Option Pricing With Infinitely Divisible Returns

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A Practical Guide to Heavy Tails

Author : Robert Adler
Publisher : Springer Science & Business Media
ISBN 13 : 9780817639518
Total Pages : 560 pages
Book Rating : 4.6/5 (395 download)

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Book Synopsis A Practical Guide to Heavy Tails by : Robert Adler

Download or read book A Practical Guide to Heavy Tails written by Robert Adler and published by Springer Science & Business Media. This book was released on 1998-10-26 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: Twenty-four contributions, intended for a wide audience from various disciplines, cover a variety of applications of heavy-tailed modeling involving telecommunications, the Web, insurance, and finance. Along with discussion of specific applications are several papers devoted to time series analysis, regression, classical signal/noise detection problems, and the general structure of stable processes, viewed from a modeling standpoint. Emphasis is placed on developments in handling the numerical problems associated with stable distribution (a main technical difficulty until recently). No index. Annotation copyrighted by Book News, Inc., Portland, OR

Option Pricing in Incomplete Markets

Author : Yoshio Miyahara
Publisher : World Scientific
ISBN 13 : 1848163487
Total Pages : 200 pages
Book Rating : 4.8/5 (481 download)

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Book Synopsis Option Pricing in Incomplete Markets by : Yoshio Miyahara

Download or read book Option Pricing in Incomplete Markets written by Yoshio Miyahara and published by World Scientific. This book was released on 2012 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume offers the reader practical methods to compute the option prices in the incomplete asset markets. The [GLP & MEMM] pricing models are clearly introduced, and the properties of these models are discussed in great detail. It is shown that the geometric L(r)vy process (GLP) is a typical example of the incomplete market, and that the MEMM (minimal entropy martingale measure) is an extremely powerful pricing measure. This volume also presents the calibration procedure of the [GLP \& MEMM] model that has been widely used in the application of practical problem

The Valuation of Multivariate Options

Author : Christian Hassold
Publisher : diplom.de
ISBN 13 : 383248132X
Total Pages : 118 pages
Book Rating : 4.8/5 (324 download)

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Book Synopsis The Valuation of Multivariate Options by : Christian Hassold

Download or read book The Valuation of Multivariate Options written by Christian Hassold and published by diplom.de. This book was released on 2004-07-19 with total page 118 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inhaltsangabe:Abstract: During the last decades, capital markets have transformed rapidly. Derivative securities or more simply derivatives like swaps, futures, and options supplemented the trading of stocks and bonds. These financial products can frequently be seen in the media: Due to derivatives, Procter & Gamble lost $150 million in 1994, Barings Bank lost $1.3 billion in 1995 and Long-Term Capital Management (LTCM) lost $3.5 billion in 1998. Though these figures seem daunting, derivatives can be useful financial instruments. Applications include risk management, speculation, reduced transaction costs, and regulatory arbitrage. Theory and practice of option valuation were revolutionized in 1973, when Fischer Black and Myron Scholes published their celebrated Black Scholes formula in the landmark paper The pricing of options and corporate liabilities . Afterwards, a vast amount of papers on option valuation was published which employ all kinds of stochastic processes. Thereby, the special features of financial return data are tried to be taken into account. Advancing option valuation theory to options with multiple underlyings, lead to the problem that the dependence structure of the underlying securities needs to be considered. Though linear correlation is a widely used dependence measure, it may be inappropriate for multivariate return data. Throughout the last years, dependence modelling through copulas has become common. Copulas are multivariate distributions on the d-dimensional unit-hyper-square which couples d marginal distributions to a joint distribution. Copulas can be used to construct dependence measures like the rank correlation coefficients of Spearman or Kendall. They are also a useful tool in the context of option valuation. The prices of multivariate options depend on the distributional assumptions of stock price changes and the dependence structure. This thesis exhibits the features of multivariate financial return data. Evidence of (multi-)non-normality is presented. A general overview on multivariate option valuation theory is given. A nonparametric model and two Esscher models are introduced in detail. Then, the multivariate normal and the multivariate normal inverse Gaussian distribution are assumed as return distributions for an empirical study. The study exhibits the influence of the dependence structure and the properties of the assumed return distribution on option prices. Inhaltsverzeichnis:Table of [...]

Handbook Of Heavy-tailed Distributions In Asset Management And Risk Management

Author : Michele Leonardo Bianchi
Publisher : World Scientific
ISBN 13 : 9813276215
Total Pages : 598 pages
Book Rating : 4.8/5 (132 download)

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Book Synopsis Handbook Of Heavy-tailed Distributions In Asset Management And Risk Management by : Michele Leonardo Bianchi

Download or read book Handbook Of Heavy-tailed Distributions In Asset Management And Risk Management written by Michele Leonardo Bianchi and published by World Scientific. This book was released on 2019-03-08 with total page 598 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study of heavy-tailed distributions allows researchers to represent phenomena that occasionally exhibit very large deviations from the mean. The dynamics underlying these phenomena is an interesting theoretical subject, but the study of their statistical properties is in itself a very useful endeavor from the point of view of managing assets and controlling risk. In this book, the authors are primarily concerned with the statistical properties of heavy-tailed distributions and with the processes that exhibit jumps. A detailed overview with a Matlab implementation of heavy-tailed models applied in asset management and risk managements is presented. The book is not intended as a theoretical treatise on probability or statistics, but as a tool to understand the main concepts regarding heavy-tailed random variables and processes as applied to real-world applications in finance. Accordingly, the authors review approaches and methodologies whose realization will be useful for developing new methods for forecasting of financial variables where extreme events are not treated as anomalies, but as intrinsic parts of the economic process.

A Time Series Approach to Option Pricing

Author : Christophe Chorro
Publisher : Springer
ISBN 13 : 3662450372
Total Pages : 202 pages
Book Rating : 4.6/5 (624 download)

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Book Synopsis A Time Series Approach to Option Pricing by : Christophe Chorro

Download or read book A Time Series Approach to Option Pricing written by Christophe Chorro and published by Springer. This book was released on 2014-12-04 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt: The current world financial scene indicates at an intertwined and interdependent relationship between financial market activity and economic health. This book explains how the economic messages delivered by the dynamic evolution of financial asset returns are strongly related to option prices. The Black Scholes framework is introduced and by underlining its shortcomings, an alternative approach is presented that has emerged over the past ten years of academic research, an approach that is much more grounded on a realistic statistical analysis of data rather than on ad hoc tractable continuous time option pricing models. The reader then learns what it takes to understand and implement these option pricing models based on time series analysis in a self-contained way. The discussion covers modeling choices available to the quantitative analyst, as well as the tools to decide upon a particular model based on the historical datasets of financial returns. The reader is then guided into numerical deduction of option prices from these models and illustrations with real examples are used to reflect the accuracy of the approach using datasets of options on equity indices.

Risk Neutral Pricing and Financial Mathematics

Author : Peter M. Knopf
Publisher : Elsevier
ISBN 13 : 0128017279
Total Pages : 347 pages
Book Rating : 4.1/5 (28 download)

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Book Synopsis Risk Neutral Pricing and Financial Mathematics by : Peter M. Knopf

Download or read book Risk Neutral Pricing and Financial Mathematics written by Peter M. Knopf and published by Elsevier. This book was released on 2015-07-29 with total page 347 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk Neutral Pricing and Financial Mathematics: A Primer provides a foundation to financial mathematics for those whose undergraduate quantitative preparation does not extend beyond calculus, statistics, and linear math. It covers a broad range of foundation topics related to financial modeling, including probability, discrete and continuous time and space valuation, stochastic processes, equivalent martingales, option pricing, and term structure models, along with related valuation and hedging techniques. The joint effort of two authors with a combined 70 years of academic and practitioner experience, Risk Neutral Pricing and Financial Mathematics takes a reader from learning the basics of beginning probability, with a refresher on differential calculus, all the way to Doob-Meyer, Ito, Girsanov, and SDEs. It can also serve as a useful resource for actuaries preparing for Exams FM and MFE (Society of Actuaries) and Exams 2 and 3F (Casualty Actuarial Society). - Includes more subjects than other books, including probability, discrete and continuous time and space valuation, stochastic processes, equivalent martingales, option pricing, term structure models, valuation, and hedging techniques - Emphasizes introductory financial engineering, financial modeling, and financial mathematics - Suited for corporate training programs and professional association certification programs

Handbook of Heavy Tailed Distributions in Finance

Author : S.T Rachev
Publisher : Elsevier
ISBN 13 : 0080557732
Total Pages : 707 pages
Book Rating : 4.0/5 (85 download)

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Book Synopsis Handbook of Heavy Tailed Distributions in Finance by : S.T Rachev

Download or read book Handbook of Heavy Tailed Distributions in Finance written by S.T Rachev and published by Elsevier. This book was released on 2003-03-05 with total page 707 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbooks in Finance are intended to be a definitive source for comprehensive and accessible information in the field of finance. Each individual volume in the series should present an accurate self-contained survey of a sub-field of finance, suitable for use by finance and economics professors and lecturers, professional researchers, graduate students and as a teaching supplement. The goal is to have a broad group of outstanding volumes in various areas of finance. The Handbook of Heavy Tailed Distributions in Finance is the first handbook to be published in this series.This volume presents current research focusing on heavy tailed distributions in finance. The contributions cover methodological issues, i.e., probabilistic, statistical and econometric modelling under non- Gaussian assumptions, as well as the applications of the stable and other non -Gaussian models in finance and risk management.

Operator Theory and Harmonic Analysis

Author : Alexey N. Karapetyants
Publisher : Springer Nature
ISBN 13 : 3030768295
Total Pages : 413 pages
Book Rating : 4.0/5 (37 download)

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Book Synopsis Operator Theory and Harmonic Analysis by : Alexey N. Karapetyants

Download or read book Operator Theory and Harmonic Analysis written by Alexey N. Karapetyants and published by Springer Nature. This book was released on 2021-08-31 with total page 413 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume is part of the collaboration agreement between Springer and the ISAAC society. This is the second in the two-volume series originating from the 2020 activities within the international scientific conference "Modern Methods, Problems and Applications of Operator Theory and Harmonic Analysis" (OTHA), Southern Federal University, Rostov-on-Don, Russia. This volume focuses on mathematical methods and applications of probability and statistics in the context of general harmonic analysis and its numerous applications. The two volumes cover new trends and advances in several very important fields of mathematics, developed intensively over the last decade. The relevance of this topic is related to the study of complex multi-parameter objects required when considering operators and objects with variable parameters.

Financial Econometrics

Author : Svetlozar T. Rachev
Publisher : John Wiley & Sons
ISBN 13 : 0470121521
Total Pages : 560 pages
Book Rating : 4.4/5 (71 download)

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Book Synopsis Financial Econometrics by : Svetlozar T. Rachev

Download or read book Financial Econometrics written by Svetlozar T. Rachev and published by John Wiley & Sons. This book was released on 2007-03-22 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive guide to financial econometrics Financial econometrics is a quest for models that describe financial time series such as prices, returns, interest rates, and exchange rates. In Financial Econometrics, readers will be introduced to this growing discipline and the concepts and theories associated with it, including background material on probability theory and statistics. The experienced author team uses real-world data where possible and brings in the results of published research provided by investment banking firms and journals. Financial Econometrics clearly explains the techniques presented and provides illustrative examples for the topics discussed. Svetlozar T. Rachev, PhD (Karlsruhe, Germany) is currently Chair-Professor at the University of Karlsruhe. Stefan Mittnik, PhD (Munich, Germany) is Professor of Financial Econometrics at the University of Munich. Frank J. Fabozzi, PhD, CFA, CFP (New Hope, PA) is an adjunct professor of Finance at Yale University’s School of Management. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm The Intertek Group. Teo Jasic, PhD, (Frankfurt, Germany) is a senior manager with a leading international management consultancy firm in Frankfurt.

Pricing Derivative Securities

Author : T. W. Epps
Publisher : World Scientific
ISBN 13 : 9812700331
Total Pages : 644 pages
Book Rating : 4.8/5 (127 download)

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Book Synopsis Pricing Derivative Securities by : T. W. Epps

Download or read book Pricing Derivative Securities written by T. W. Epps and published by World Scientific. This book was released on 2007 with total page 644 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents techniques for valuing derivative securities at a level suitable for practitioners, students in doctoral programs in economics and finance, and those in masters-level programs in financial mathematics and computational finance. It provides the necessary mathematical tools from analysis, probability theory, the theory of stochastic processes, and stochastic calculus, making extensive use of examples. It also covers pricing theory, with emphasis on martingale methods. The chapters are organized around the assumptions made about the dynamics of underlying price processes. Readers begin with simple, discrete-time models that require little mathematical sophistication, proceed to the basic Black-Scholes theory, and then advance to continuous-time models with multiple risk sources. The second edition takes account of the major developments in the field since 2000. New topics include the use of simulation to price American-style derivatives, a new one-step approach to pricing options by inverting characteristic functions, and models that allow jumps in volatility and Markov-driven changes in regime. The new chapter on interest-rate derivatives includes extensive coverage of the LIBOR market model and an introduction to the modeling of credit risk. As a supplement to the text, the book contains an accompanying CD-ROM with user-friendly FORTRAN, C++, and VBA program components.

日本オペレーションズ・リサーチ学会論文誌

Author : 日本オペレーションズ・リサーチ学会
Publisher :
ISBN 13 :
Total Pages : 612 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis 日本オペレーションズ・リサーチ学会論文誌 by : 日本オペレーションズ・リサーチ学会

Download or read book 日本オペレーションズ・リサーチ学会論文誌 written by 日本オペレーションズ・リサーチ学会 and published by . This book was released on 2007 with total page 612 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Nonlinear Valuation and Non-Gaussian Risks in Finance

Author : Dilip B. Madan
Publisher : Cambridge University Press
ISBN 13 : 1316518094
Total Pages : 283 pages
Book Rating : 4.3/5 (165 download)

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Book Synopsis Nonlinear Valuation and Non-Gaussian Risks in Finance by : Dilip B. Madan

Download or read book Nonlinear Valuation and Non-Gaussian Risks in Finance written by Dilip B. Madan and published by Cambridge University Press. This book was released on 2022-02-03 with total page 283 pages. Available in PDF, EPUB and Kindle. Book excerpt: Explore how market valuation must abandon linearity to deliver efficient resource allocation.

New Developments in Financial Modelling

Author : Margarida Catalão-Lopes
Publisher : Cambridge Scholars Publishing
ISBN 13 : 1443811556
Total Pages : 380 pages
Book Rating : 4.4/5 (438 download)

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Book Synopsis New Developments in Financial Modelling by : Margarida Catalão-Lopes

Download or read book New Developments in Financial Modelling written by Margarida Catalão-Lopes and published by Cambridge Scholars Publishing. This book was released on 2009-05-27 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume brings together a variety of issues, methods and market instruments that should prove useful for topics courses, finance and asset management practice, and also foster future research. This collection of contributions is a selected subset of those presented at the XLI Meeting of the EURO Working Group on Financial Modelling, Lisbon, November 2007, and has a rich manifold of applied, theoretical and methodological work: • Banking, empirical assessment of efficiency and relationship banking; • Corporate Governance; • Market Microstructure: liquidity; price limits; volatility; • Risk: sovereign debt rating; volatility-volume around takeover announcements; • Multicriteria approach and portfolio selection; • Modified Tempered Stable Distribution and GARCH modelling. In sum, this contributed volume, joining many authors from academia and practice on finance, offers a multiplicity of issues and methodology that broadens the knowledge and skills in finance matters and raises research questions for further development.

Real Options Valuation

Author : Max Schöne
Publisher : Springer
ISBN 13 : 3658074930
Total Pages : 114 pages
Book Rating : 4.6/5 (58 download)

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Book Synopsis Real Options Valuation by : Max Schöne

Download or read book Real Options Valuation written by Max Schöne and published by Springer. This book was released on 2014-09-27 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Author shows that modelling the uncertain cash flow dynamics of an investment project deserves careful attention in real options valuation. Focusing on the case of commodity price uncertainty, a broad empirical study reveals that, contrary to common assumptions, prices are often non-stationary and exhibit non-normally distributed returns. Subsequently, more realistic stochastic volatility, jump diffusion, and Lévy processes are evaluated in the context of a stylised investment project. The valuation results suggest that stochastic process choice can have substantial implications for valuation results and optimal investment rules.

Risks

Author : Mogens Steffensen
Publisher : MDPI
ISBN 13 : 3036507124
Total Pages : 170 pages
Book Rating : 4.0/5 (365 download)

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Book Synopsis Risks by : Mogens Steffensen

Download or read book Risks written by Mogens Steffensen and published by MDPI. This book was released on 2021-06-03 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of feature articles published in Risks in 2020. They were all written by experts in their respective fields. In these articles, they all develop and present new aspects and insights that can help us to understand and cope with the different and ever-changing aspects of risks. In some of the feature articles the probabilistic risk modeling is the central focus, whereas impact and innovation, in the context of financial economics and actuarial science, is somewhat retained and left for future research. In other articles it is the other way around. Ideas and perceptions in financial markets are the driving force of the research but they do not necessarily rely on innovation in the underlying risk models. Together, they are state-of-the-art, expert-led, up-to-date contributions, demonstrating what Risks is and what Risks has to offer: articles that focus on the central aspects of insurance and financial risk management, that detail progress and paths of further development in understanding and dealing with...risks. Asking the same type of questions (which risk allocation and mitigation should be provided, and why?) creates value from three different perspectives: the normative perspective of market regulator; the existential perspective of the financial institution; the phenomenological perspective of the individual consumer or policy holder.

Exotic Option Pricing and Advanced Lévy Models

Author : Andreas Kyprianou
Publisher : John Wiley & Sons
ISBN 13 : 0470017201
Total Pages : 344 pages
Book Rating : 4.4/5 (7 download)

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Book Synopsis Exotic Option Pricing and Advanced Lévy Models by : Andreas Kyprianou

Download or read book Exotic Option Pricing and Advanced Lévy Models written by Andreas Kyprianou and published by John Wiley & Sons. This book was released on 2006-06-14 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since around the turn of the millennium there has been a general acceptance that one of the more practical improvements one may make in the light of the shortfalls of the classical Black-Scholes model is to replace the underlying source of randomness, a Brownian motion, by a Lévy process. Working with Lévy processes allows one to capture desirable distributional characteristics in the stock returns. In addition, recent work on Lévy processes has led to the understanding of many probabilistic and analytical properties, which make the processes attractive as mathematical tools. At the same time, exotic derivatives are gaining increasing importance as financial instruments and are traded nowadays in large quantities in OTC markets. The current volume is a compendium of chapters, each of which consists of discursive review and recent research on the topic of exotic option pricing and advanced Lévy markets, written by leading scientists in this field. In recent years, Lévy processes have leapt to the fore as a tractable mechanism for modeling asset returns. Exotic option values are especially sensitive to an accurate portrayal of these dynamics. This comprehensive volume provides a valuable service for financial researchers everywhere by assembling key contributions from the world's leading researchers in the field. Peter Carr, Head of Quantitative Finance, Bloomberg LP. This book provides a front-row seat to the hottest new field in modern finance: options pricing in turbulent markets. The old models have failed, as many a professional investor can sadly attest. So many of the brightest minds in mathematical finance across the globe are now in search of new, more accurate models. Here, in one volume, is a comprehensive selection of this cutting-edge research. Richard L. Hudson, former Managing Editor of The Wall Street Journal Europe, and co-author with Benoit B. Mandelbrot of The (Mis)Behaviour of Markets: A Fractal View of Risk, Ruin and Reward

Handbook Of Applied Investment Research

Author : John B Guerard Jr
Publisher : World Scientific
ISBN 13 : 9811222649
Total Pages : 817 pages
Book Rating : 4.8/5 (112 download)

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Book Synopsis Handbook Of Applied Investment Research by : John B Guerard Jr

Download or read book Handbook Of Applied Investment Research written by John B Guerard Jr and published by World Scientific. This book was released on 2020-10-02 with total page 817 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces the readers to the rapidly growing literature and latest results on financial, fundamental and seasonal anomalies, stock selection modeling and portfolio management. Fifty years ago, finance professors taught the Efficient Markets Hypothesis which states that the average investor could not outperform the stock market based on technical, seasonal and fundamental data. Many, if not most faculty and investors, no longer share that opinion. In this book, the authors report original empirical evidence that applied investment research can produce statistically significant stock selection and excess portfolio returns in the US, and larger excess returns in international and emerging markets.