Trading and Pricing Financial Derivatives

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Publisher : Walter de Gruyter GmbH & Co KG
ISBN 13 : 1547401214
Total Pages : 298 pages
Book Rating : 4.5/5 (474 download)

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Book Synopsis Trading and Pricing Financial Derivatives by : Patrick Boyle

Download or read book Trading and Pricing Financial Derivatives written by Patrick Boyle and published by Walter de Gruyter GmbH & Co KG. This book was released on 2018-12-17 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: Trading and Pricing Financial Derivatives is an introduction to the world of futures, options, and swaps. Investors who are interested in deepening their knowledge of derivatives of all kinds will find this book to be an invaluable resource. The book is also useful in a very applied course on derivative trading. The authors delve into the history of options pricing; simple strategies of options trading; binomial tree valuation; Black-Scholes option valuation; option sensitivities; risk management and interest rate swaps in this immensely informative yet easy to comprehend work. Using their vast working experience in the financial markets at international investment banks and hedge funds since the late 1990s and teaching derivatives and investment courses at the Master's level, Patrick Boyle and Jesse McDougall put forth their knowledge and expertise in clearly explained concepts. This book does not presuppose advanced mathematical knowledge, though it is presented for completeness for those that may benefit from it, and is designed for a general audience, suitable for beginners through to those with intermediate knowledge of the subject.

American Option Pricing

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Author :
Publisher : LAP Lambert Academic Publishing
ISBN 13 : 9783844320299
Total Pages : 96 pages
Book Rating : 4.3/5 (22 download)

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Book Synopsis American Option Pricing by : Adriana Ocejo

Download or read book American Option Pricing written by Adriana Ocejo and published by LAP Lambert Academic Publishing. This book was released on 2011-03 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt: An American option is a financial contract between two agents, who agree to buy or sell an asset at a fixed strike price at any time before a specified expiration date. When is the optimal time to exercise the option in order to maximize revenue? What is the price of such contract? This work aims to answer these questions from a rigorous mathematical perspective while still in a comprehensive way. It develops the Arbitrage-free Pricing Theory, and set the American option price as an optimal stopping problem. There is a self-contained treatment of the existence and characterization of the solution of optimal stopping problems for homogeneous Markov processes. Central to the presentation is to transfer the optimal stopping problem, representing the price of the American option, to a free-boundary formulation by means of the Markovian structure of the stock price process. Then, it is derived the optimal stopping rule by the first passage time of the geometric Brownian motion to a barrier, determined by an integral equation. In other words, the holder will optimally exercise the option at the first time that the stock price process falls below such a barrier.

The Numerical Solution of the American Option Pricing Problem

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Author :
Publisher : World Scientific
ISBN 13 : 9814452629
Total Pages : 223 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis The Numerical Solution of the American Option Pricing Problem by : Carl Chiarella

Download or read book The Numerical Solution of the American Option Pricing Problem written by Carl Chiarella and published by World Scientific. This book was released on 2014-10-14 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt: The early exercise opportunity of an American option makes it challenging to price and an array of approaches have been proposed in the vast literature on this topic. In The Numerical Solution of the American Option Pricing Problem, Carl Chiarella, Boda Kang and Gunter Meyer focus on two numerical approaches that have proved useful for finding all prices, hedge ratios and early exercise boundaries of an American option. One is a finite difference approach which is based on the numerical solution of the partial differential equations with the free boundary problem arising in American option pricing, including the method of lines, the component wise splitting and the finite difference with PSOR. The other approach is the integral transform approach which includes Fourier or Fourier Cosine transforms. Written in a concise and systematic manner, Chiarella, Kang and Meyer explain and demonstrate the advantages and limitations of each of them based on their and their co-workers'' experiences with these approaches over the years. Contents: Introduction; The Merton and Heston Model for a Call; American Call Options under Jump-Diffusion Processes; American Option Prices under Stochastic Volatility and Jump-Diffusion Dynamics OCo The Transform Approach; Representation and Numerical Approximation of American Option Prices under Heston; Fourier Cosine Expansion Approach; A Numerical Approach to Pricing American Call Options under SVJD; Conclusion; Bibliography; Index; About the Authors. Readership: Post-graduates/ Researchers in finance and applied mathematics with interest in numerical methods for American option pricing; mathematicians/physicists doing applied research in option pricing. Key Features: Complete discussion of different numerical methods for American options; Able to handle stochastic volatility and/or jump diffusion dynamics; Able to produce hedge ratios efficiently and accurately"

Pricing of American Options

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Publisher :
ISBN 13 :
Total Pages : 9 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Pricing of American Options by : Ilya I. Gikhman

Download or read book Pricing of American Options written by Ilya I. Gikhman and published by . This book was released on 2017 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we present somewhat alternative point of view on early exercised American options. The standard valuation of the American options the exercise moment is defined as one, which guarantees the maximum value of the option. We discuss the standard approach in the first two sections of the paper. The standard approach was initially presented in the papers [3]-[7]. Our idea is that the exercise moment of the American call/put options is defined by maximum/minimum value of underlying. It was shown that at this moment exercise and sell prices are equal.

Introduction to the Economics and Mathematics of Financial Markets

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Publisher : MIT Press
ISBN 13 : 9780262033206
Total Pages : 528 pages
Book Rating : 4.0/5 (332 download)

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Book Synopsis Introduction to the Economics and Mathematics of Financial Markets by : Jaksa Cvitanic

Download or read book Introduction to the Economics and Mathematics of Financial Markets written by Jaksa Cvitanic and published by MIT Press. This book was released on 2004-02-27 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: An innovative textbook for use in advanced undergraduate and graduate courses; accessible to students in financial mathematics, financial engineering and economics. Introduction to the Economics and Mathematics of Financial Markets fills the longstanding need for an accessible yet serious textbook treatment of financial economics. The book provides a rigorous overview of the subject, while its flexible presentation makes it suitable for use with different levels of undergraduate and graduate students. Each chapter presents mathematical models of financial problems at three different degrees of sophistication: single-period, multi-period, and continuous-time. The single-period and multi-period models require only basic calculus and an introductory probability/statistics course, while an advanced undergraduate course in probability is helpful in understanding the continuous-time models. In this way, the material is given complete coverage at different levels; the less advanced student can stop before the more sophisticated mathematics and still be able to grasp the general principles of financial economics. The book is divided into three parts. The first part provides an introduction to basic securities and financial market organization, the concept of interest rates, the main mathematical models, and quantitative ways to measure risks and rewards. The second part treats option pricing and hedging; here and throughout the book, the authors emphasize the Martingale or probabilistic approach. Finally, the third part examines equilibrium models—a subject often neglected by other texts in financial mathematics, but included here because of the qualitative insight it offers into the behavior of market participants and pricing.

American Option Pricing

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Publisher :
ISBN 13 :
Total Pages : 182 pages
Book Rating : 4.:/5 (464 download)

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Book Synopsis American Option Pricing by : Peter Løchte Jørgensen

Download or read book American Option Pricing written by Peter Løchte Jørgensen and published by . This book was released on 1994 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt:

American Put Options

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Author :
Publisher : CRC Press
ISBN 13 : 9780582315945
Total Pages : 132 pages
Book Rating : 4.3/5 (159 download)

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Book Synopsis American Put Options by : Donna Salopek

Download or read book American Put Options written by Donna Salopek and published by CRC Press. This book was released on 1997-03-15 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: An American put option gives its owner the right to sell a share of stock at a given specified price on or before a given date. This book provides a detailed comparison of recent works on the American put option from both theoretical and computational approaches.

Python for Finance Cookbook

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Publisher : Packt Publishing Ltd
ISBN 13 : 1789617324
Total Pages : 426 pages
Book Rating : 4.7/5 (896 download)

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Book Synopsis Python for Finance Cookbook by : Eryk Lewinson

Download or read book Python for Finance Cookbook written by Eryk Lewinson and published by Packt Publishing Ltd. This book was released on 2020-01-31 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: Solve common and not-so-common financial problems using Python libraries such as NumPy, SciPy, and pandas Key FeaturesUse powerful Python libraries such as pandas, NumPy, and SciPy to analyze your financial dataExplore unique recipes for financial data analysis and processing with PythonEstimate popular financial models such as CAPM and GARCH using a problem-solution approachBook Description Python is one of the most popular programming languages used in the financial industry, with a huge set of accompanying libraries. In this book, you'll cover different ways of downloading financial data and preparing it for modeling. You'll calculate popular indicators used in technical analysis, such as Bollinger Bands, MACD, RSI, and backtest automatic trading strategies. Next, you'll cover time series analysis and models, such as exponential smoothing, ARIMA, and GARCH (including multivariate specifications), before exploring the popular CAPM and the Fama-French three-factor model. You'll then discover how to optimize asset allocation and use Monte Carlo simulations for tasks such as calculating the price of American options and estimating the Value at Risk (VaR). In later chapters, you'll work through an entire data science project in the financial domain. You'll also learn how to solve the credit card fraud and default problems using advanced classifiers such as random forest, XGBoost, LightGBM, and stacked models. You'll then be able to tune the hyperparameters of the models and handle class imbalance. Finally, you'll focus on learning how to use deep learning (PyTorch) for approaching financial tasks. By the end of this book, you’ll have learned how to effectively analyze financial data using a recipe-based approach. What you will learnDownload and preprocess financial data from different sourcesBacktest the performance of automatic trading strategies in a real-world settingEstimate financial econometrics models in Python and interpret their resultsUse Monte Carlo simulations for a variety of tasks such as derivatives valuation and risk assessmentImprove the performance of financial models with the latest Python librariesApply machine learning and deep learning techniques to solve different financial problemsUnderstand the different approaches used to model financial time series dataWho this book is for This book is for financial analysts, data analysts, and Python developers who want to learn how to implement a broad range of tasks in the finance domain. Data scientists looking to devise intelligent financial strategies to perform efficient financial analysis will also find this book useful. Working knowledge of the Python programming language is mandatory to grasp the concepts covered in the book effectively.

A Monte Carlo Method for Pricing American Options

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Author :
Publisher :
ISBN 13 :
Total Pages : 132 pages
Book Rating : 4.:/5 (34 download)

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Book Synopsis A Monte Carlo Method for Pricing American Options by : Diego Garcia

Download or read book A Monte Carlo Method for Pricing American Options written by Diego Garcia and published by . This book was released on 1999 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Market-Consistent Prices

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Author :
Publisher : Springer Nature
ISBN 13 : 3030397246
Total Pages : 448 pages
Book Rating : 4.0/5 (33 download)

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Book Synopsis Market-Consistent Prices by : Pablo Koch-Medina

Download or read book Market-Consistent Prices written by Pablo Koch-Medina and published by Springer Nature. This book was released on 2020-07-16 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt: Arbitrage Theory provides the foundation for the pricing of financial derivatives and has become indispensable in both financial theory and financial practice. This textbook offers a rigorous and comprehensive introduction to the mathematics of arbitrage pricing in a discrete-time, finite-state economy in which a finite number of securities are traded. In a first step, various versions of the Fundamental Theorem of Asset Pricing, i.e., characterizations of when a market does not admit arbitrage opportunities, are proved. The book then focuses on incomplete markets where the main concern is to obtain a precise description of the set of “market-consistent” prices for nontraded financial contracts, i.e. the set of prices at which such contracts could be transacted between rational agents. Both European-type and American-type contracts are considered. A distinguishing feature of this book is its emphasis on market-consistent prices and a systematic description of pricing rules, also at intermediate dates. The benefits of this approach are most evident in the treatment of American options, which is novel in terms of both the presentation and the scope, while also presenting new results. The focus on discrete-time, finite-state models makes it possible to cover all relevant topics while requiring only a moderate mathematical background on the part of the reader. The book will appeal to mathematical finance and financial economics students seeking an elementary but rigorous introduction to the subject; mathematics and physics students looking for an opportunity to get acquainted with a modern applied topic; and mathematicians, physicists and quantitatively inclined economists working or planning to work in the financial industry.

A Game Theory Analysis of Options

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Publisher : Springer Science & Business Media
ISBN 13 : 9783540206682
Total Pages : 200 pages
Book Rating : 4.2/5 (66 download)

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Book Synopsis A Game Theory Analysis of Options by : Alexandre C. Ziegler

Download or read book A Game Theory Analysis of Options written by Alexandre C. Ziegler and published by Springer Science & Business Media. This book was released on 2004-03-15 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern option pricing theory was developed in the late sixties and early seventies by F. Black, R. e. Merton and M. Scholes as an analytical tool for pricing and hedging option contracts and over-the-counter warrants. How ever, already in the seminal paper by Black and Scholes, the applicability of the model was regarded as much broader. In the second part of their paper, the authors demonstrated that a levered firm's equity can be regarded as an option on the value of the firm, and thus can be priced by option valuation techniques. A year later, Merton showed how the default risk structure of cor porate bonds can be determined by option pricing techniques. Option pricing models are now used to price virtually the full range of financial instruments and financial guarantees such as deposit insurance and collateral, and to quantify the associated risks. Over the years, option pricing has evolved from a set of specific models to a general analytical framework for analyzing the production process of financial contracts and their function in the financial intermediation process in a continuous time framework. However, very few attempts have been made in the literature to integrate game theory aspects, i. e. strategic financial decisions of the agents, into the continuous time framework. This is the unique contribution of the thesis of Dr. Alexandre Ziegler. Benefiting from the analytical tractability of contin uous time models and the closed form valuation models for derivatives, Dr.

Monte Carlo and Quasi-Monte Carlo Methods 2002

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Publisher : Springer
ISBN 13 : 9783642187445
Total Pages : 460 pages
Book Rating : 4.1/5 (874 download)

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Book Synopsis Monte Carlo and Quasi-Monte Carlo Methods 2002 by : Harald Niederreiter

Download or read book Monte Carlo and Quasi-Monte Carlo Methods 2002 written by Harald Niederreiter and published by Springer. This book was released on with total page 460 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Dynamic Hedging

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Publisher : John Wiley & Sons
ISBN 13 : 9780471152804
Total Pages : 536 pages
Book Rating : 4.1/5 (528 download)

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Book Synopsis Dynamic Hedging by : Nassim Nicholas Taleb

Download or read book Dynamic Hedging written by Nassim Nicholas Taleb and published by John Wiley & Sons. This book was released on 1997-01-14 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt: Destined to become a market classic, Dynamic Hedging is the only practical reference in exotic options hedgingand arbitrage for professional traders and money managers Watch the professionals. From central banks to brokerages to multinationals, institutional investors are flocking to a new generation of exotic and complex options contracts and derivatives. But the promise of ever larger profits also creates the potential for catastrophic trading losses. Now more than ever, the key to trading derivatives lies in implementing preventive risk management techniques that plan for and avoid these appalling downturns. Unlike other books that offer risk management for corporate treasurers, Dynamic Hedging targets the real-world needs of professional traders and money managers. Written by a leading options trader and derivatives risk advisor to global banks and exchanges, this book provides a practical, real-world methodology for monitoring and managing all the risks associated with portfolio management. Nassim Nicholas Taleb is the founder of Empirica Capital LLC, a hedge fund operator, and a fellow at the Courant Institute of Mathematical Sciences of New York University. He has held a variety of senior derivative trading positions in New York and London and worked as an independent floor trader in Chicago. Dr. Taleb was inducted in February 2001 in the Derivatives Strategy Hall of Fame. He received an MBA from the Wharton School and a Ph.D. from University Paris-Dauphine.

Option Pricing

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Author :
Publisher : McGraw-Hill/Irwin
ISBN 13 :
Total Pages : 268 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis Option Pricing by : Robert A. Jarrow

Download or read book Option Pricing written by Robert A. Jarrow and published by McGraw-Hill/Irwin. This book was released on 1983 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Pricing American-style Securities Using Simulation

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Author :
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 ( download)

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Book Synopsis Pricing American-style Securities Using Simulation by : Mark Nathan Broadie

Download or read book Pricing American-style Securities Using Simulation written by Mark Nathan Broadie and published by . This book was released on 1996 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Pricing American Options

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Author :
Publisher : Forgotten Books
ISBN 13 : 9781334538827
Total Pages : 84 pages
Book Rating : 4.5/5 (388 download)

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Book Synopsis Pricing American Options by : Leonid Kogan

Download or read book Pricing American Options written by Leonid Kogan and published by Forgotten Books. This book was released on 2016-12-06 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: Excerpt from Pricing American Options: A Duality Approach The main practical contribution of this paper is a general algorithm for constructing upper and lower bounds on the true price of the option using any approximation to the option price. We show that our bounds are tight, so that if the initial approximation is close to the true price of the option, the bounds are also guaranteed to be close. In addition, we explicitly characterize the worst-case performance of the pricing bounds. The computation of the lower bound is straightforward and relies on simulating the suboptimal exercise strategy implied by the approximate option price. The upper bound is obtained by simulating a different stochastic process that is determined by choosing an appropriate supermartingale. We justify this procedure by representing the American option price as a solution of a dual minimization problem, which is the main theoretical result of this paper. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.

Techniques and Approaches for Pricing American Options

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Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (122 download)

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Book Synopsis Techniques and Approaches for Pricing American Options by : Dominykas Norgilas

Download or read book Techniques and Approaches for Pricing American Options written by Dominykas Norgilas and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: