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Pricing Cac 40 Index Options Under Asymmetry Of Information
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Book Synopsis Pricing Cac 40 Index Options Under Asymmetry of Information by : Sofiane Aboura
Download or read book Pricing Cac 40 Index Options Under Asymmetry of Information written by Sofiane Aboura and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article analyses, for the first time, the financial impact on the French market of September 11th, 2001. Was there any information asymmetry around this date? How deep was the reaction of the French investors? This study measures the magnitude of the shock in the stock price process.
Book Synopsis Pricing Cac 40 Index Options with Stochastic Volatility by : Sofiane Aboura
Download or read book Pricing Cac 40 Index Options with Stochastic Volatility written by Sofiane Aboura and published by . This book was released on 2015 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: The failure of the Black-Scholes (1973) model is now well documented in the literature. In this article, we discuss two alternative option valuation models whose volatility follows a stochastic process. Namely, the Heston (1993) closed-form solution model and the Hull and White (1988) model in a series expansion form, both allowing for arbitrary correlation between increments. The empirical study is carried out on French PXL European call options written on the CAC 40 index during the first half of year 2001. This paper fulfills the lack of option pricing empirical studies devoted to the French market. We discuss calibration of the models and results obtained from the out-of-sample pricing using analysis in cross-section. We also discuss the empirical dynamic of the skew. We found that misprising was globally deacreasing with maturity and increasing with low strike prices. We find that the Heston (1993) model was more likely to capture the changes in the implied volatility regime in that it can allows smile patterns to transform into skew patterns while the Hull and White (1988) model allows only for changes in the skew slope sign. We explain to what extent this phenomenon is linked with the values of some of the structural parameters.
Book Synopsis Derivatives, Risk Management & Value by : Mondher Bellalah
Download or read book Derivatives, Risk Management & Value written by Mondher Bellalah and published by World Scientific. This book was released on 2010 with total page 996 pages. Available in PDF, EPUB and Kindle. Book excerpt: 19.1. Numerical analysis and simulation techniques : an introduction to finite difference methods. 19.2. Application to European options on non-dividend paying stocks. 19.3. Valuation of American options with a composite volatility. 19.4. Simulation methods : Monte-Carlo method. ch. 20. Numerical methods and partial differential equations for European and American derivatives with complete and incomplete information. 20.1. Valuation of American calls on dividend-paying stocks. 20.2. American puts on dividend-paying stocks. 20.3. Numerical procedures in the presence of information costs : applications. 20.4. Convertible bonds. 20.5. Two-factor interest rate models and bond pricing within information uncertainty. 20.6. CBs pricing within information uncertainty -- pt. VIII. Exotic derivatives. ch. 21. Risk management : exotics and second-generation options. 21.1. Exchange options. 21.2. Forward-start options. 21.3. Pay-later options. 21.4. Simple chooser options. 21.5. Complex choosers. 21.6. Compound options. 21.7. Options on the maximum (minimum). 21.8. Extendible options. 21.9. Equity-linked foreign exchange options and quantos. 21.10. Binary barrier options. 21.11. Lookback options. ch. 22. Value at risk, credit risk, and credit derivatives. 22.1. VaR and riskmetrics : definitions and basic concepts. 22.2. Statistical and probability foundation of VaR. 22.3. A more advanced approach to VaR. 22.4. Credit valuation and the creditmetrics approach. 22.5. Default and credit-quality migration in the creditmetrics approach. 22.6. Credit-quality correlations. 22.7. Portfolio management of default risk in the Kealhofer, McQuown and Vasicek (KMV) approach. 22.8. Credit derivatives : definitions and main concepts. 22.9. The rating agencies models and the proprietary models.
Book Synopsis Index of Economic Articles in Journals and Collective Volumes by : American Economic Association
Download or read book Index of Economic Articles in Journals and Collective Volumes written by American Economic Association and published by . This book was released on 2000 with total page 1302 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Cahiers économiques de Bruxelles by :
Download or read book Cahiers économiques de Bruxelles written by and published by . This book was released on 2003 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Volatility and Time Series Econometrics by : Mark Watson
Download or read book Volatility and Time Series Econometrics written by Mark Watson and published by Oxford University Press. This book was released on 2010-02-11 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: A volume that celebrates and develops the work of Nobel Laureate Robert Engle, it includes original contributions from some of the world's leading econometricians that further Engle's work in time series economics
Book Synopsis Option-Implied Risk-Neutral Distributions and Risk Aversion by : Jens Carsten Jackwerth
Download or read book Option-Implied Risk-Neutral Distributions and Risk Aversion written by Jens Carsten Jackwerth and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Multinational Finance by : Kirt C. Butler
Download or read book Multinational Finance written by Kirt C. Butler and published by John Wiley & Sons. This book was released on 2012-09-19 with total page 704 pages. Available in PDF, EPUB and Kindle. Book excerpt: This title provides an in-depth treatment of the international financial arena. It assumes the viewpoint of the financial manager of a multinational corporation with investment or financial operations in more than one country.
Book Synopsis Asset Price Dynamics, Volatility, and Prediction by : Stephen J. Taylor
Download or read book Asset Price Dynamics, Volatility, and Prediction written by Stephen J. Taylor and published by Princeton University Press. This book was released on 2011-02-11 with total page 544 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book shows how current and recent market prices convey information about the probability distributions that govern future prices. Moving beyond purely theoretical models, Stephen Taylor applies methods supported by empirical research of equity and foreign exchange markets to show how daily and more frequent asset prices, and the prices of option contracts, can be used to construct and assess predictions about future prices, their volatility, and their probability distributions. Stephen Taylor provides a comprehensive introduction to the dynamic behavior of asset prices, relying on finance theory and statistical evidence. He uses stochastic processes to define mathematical models for price dynamics, but with less mathematics than in alternative texts. The key topics covered include random walk tests, trading rules, ARCH models, stochastic volatility models, high-frequency datasets, and the information that option prices imply about volatility and distributions. Asset Price Dynamics, Volatility, and Prediction is ideal for students of economics, finance, and mathematics who are studying financial econometrics, and will enable researchers to identify and apply appropriate models and methods. It will likewise be a valuable resource for quantitative analysts, fund managers, risk managers, and investors who seek realistic expectations about future asset prices and the risks to which they are exposed.
Book Synopsis Handbook of Investors' Behavior during Financial Crises by : Fotini Economou
Download or read book Handbook of Investors' Behavior during Financial Crises written by Fotini Economou and published by Academic Press. This book was released on 2017-06-24 with total page 516 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook of Investors' Behavior during Financial Crises provides fundamental information about investor behavior during turbulent periods, such the 2000 dot com crash and the 2008 global financial crisis. Contributors share the same behavioral finance tools and techniques while analyzing behaviors across a variety of market structures and asset classes. The volume provides novel insights about the influence and effects of regional differences in market design. Its distinctive approach to studies of financial crises is of key importance in our contemporary financial landscape, even more so since the accelerated process of globalization has rendered the outbreak of financial crises internationally more commonplace compared to previous decades. Encompasses empirical, quantitative and regulation-motivated studies Includes information about retail and institutional investor behavior Analyzes optimal financial structures for the development and growth of specific regional economies
Author :Svetlozar Todorov Rachev Publisher :Springer Science & Business Media ISBN 13 :9780817632199 Total Pages :456 pages Book Rating :4.6/5 (321 download)
Book Synopsis Handbook of Computational and Numerical Methods in Finance by : Svetlozar Todorov Rachev
Download or read book Handbook of Computational and Numerical Methods in Finance written by Svetlozar Todorov Rachev and published by Springer Science & Business Media. This book was released on 2004-06-29 with total page 456 pages. Available in PDF, EPUB and Kindle. Book excerpt: The subject of numerical methods in finance has recently emerged as a new discipline at the intersection of probability theory, finance, and numerical analysis. The methods employed bridge the gap between financial theory and computational practice, and provide solutions for complex problems that are difficult to solve by traditional analytical methods. Although numerical methods in finance have been studied intensively in recent years, many theoretical and practical financial aspects have yet to be explored. This volume presents current research and survey articles focusing on various numerical methods in finance. Key topics covered include: methodological issues, i.e., genetic algorithms, neural networks, Monte–Carlo methods, finite difference methods, stochastic portfolio optimization, as well as the application of other computational and numerical methods in finance and risk management. The book is designed for the academic community and will also serve professional investors. Contributors: K. Amir-Atefi; Z. Atakhanova; A. Biglova; O.J. Blaskowitz; D. D’Souza; W.K. Härdle; I. Huber; I. Khindanova; A. Kohatsu-Higa; P. Kokoszka; M. Montero; S. Ortobelli; E. Özturkmen; G. Pagès; A. Parfionovas; H. Pham; J. Printems; S. Rachev; B. Racheva-Jotova; F. Schlottmann; P. Schmidt; D. Seese; S. Stoyanov; C.E. Testuri; S. Trück; S. Uryasev; and Z. Zheng.
Book Synopsis Stock Market Structure, Volatility, and Volume by : Hans R. Stoll
Download or read book Stock Market Structure, Volatility, and Volume written by Hans R. Stoll and published by . This book was released on 1990 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The C.F.A. Digest by : Institute of Chartered Financial Analysts
Download or read book The C.F.A. Digest written by Institute of Chartered Financial Analysts and published by . This book was released on 2006 with total page 900 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Engine, Not a Camera by : Donald MacKenzie
Download or read book An Engine, Not a Camera written by Donald MacKenzie and published by MIT Press. This book was released on 2008-08-29 with total page 782 pages. Available in PDF, EPUB and Kindle. Book excerpt: In An Engine, Not a Camera, Donald MacKenzie argues that the emergence of modern economic theories of finance affected financial markets in fundamental ways. These new, Nobel Prize-winning theories, based on elegant mathematical models of markets, were not simply external analyses but intrinsic parts of economic processes. Paraphrasing Milton Friedman, MacKenzie says that economic models are an engine of inquiry rather than a camera to reproduce empirical facts. More than that, the emergence of an authoritative theory of financial markets altered those markets fundamentally. For example, in 1970, there was almost no trading in financial derivatives such as "futures." By June of 2004, derivatives contracts totaling $273 trillion were outstanding worldwide. MacKenzie suggests that this growth could never have happened without the development of theories that gave derivatives legitimacy and explained their complexities. MacKenzie examines the role played by finance theory in the two most serious crises to hit the world's financial markets in recent years: the stock market crash of 1987 and the market turmoil that engulfed the hedge fund Long-Term Capital Management in 1998. He also looks at finance theory that is somewhat beyond the mainstream—chaos theorist Benoit Mandelbrot's model of "wild" randomness. MacKenzie's pioneering work in the social studies of finance will interest anyone who wants to understand how America's financial markets have grown into their current form.
Book Synopsis Empirical Market Microstructure by : Joel Hasbrouck
Download or read book Empirical Market Microstructure written by Joel Hasbrouck and published by Oxford University Press. This book was released on 2007-01-04 with total page 209 pages. Available in PDF, EPUB and Kindle. Book excerpt: The interactions that occur in securities markets are among the fastest, most information intensive, and most highly strategic of all economic phenomena. This book is about the institutions that have evolved to handle our trading needs, the economic forces that guide our strategies, and statistical methods of using and interpreting the vast amount of information that these markets produce. The book includes numerous exercises.
Book Synopsis Credit Default Swaps by : Marti Subrahmanyam
Download or read book Credit Default Swaps written by Marti Subrahmanyam and published by Now Publishers. This book was released on 2014-12-19 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit Default Swaps: A Survey is the most comprehensive review of all major research domains involving credit default swaps (CDS). CDS have been growing in importance in the global financial markets. However, their role has been hotly debated, in industry and academia, particularly since the credit crisis of 2007-2009. The authors review the extant literature on CDS that has accumulated over the past two decades and divide the survey into seven topics after providing a broad overview in the introduction. The second section traces the historical development of CDS markets and provides an introduction to CDS contract definitions and conventions. The third section discusses the pricing of CDS, from the perspective of no-arbitrage principles, structural, and reduced-form credit risk models. It also summarizes the literature on the determinants of CDS spreads, with a focus on the role of fundamental credit risk factors, liquidity and counterparty risk. The fourth section discusses how the development of the CDS market has affected the characteristics of the bond and equity markets, with an emphasis on market efficiency, price discovery, information flow, and liquidity. Attention is also paid to the CDS-bond basis, the wedge between the pricing of the CDS and its reference bond, and the mispricing between the CDS and the equity market. The fifth section examines the effect of CDS trading on firms' credit and bankruptcy risk, and how it affects corporate financial policy, including bond issuance, capital structure, liquidity management, and corporate governance. The sixth section analyzes how CDS impact the economic incentives of financial intermediaries. The seventh section reviews the growing literature on sovereign CDS and highlights the major differences between the sovereign and corporate CDS markets. The eighth section discusses CDS indices, especially the role of synthetic CDS index products backed by residential mortgage-backed securities during the financial crisis. The authors close with our suggestions for promising future research directions on CDS contracts and markets.
Book Synopsis Culture and Tourism in a Smart, Globalized, and Sustainable World by : Vicky Katsoni
Download or read book Culture and Tourism in a Smart, Globalized, and Sustainable World written by Vicky Katsoni and published by Springer Nature. This book was released on 2021-06-21 with total page 771 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book gathers the proceedings of the 7th International Conference, with the theme “Culture and Tourism in a Smart, Globalized and Sustainable World,” held on Hydra Island, Greece, on June 17–19, 2020, published with the support of the International Association of Cultural and Digital Tourism. Highlighting the contributions made by numerous writers to the advancement of tourism research, this book presents a critical academic discourse on sustainable practices in the smart tourism context, improving readers’ understanding of, and stimulating future debates in, this critical area. In addition to the knowledge economy and the concept of smart destinations, the book addresses new modes of tourism management and development, as well as emerging technologies, including location-based services, the Internet of things, smart cities, mobile services, gamification, digital collections and the virtual visitor, social media, social networking, and augmented reality.
