Recovering Probabilistic Information From Options Prices And The Underlying

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Volatility Trading, + website

Author : Euan Sinclair
Publisher : John Wiley & Sons
ISBN 13 : 0470181990
Total Pages : 228 pages
Book Rating : 4.4/5 (71 download)

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Book Synopsis Volatility Trading, + website by : Euan Sinclair

Download or read book Volatility Trading, + website written by Euan Sinclair and published by John Wiley & Sons. This book was released on 2008-06-23 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Volatility Trading, Sinclair offers you a quantitative model for measuring volatility in order to gain an edge in your everyday option trading endeavors. With an accessible, straightforward approach. He guides traders through the basics of option pricing, volatility measurement, hedging, money management, and trade evaluation. In addition, Sinclair explains the often-overlooked psychological aspects of trading, revealing both how behavioral psychology can create market conditions traders can take advantage of-and how it can lead them astray. Psychological biases, he asserts, are probably the drivers behind most sources of edge available to a volatility trader. Your goal, Sinclair explains, must be clearly defined and easily expressed-if you cannot explain it in one sentence, you probably aren't completely clear about what it is. The same applies to your statistical edge. If you do not know exactly what your edge is, you shouldn't trade. He shows how, in addition to the numerical evaluation of a potential trade, you should be able to identify and evaluate the reason why implied volatility is priced where it is, that is, why an edge exists. This means it is also necessary to be on top of recent news stories, sector trends, and behavioral psychology. Finally, Sinclair underscores why trades need to be sized correctly, which means that each trade is evaluated according to its projected return and risk in the overall context of your goals. As the author concludes, while we also need to pay attention to seemingly mundane things like having good execution software, a comfortable office, and getting enough sleep, it is knowledge that is the ultimate source of edge. So, all else being equal, the trader with the greater knowledge will be the more successful. This book, and its companion CD-ROM, will provide that knowledge. The CD-ROM includes spreadsheets designed to help you forecast volatility and evaluate trades together with simulation engines.

Complex Systems in Finance and Econometrics

Author : Robert A. Meyers
Publisher : Springer Science & Business Media
ISBN 13 : 1441977007
Total Pages : 919 pages
Book Rating : 4.4/5 (419 download)

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Book Synopsis Complex Systems in Finance and Econometrics by : Robert A. Meyers

Download or read book Complex Systems in Finance and Econometrics written by Robert A. Meyers and published by Springer Science & Business Media. This book was released on 2010-11-03 with total page 919 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.

Office for Futures and Options Research Paper

Author :
Publisher :
ISBN 13 :
Total Pages : 322 pages
Book Rating : 4.:/5 (31 download)

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Book Synopsis Office for Futures and Options Research Paper by :

Download or read book Office for Futures and Options Research Paper written by and published by . This book was released on 1993 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Option-Implied Risk-Neutral Distributions and Risk Aversion

Author : Jens Carsten Jackwerth
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (95 download)

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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:

Option Theory with Stochastic Analysis

Author : Fred Espen Benth
Publisher : Springer Science & Business Media
ISBN 13 : 3642187862
Total Pages : 172 pages
Book Rating : 4.6/5 (421 download)

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Book Synopsis Option Theory with Stochastic Analysis by : Fred Espen Benth

Download or read book Option Theory with Stochastic Analysis written by Fred Espen Benth and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 172 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a very basic and accessible introduction to option pricing, invoking a minimum of stochastic analysis and requiring only basic mathematical skills. It covers the theory essential to the statistical modeling of stocks, pricing of derivatives with martingale theory, and computational finance including both finite-difference and Monte Carlo methods.

Dynamic Hedging

Author : Nassim Nicholas Taleb
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.

The Derivatives Sourcebook

Author : Terence Lim
Publisher : Now Publishers Inc
ISBN 13 : 1933019212
Total Pages : 225 pages
Book Rating : 4.9/5 (33 download)

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Book Synopsis The Derivatives Sourcebook by : Terence Lim

Download or read book The Derivatives Sourcebook written by Terence Lim and published by Now Publishers Inc. This book was released on 2006 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Derivatives Sourcebook is a citation study and classification system that organizes the many strands of the derivatives literature and assigns each citation to a category. Over 1800 research articles are collected and organized into a simple web-based searchable database. We have also included the 1997 Nobel lectures of Robert Merton and Myron Scholes as a backdrop to this literature.

Options Markets

Author : John C. Cox
Publisher : Prentice Hall
ISBN 13 :
Total Pages : 518 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis Options Markets by : John C. Cox

Download or read book Options Markets written by John C. Cox and published by Prentice Hall. This book was released on 1985 with total page 518 pages. Available in PDF, EPUB and Kindle. Book excerpt: Includes the first published detailed description of option exchange operations, the first published treatment using only elementary mathematics and the first step-by-step procedure for implementing the Black-Scholes formula in actual trading.

Probability and Statistics for Finance

Author : Svetlozar T. Rachev
Publisher : John Wiley & Sons
ISBN 13 : 0470906324
Total Pages : 676 pages
Book Rating : 4.4/5 (79 download)

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Book Synopsis Probability and Statistics for Finance by : Svetlozar T. Rachev

Download or read book Probability and Statistics for Finance written by Svetlozar T. Rachev and published by John Wiley & Sons. This book was released on 2010-07-30 with total page 676 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive look at how probability and statistics is applied to the investment process Finance has become increasingly more quantitative, drawing on techniques in probability and statistics that many finance practitioners have not had exposure to before. In order to keep up, you need a firm understanding of this discipline. Probability and Statistics for Finance addresses this issue by showing you how to apply quantitative methods to portfolios, and in all matter of your practices, in a clear, concise manner. Informative and accessible, this guide starts off with the basics and builds to an intermediate level of mastery. • Outlines an array of topics in probability and statistics and how to apply them in the world of finance • Includes detailed discussions of descriptive statistics, basic probability theory, inductive statistics, and multivariate analysis • Offers real-world illustrations of the issues addressed throughout the text The authors cover a wide range of topics in this book, which can be used by all finance professionals as well as students aspiring to enter the field of finance.

The Legacy of Fischer Black

Author : Bruce N. Lehmann
Publisher : Oxford University Press
ISBN 13 : 0195168364
Total Pages : 319 pages
Book Rating : 4.1/5 (951 download)

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Book Synopsis The Legacy of Fischer Black by : Bruce N. Lehmann

Download or read book The Legacy of Fischer Black written by Bruce N. Lehmann and published by Oxford University Press. This book was released on 2005 with total page 319 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fischer Black was a remarkable social scientist, one whose contributions range from the lofty perch of highbrow theory to the trenches of practical application. The papers represented in this work span the same range, the contributions of a remarkable array of financial economists who embody in different ways Fischer's ideal of insight from economic theory that both guides and is rooted in the kind of detailed observation of relevant aspects of actual financial markets. It is hoped that readers find this volume to be both a fitting tribute and a stimulus to further research. After all, the advancement of economic science remained a constant goal throughout Fischer's remarkable career in the many and disparate venues in which he plies his trade.

Measure, Integral and Probability

Author : Marek Capinski
Publisher : Springer Science & Business Media
ISBN 13 : 1447136314
Total Pages : 229 pages
Book Rating : 4.4/5 (471 download)

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Book Synopsis Measure, Integral and Probability by : Marek Capinski

Download or read book Measure, Integral and Probability written by Marek Capinski and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 229 pages. Available in PDF, EPUB and Kindle. Book excerpt: This very well written and accessible book emphasizes the reasons for studying measure theory, which is the foundation of much of probability. By focusing on measure, many illustrative examples and applications, including a thorough discussion of standard probability distributions and densities, are opened. The book also includes many problems and their fully worked solutions.

Financial Derivatives in Theory and Practice

Author : Philip Hunt
Publisher : John Wiley & Sons
ISBN 13 : 0470863609
Total Pages : 468 pages
Book Rating : 4.4/5 (78 download)

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Book Synopsis Financial Derivatives in Theory and Practice by : Philip Hunt

Download or read book Financial Derivatives in Theory and Practice written by Philip Hunt and published by John Wiley & Sons. This book was released on 2004-11-19 with total page 468 pages. Available in PDF, EPUB and Kindle. Book excerpt: The term Financial Derivative is a very broad term which has come to mean any financial transaction whose value depends on the underlying value of the asset concerned. Sophisticated statistical modelling of derivatives enables practitioners in the banking industry to reduce financial risk and ultimately increase profits made from these transactions. The book originally published in March 2000 to widespread acclaim. This revised edition has been updated with minor corrections and new references, and now includes a chapter of exercises and solutions, enabling use as a course text. Comprehensive introduction to the theory and practice of financial derivatives. Discusses and elaborates on the theory of interest rate derivatives, an area of increasing interest. Divided into two self-contained parts ? the first concentrating on the theory of stochastic calculus, and the second describes in detail the pricing of a number of different derivatives in practice. Written by well respected academics with experience in the banking industry. A valuable text for practitioners in research departments of all banking and finance sectors. Academic researchers and graduate students working in mathematical finance.

Probabilistic Robotics

Author : Sebastian Thrun
Publisher : MIT Press
ISBN 13 : 0262201623
Total Pages : 668 pages
Book Rating : 4.2/5 (622 download)

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Book Synopsis Probabilistic Robotics by : Sebastian Thrun

Download or read book Probabilistic Robotics written by Sebastian Thrun and published by MIT Press. This book was released on 2005-08-19 with total page 668 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the techniques and algorithms of the newest field in robotics. Probabilistic robotics is a new and growing area in robotics, concerned with perception and control in the face of uncertainty. Building on the field of mathematical statistics, probabilistic robotics endows robots with a new level of robustness in real-world situations. This book introduces the reader to a wealth of techniques and algorithms in the field. All algorithms are based on a single overarching mathematical foundation. Each chapter provides example implementations in pseudo code, detailed mathematical derivations, discussions from a practitioner's perspective, and extensive lists of exercises and class projects. The book's Web site, www.probabilistic-robotics.org, has additional material. The book is relevant for anyone involved in robotic software development and scientific research. It will also be of interest to applied statisticians and engineers dealing with real-world sensor data.

Introduction to Probability

Author : Joseph K. Blitzstein
Publisher : CRC Press
ISBN 13 : 1466575573
Total Pages : 599 pages
Book Rating : 4.4/5 (665 download)

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Book Synopsis Introduction to Probability by : Joseph K. Blitzstein

Download or read book Introduction to Probability written by Joseph K. Blitzstein and published by CRC Press. This book was released on 2014-07-24 with total page 599 pages. Available in PDF, EPUB and Kindle. Book excerpt: Developed from celebrated Harvard statistics lectures, Introduction to Probability provides essential language and tools for understanding statistics, randomness, and uncertainty. The book explores a wide variety of applications and examples, ranging from coincidences and paradoxes to Google PageRank and Markov chain Monte Carlo (MCMC). Additional application areas explored include genetics, medicine, computer science, and information theory. The print book version includes a code that provides free access to an eBook version. The authors present the material in an accessible style and motivate concepts using real-world examples. Throughout, they use stories to uncover connections between the fundamental distributions in statistics and conditioning to reduce complicated problems to manageable pieces. The book includes many intuitive explanations, diagrams, and practice problems. Each chapter ends with a section showing how to perform relevant simulations and calculations in R, a free statistical software environment.

Asset Price Dynamics, Volatility, and Prediction

Author : Stephen J. Taylor
Publisher : Princeton University Press
ISBN 13 : 1400839254
Total Pages : 544 pages
Book Rating : 4.4/5 (8 download)

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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.

A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices

Author : Mr.Kevin C. Cheng
Publisher : International Monetary Fund
ISBN 13 : 1455202150
Total Pages : 33 pages
Book Rating : 4.4/5 (552 download)

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Book Synopsis A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices by : Mr.Kevin C. Cheng

Download or read book A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices written by Mr.Kevin C. Cheng and published by International Monetary Fund. This book was released on 2010-08-01 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: Building on the widely-used double-lognormal approach by Bahra (1997), this paper presents a multi-lognormal approach with restrictions to extract risk-neutral probability density functions (RNPs) for various asset classes. The contributions are twofold: first, on the technical side, the paper proposes useful transformation/restrictions to Bahra’s original formulation for achieving economically sensible outcomes. In addition, the paper compares the statistical properties of the estimated RNPs among major asset classes, including commodities, the S&P 500, the dollar/euro exchange rate, and the US 10-year Treasury Note. Finally, a Monte Carlo study suggests that the multi-lognormal approach outperforms the double-lognormal approach.

Introduction to Information Retrieval

Author : Christopher D. Manning
Publisher : Cambridge University Press
ISBN 13 : 1139472100
Total Pages : pages
Book Rating : 4.1/5 (394 download)

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Book Synopsis Introduction to Information Retrieval by : Christopher D. Manning

Download or read book Introduction to Information Retrieval written by Christopher D. Manning and published by Cambridge University Press. This book was released on 2008-07-07 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Class-tested and coherent, this textbook teaches classical and web information retrieval, including web search and the related areas of text classification and text clustering from basic concepts. It gives an up-to-date treatment of all aspects of the design and implementation of systems for gathering, indexing, and searching documents; methods for evaluating systems; and an introduction to the use of machine learning methods on text collections. All the important ideas are explained using examples and figures, making it perfect for introductory courses in information retrieval for advanced undergraduates and graduate students in computer science. Based on feedback from extensive classroom experience, the book has been carefully structured in order to make teaching more natural and effective. Slides and additional exercises (with solutions for lecturers) are also available through the book's supporting website to help course instructors prepare their lectures.