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Techniques And Approaches For Pricing American Options
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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 273 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.
Book Synopsis PDE and Martingale Methods in Option Pricing by : Andrea Pascucci
Download or read book PDE and Martingale Methods in Option Pricing written by Andrea Pascucci and published by Springer Science & Business Media. This book was released on 2011-04-15 with total page 727 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers an introduction to the mathematical, probabilistic and numerical methods used in the modern theory of option pricing. The text is designed for readers with a basic mathematical background. The first part contains a presentation of the arbitrage theory in discrete time. In the second part, the theories of stochastic calculus and parabolic PDEs are developed in detail and the classical arbitrage theory is analyzed in a Markovian setting by means of of PDEs techniques. After the martingale representation theorems and the Girsanov theory have been presented, arbitrage pricing is revisited in the martingale theory optics. General tools from PDE and martingale theories are also used in the analysis of volatility modeling. The book also contains an Introduction to Lévy processes and Malliavin calculus. The last part is devoted to the description of the numerical methods used in option pricing: Monte Carlo, binomial trees, finite differences and Fourier transform.
Book Synopsis Monte Carlo Methods in Financial Engineering by : Paul Glasserman
Download or read book Monte Carlo Methods in Financial Engineering written by Paul Glasserman and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 603 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency Analysis
Download or read book Getting to Yes written by Roger Fisher and published by Houghton Mifflin Harcourt. This book was released on 1991 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: Describes a method of negotiation that isolates problems, focuses on interests, creates new options, and uses objective criteria to help two parties reach an agreement.
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.
Book Synopsis Novel Methods in Computational Finance by : Matthias Ehrhardt
Download or read book Novel Methods in Computational Finance written by Matthias Ehrhardt and published by Springer. This book was released on 2017-09-19 with total page 599 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the state-of-the-art and open problems in computational finance. It presents a collection of research outcomes and reviews of the work from the STRIKE project, an FP7 Marie Curie Initial Training Network (ITN) project in which academic partners trained early-stage researchers in close cooperation with a broader range of associated partners, including from the private sector. The aim of the project was to arrive at a deeper understanding of complex (mostly nonlinear) financial models and to develop effective and robust numerical schemes for solving linear and nonlinear problems arising from the mathematical theory of pricing financial derivatives and related financial products. This was accomplished by means of financial modelling, mathematical analysis and numerical simulations, optimal control techniques and validation of models. In recent years the computational complexity of mathematical models employed in financial mathematics has witnessed tremendous growth. Advanced numerical techniques are now essential to the majority of present-day applications in the financial industry. Special attention is devoted to a uniform methodology for both testing the latest achievements and simultaneously educating young PhD students. Most of the mathematical codes are linked into a novel computational finance toolbox, which is provided in MATLAB and PYTHON with an open access license. The book offers a valuable guide for researchers in computational finance and related areas, e.g. energy markets, with an interest in industrial mathematics.
Book Synopsis Computational Methods for Option Pricing by : Yves Achdou
Download or read book Computational Methods for Option Pricing written by Yves Achdou and published by SIAM. This book was released on 2005-01-01 with total page 315 pages. Available in PDF, EPUB and Kindle. Book excerpt: The authors review some important aspects of finance modeling involving partial differential equations and focus on numerical algorithms for the fast and accurate pricing of financial derivatives and for the calibration of parameters. This book explores the best numerical algorithms and discusses them in depth, from their mathematical analysis up to their implementation in C++ with efficient numerical libraries.
Book Synopsis Handbook of Computational Finance by : Jin-Chuan Duan
Download or read book Handbook of Computational Finance written by Jin-Chuan Duan and published by Springer Science & Business Media. This book was released on 2011-10-25 with total page 791 pages. Available in PDF, EPUB and Kindle. Book excerpt: Any financial asset that is openly traded has a market price. Except for extreme market conditions, market price may be more or less than a “fair” value. Fair value is likely to be some complicated function of the current intrinsic value of tangible or intangible assets underlying the claim and our assessment of the characteristics of the underlying assets with respect to the expected rate of growth, future dividends, volatility, and other relevant market factors. Some of these factors that affect the price can be measured at the time of a transaction with reasonably high accuracy. Most factors, however, relate to expectations about the future and to subjective issues, such as current management, corporate policies and market environment, that could affect the future financial performance of the underlying assets. Models are thus needed to describe the stochastic factors and environment, and their implementations inevitably require computational finance tools.
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.
Book Synopsis Mathematical Modeling and Methods of Option Pricing by : Lishang Jiang
Download or read book Mathematical Modeling and Methods of Option Pricing written by Lishang Jiang and published by World Scientific. This book was released on 2005 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the perspective of partial differential equations (PDE), this book introduces the Black-Scholes-Merton's option pricing theory. A unified approach is used to model various types of option pricing as PDE problems, to derive pricing formulas as their solutions, and to design efficient algorithms from the numerical calculation of PDEs.
Book Synopsis Numerical Methods for Conservation Laws by : LEVEQUE
Download or read book Numerical Methods for Conservation Laws written by LEVEQUE and published by Birkhäuser. This book was released on 2013-11-11 with total page 221 pages. Available in PDF, EPUB and Kindle. Book excerpt: These notes developed from a course on the numerical solution of conservation laws first taught at the University of Washington in the fall of 1988 and then at ETH during the following spring. The overall emphasis is on studying the mathematical tools that are essential in de veloping, analyzing, and successfully using numerical methods for nonlinear systems of conservation laws, particularly for problems involving shock waves. A reasonable un derstanding of the mathematical structure of these equations and their solutions is first required, and Part I of these notes deals with this theory. Part II deals more directly with numerical methods, again with the emphasis on general tools that are of broad use. I have stressed the underlying ideas used in various classes of methods rather than present ing the most sophisticated methods in great detail. My aim was to provide a sufficient background that students could then approach the current research literature with the necessary tools and understanding. vVithout the wonders of TeX and LaTeX, these notes would never have been put together. The professional-looking results perhaps obscure the fact that these are indeed lecture notes. Some sections have been reworked several times by now, but others are still preliminary. I can only hope that the errors are not too blatant. Moreover, the breadth and depth of coverage was limited by the length of these courses, and some parts are rather sketchy.
Book Synopsis Computational Methods in Finance by : Ali Hirsa
Download or read book Computational Methods in Finance written by Ali Hirsa and published by CRC Press. This book was released on 2024-08-30 with total page 644 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computational Methods in Finance is a book developed from the author’s courses at Columbia University and the Courant Institute of New York University. This self-contained text is designed for graduate students in financial engineering and mathematical finance, as well as practitioners in the financial industry. It will help readers accurately price a vast array of derivatives. This new edition has been thoroughly revised throughout to bring it up to date with recent developments. It features numerous new exercises and examples, as well as two entirely new chapters on machine learning. Features Explains how to solve complex functional equations through numerical methods Includes dozens of challenging exercises Suitable as a graduate-level textbook for financial engineering and financial mathematics or as a professional resource for working quants.
Book Synopsis Options, Futures, and Other Derivatives by : John Hull
Download or read book Options, Futures, and Other Derivatives written by John Hull and published by . This book was released on 2006 with total page 789 pages. Available in PDF, EPUB and Kindle. Book excerpt: For advanced undergraduate or graduate business, economics, and financial engineering courses in derivatives, options and futures, financial engineering or risk management. Designed to bridge the gap between theory and practice, this successful book is regarded as "the bible" in trading rooms throughout the world. Hull offers a clear presentation with various numerical examples, as well as good practical knowledge of how derivatives are priced and traded.
Book Synopsis Numerical Methods in Finance by : René Carmona
Download or read book Numerical Methods in Finance written by René Carmona and published by Springer Science & Business Media. This book was released on 2012-03-23 with total page 478 pages. Available in PDF, EPUB and Kindle. Book excerpt: Numerical methods in finance have emerged as a vital field at the crossroads of probability theory, finance and numerical analysis. Based on presentations given at the workshop Numerical Methods in Finance held at the INRIA Bordeaux (France) on June 1-2, 2010, this book provides an overview of the major new advances in the numerical treatment of instruments with American exercises. Naturally it covers the most recent research on the mathematical theory and the practical applications of optimal stopping problems as they relate to financial applications. By extension, it also provides an original treatment of Monte Carlo methods for the recursive computation of conditional expectations and solutions of BSDEs and generalized multiple optimal stopping problems and their applications to the valuation of energy derivatives and assets. The articles were carefully written in a pedagogical style and a reasonably self-contained manner. The book is geared toward quantitative analysts, probabilists, and applied mathematicians interested in financial applications.
Book Synopsis Handbook of Research Methods and Applications in Empirical Finance by : Adrian R. Bell
Download or read book Handbook of Research Methods and Applications in Empirical Finance written by Adrian R. Bell and published by Edward Elgar Publishing. This book was released on 2013-01-01 with total page 494 pages. Available in PDF, EPUB and Kindle. Book excerpt: This impressive Handbook presents the quantitative techniques that are commonly employed in empirical finance research together with real-world, state-of-the-art research examples. Written by international experts in their field, the unique approach describes a question or issue in finance and then demonstrates the methodologies that may be used to solve it. All of the techniques described are used to address real problems rather than being presented for their own sake, and the areas of application have been carefully selected so that a broad range of methodological approaches can be covered. The Handbook is aimed primarily at doctoral researchers and academics who are engaged in conducting original empirical research in finance. In addition, the book will be useful to researchers in the financial markets and also advanced Masters-level students who are writing dissertations.
Book Synopsis Implementing Models in Quantitative Finance: Methods and Cases by : Gianluca Fusai
Download or read book Implementing Models in Quantitative Finance: Methods and Cases written by Gianluca Fusai and published by Springer Science & Business Media. This book was released on 2007-12-20 with total page 606 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book puts numerical methods in action for the purpose of solving practical problems in quantitative finance. The first part develops a toolkit in numerical methods for finance. The second part proposes twenty self-contained cases covering model simulation, asset pricing and hedging, risk management, statistical estimation and model calibration. Each case develops a detailed solution to a concrete problem arising in applied financial management and guides the user towards a computer implementation. The appendices contain "crash courses" in VBA and Matlab programming languages.
Book Synopsis Martingale Methods in Financial Modelling by : Marek Musiela
Download or read book Martingale Methods in Financial Modelling written by Marek Musiela and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 521 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive and self-contained treatment of the theory and practice of option pricing. The role of martingale methods in financial modeling is exposed. The emphasis is on using arbitrage-free models already accepted by the market as well as on building the new ones. Standard calls and puts together with numerous examples of exotic options such as barriers and quantos, for example on stocks, indices, currencies and interest rates are analysed. The importance of choosing a convenient numeraire in price calculations is explained. Mathematical and financial language is used so as to bring mathematicians closer to practical problems of finance and presenting to the industry useful maths tools.
