Synopsis Option Pricing Under Skewness and Kurtosis Using a Cornish Fisher Expansion by : Sofiane Aboura
Download or read book Option Pricing Under Skewness and Kurtosis Using a Cornish Fisher Expansion written by Sofiane Aboura and published by . This book was released on 2015 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper revisits the pricing of options, in a context of financial stress, when the underlying asset's returns displays skewness and excess kurtosis. For that purpose, we use a Cornish-Fisher transformation for valuing option contracts with an exact formula allowing for heavy-tails.An application to the FTSE 100 stock index option contracts during October 2008 provides evidence about the capability of the Cornish-Fisher model to improve calibration and pricing performance during a volatile period.
Book Synopsis Elements of Financial Risk Management by : Peter Christoffersen
Download or read book Elements of Financial Risk Management written by Peter Christoffersen and published by Academic Press. This book was released on 2011-11-22 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Second Edition of this best-selling book expands its advanced approach to financial risk models by covering market, credit, and integrated risk. With new data that cover the recent financial crisis, it combines Excel-based empirical exercises at the end of each chapter with online exercises so readers can use their own data. Its unified GARCH modeling approach, empirically sophisticated and relevant yet easy to implement, sets this book apart from others. Five new chapters and updated end-of-chapter questions and exercises, as well as Excel-solutions manual, support its step-by-step approach to choosing tools and solving problems. Examines market risk, credit risk, and operational risk Provides exceptional coverage of GARCH models Features online Excel-based empirical exercises
Book Synopsis Essential Mathematics for Market Risk Management by : Simon Hubbert
Download or read book Essential Mathematics for Market Risk Management written by Simon Hubbert and published by John Wiley & Sons. This book was released on 2012-01-17 with total page 354 pages. Available in PDF, EPUB and Kindle. Book excerpt: Everything you need to know in order to manage risk effectively within your organization You cannot afford to ignore the explosion in mathematical finance in your quest to remain competitive. This exciting branch of mathematics has very direct practical implications: when a new model is tested and implemented it can have an immediate impact on the financial environment. With risk management top of the agenda for many organizations, this book is essential reading for getting to grips with the mathematical story behind the subject of financial risk management. It will take you on a journey—from the early ideas of risk quantification up to today's sophisticated models and approaches to business risk management. To help you investigate the most up-to-date, pioneering developments in modern risk management, the book presents statistical theories and shows you how to put statistical tools into action to investigate areas such as the design of mathematical models for financial volatility or calculating the value at risk for an investment portfolio. Respected academic author Simon Hubbert is the youngest director of a financial engineering program in the U.K. He brings his industry experience to his practical approach to risk analysis Captures the essential mathematical tools needed to explore many common risk management problems Website with model simulations and source code enables you to put models of risk management into practice Plunges into the world of high-risk finance and examines the crucial relationship between the risk and the potential reward of holding a portfolio of risky financial assets This book is your one-stop-shop for effective risk management.
Book Synopsis Asymptotic Distribution Expansions in Option Pricing by : Daniel Giamouridis
Download or read book Asymptotic Distribution Expansions in Option Pricing written by Daniel Giamouridis and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This article extends an option pricing model and studies the properties of implied probability distribution functions (PDFs) recovered from American interest rate futures options. The model relaxes the restricting assumption of lognormally distributed returns accommodating a wide variety of implied PDFs shapes. Non-normal skewness and kurtosis are found to contribute significantly to estimating more precise implied densities. The model achieves good in-sample accuracy, similar to that achieved by alternative approaches. The recovered implied PDFs are, finally, found to be closer to a median PDF estimated using a number of alternative techniques.
Book Synopsis Empirical Finance for Finance and Banking by : Robert Sollis
Download or read book Empirical Finance for Finance and Banking written by Robert Sollis and published by John Wiley & Sons. This book was released on 2012-02-06 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirical Finance for Finance and Banking provides the student with a relatively non-technical guide to some of the key topics in finance where empirical methods play an important role Written for students taking Master’s degrees in finance and banking, it is also suitable for students and researchers in other areas, including economics. The first three introductory chapters outline the structure of the book and review econometric and statistical techniques, while the remaining chapters discuss various topics, including: portfolio theory and asset allocation, asset pricing and factor models, market efficiency, modelling and forecasting exchange and interest rates and Value at Risk. Understanding these topics and the methods covered will be helpful for students interested in working as analysts and researchers in financial institutions.
Book Synopsis Skewness and Kurtosis Implied by Option Prices by : Emmanuel Jurczenko
Download or read book Skewness and Kurtosis Implied by Option Prices written by Emmanuel Jurczenko and published by . This book was released on 2002 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Market Risk Analysis, Value at Risk Models by : Carol Alexander
Download or read book Market Risk Analysis, Value at Risk Models written by Carol Alexander and published by John Wiley & Sons. This book was released on 2009-02-09 with total page 503 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. It rests on the basic knowledge of financial mathematics and statistics gained from Volume I, of factor models, principal component analysis, statistical models of volatility and correlation and copulas from Volume II and, from Volume III, knowledge of pricing and hedging financial instruments and of mapping portfolios of similar instruments to risk factors. A unifying characteristic of the series is the pedagogical approach to practical examples that are relevant to market risk analysis in practice. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Parametric linear value at risk (VaR)models: normal, Student t and normal mixture and their expected tail loss (ETL); New formulae for VaR based on autocorrelated returns; Historical simulation VaR models: how to scale historical VaR and volatility adjusted historical VaR; Monte Carlo simulation VaR models based on multivariate normal and Student t distributions, and based on copulas; Examples and case studies of numerous applications to interest rate sensitive, equity, commodity and international portfolios; Decomposition of systematic VaR of large portfolios into standard alone and marginal VaR components; Backtesting and the assessment of risk model risk; Hypothetical factor push and historical stress tests, and stress testing based on VaR and ETL.
Book Synopsis General Equilibrium Option Pricing Method: Theoretical and Empirical Study by : Jian Chen
Download or read book General Equilibrium Option Pricing Method: Theoretical and Empirical Study written by Jian Chen and published by Springer. This book was released on 2018-04-10 with total page 163 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book mainly addresses the general equilibrium asset pricing method in two aspects: option pricing and variance risk premium. First, volatility smile and smirk is the famous puzzle in option pricing. Different from no arbitrage method, this book applies the general equilibrium approach in explaining the puzzle. In the presence of jump, investors impose more weights on the jump risk than the volatility risk, and as a result, investors require more jump risk premium which generates a pronounced volatility smirk. Second, based on the general equilibrium framework, this book proposes variance risk premium and empirically tests its predictive power for international stock market returns.
Book Synopsis Applied Quantitative Finance by : W. Härdle
Download or read book Applied Quantitative Finance written by W. Härdle and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 413 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents solutions for many practical problems in quantitative finance. The e-book design of the text connects theory and computational tools in an innovative way. All "quantlets" for calculation of examples in the text are executable on an XploRe Quantlet Server (XQS) and can be modified by the reader via the internet. The electronic edition can be downloaded from the web.
Book Synopsis Derivatives and Hedge Funds by : Stephen Satchell
Download or read book Derivatives and Hedge Funds written by Stephen Satchell and published by Springer. This book was released on 2016-05-18 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the last 20 years hedge funds and derivatives have fluctuated in reputational terms; they have been blamed for the global financial crisis and been praised for the provision of liquidity in troubled times. Both topics are rather under-researched due to a combination of data and secrecy issues. This book is a collection of papers celebrating 20 years of the Journal of Derivatives and Hedge Funds (JDHF). The 18 papers included in this volume represent a small sample of influential papers included during the life of the Journal, representing industry-orientated research in these areas. With a Preface from co-editor of the journal Stephen Satchell, the first part of the collection focuses on hedge funds and the second on markets, prices and products.
Book Synopsis The Skewness and Kurtosis of European Options and the Implications for Trade Sizing by : Euan Sinclair
Download or read book The Skewness and Kurtosis of European Options and the Implications for Trade Sizing written by Euan Sinclair and published by . This book was released on 2017 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: Long vanilla call option positions have unlimited profit potential and limited loss potential, and the opposite is true for short call option positions. Long vanilla puts do not have unlimited profit potential but, for commonly traded strikes, the maximum profit of a long put will be far greater than the maximum loss (the premium of the option). Again, the opposite is true for short put positions: their maximum loss is far greater than the potential gain. Equivalently, option returns are highly skewed and kurtotic. In this note, we calculate the skewness and kurtosis for European calls and puts. Next, using a power series expansion, we derive a simple approximation to the Kelly fraction for optimal trade sizing when returns are non-normal. Taken together, these two results are used to show that the higher order moments of option positions have an economically significant effect on optimal trade sizing when using the Kelly criterion.
Book Synopsis Algorithmic Aspects in Information and Management by : Bo Chen
Download or read book Algorithmic Aspects in Information and Management written by Bo Chen and published by Springer Science & Business Media. This book was released on 2010-07-05 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume constitutes the proceedings of the International Conference on Algorithmic Aspects in Information and Management, AAIM 2010, held in Weihai, China, in July 2010.
Book Synopsis Tail Risk of Hedge Funds by : Gregor Aleksander Gawron
Download or read book Tail Risk of Hedge Funds written by Gregor Aleksander Gawron and published by Cuvillier Verlag. This book was released on 2007 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Handbook of Market Risk by : Christian Szylar
Download or read book Handbook of Market Risk written by Christian Szylar and published by John Wiley & Sons. This book was released on 2013-10-16 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: A ONE-STOP GUIDE FOR THE THEORIES, APPLICATIONS, AND STATISTICAL METHODOLOGIES OF MARKET RISK Understanding and investigating the impacts of market risk on the financial landscape is crucial in preventing crises. Written by a hedge fund specialist, the Handbook of Market Risk is the comprehensive guide to the subject of market risk. Featuring a format that is accessible and convenient, the handbook employs numerous examples to underscore the application of the material in a real-world setting. The book starts by introducing the various methods to measure market risk while continuing to emphasize stress testing, liquidity, and interest rate implications. Covering topics intrinsic to understanding and applying market risk, the handbook features: An introduction to financial markets The historical perspective from market events and diverse mathematics to the value-at-risk Return and volatility estimates Diversification, portfolio risk, and efficient frontier The Capital Asset Pricing Model and the Arbitrage Pricing Theory The use of a fundamental multi-factors model Financial derivatives instruments Fixed income and interest rate risk Liquidity risk Alternative investments Stress testing and back testing Banks and Basel II/III The Handbook of Market Risk is a must-have resource for financial engineers, quantitative analysts, regulators, risk managers in investments banks, and large-scale consultancy groups advising banks on internal systems. The handbook is also an excellent text for academics teaching postgraduate courses on financial methodology.
Book Synopsis Dissertation Abstracts International by :
Download or read book Dissertation Abstracts International written by and published by . This book was released on 2006 with total page 854 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Modern Financial Engineering: Counterparty, Credit, Portfolio And Systemic Risks by : Giuseppe Orlando
Download or read book Modern Financial Engineering: Counterparty, Credit, Portfolio And Systemic Risks written by Giuseppe Orlando and published by World Scientific. This book was released on 2021-12-28 with total page 434 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book offers an overview of credit risk modeling and management. A three-step approach is adopted with the contents, after introducing the essential concepts of both mathematics and finance.Initially the focus is on the modeling of credit risk parameters mainly at the level of individual debtor and transaction, after which the book delves into counterparty credit risk, thus providing the link between credit and market risks. The second part is aimed at the portfolio level when multiple loans are pooled and default correlation becomes an important factor to consider and model. In this respect, the book explains how copulas help in modeling. The final stage is the macro perspective when the combination of credit risks related to financial institutions produces systemic risk and affects overall financial stability.The entire approach is two-dimensional as well. First, all modeling steps have replicable programming codes both in R and Matlab. In this way, the reader can experience the impact of changing the default probabilities of a given borrower or the weights of a sector. Second, at each stage, the book discusses the regulatory environment. This is because, at times, regulation can have stricter constraints than the outcome of internal models. In summary, the book guides the reader in modeling and managing credit risk by providing both the theoretical framework and the empirical tools necessary for a modern finance professional. In this sense, the book is aimed at a wide audience in all fields of study: from quants who want to engage in finance to economists who want to learn about coding and modern financial engineering.
Book Synopsis Properties of Estimators for the Gamma Distribution by : Bowman
Download or read book Properties of Estimators for the Gamma Distribution written by Bowman and published by CRC Press. This book was released on 1987-11-24 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
