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Publisher : Springer Science & Business Media
ISBN 13 : 3540343857
Total Pages : 1128 pages
Book Rating : 4.5/5 (43 download)
Download or read book Computational Science - ICCS 2006 written by and published by Springer Science & Business Media. This book was released on 2006 with total page 1128 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Andreas Kyprianou
Publisher : John Wiley & Sons
ISBN 13 : 0470017201
Total Pages : 344 pages
Book Rating : 4.4/5 (7 download)
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
Author : Hagen Kleinert
Publisher : World Scientific
ISBN 13 : 9789812381071
Total Pages : 1512 pages
Book Rating : 4.3/5 (81 download)
Download or read book Path Integrals in Quantum Mechanics, Statistics, Polymer Physics, and Financial Markets written by Hagen Kleinert and published by World Scientific. This book was released on 2004 with total page 1512 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the third, significantly expanded edition of the comprehensive textbook published in 1990 on the theory and applications of path integrals. It is the first book to explicitly solve path integrals of a wide variety of nontrivial quantum-mechanical systems, in particular the hydrogen atom. The solutions have become possible by two major advances. The first is a new euclidean path integral formula which increases the restricted range of applicability of Feynman's famous formula to include singular attractive 1/r and 1/r2 potentials. The second is a simple quantum equivalence principle governing the transformation of euclidean path integrals to spaces with curvature and torsion, which leads to time-sliced path integrals that are manifestly invariant under coordinate transformations. In addition to the time-sliced definition, the author gives a perturbative definition of path integrals which makes them invariant under coordinate transformations. A consistent implementation of this property leads to an extension of the theory of generalized functions by defining uniquely integrals over products of distributions. The powerful Feynman -- Kleinert variational approach is explained and developed systematically into a variational perturbation theory which, in contrast to ordinary perturbation theory, produces convergent expansions. The convergence is uniform from weak to strong couplings, opening a way to precise approximate evaluations of analytically unsolvable path integrals. Tunneling processes are treated in detail. The results are used to determine the lifetime of supercurrents, the stability of metastable thermodynamic phases, and the large-order behavior of perturbationexpansions. A new variational treatment extends the range of validity of previous tunneling theories from large to small barriers. A corresponding extension of large-order perturbation theory also applies now to small orders. Special attention is devoted to path integrals with topological restrictions. These are relevant to the understanding of the statistical properties of elementary particles and the entanglement phenomena in polymer physics and biophysics. The Chem-Simons theory of particles with fractional statistics (anyohs) is introduced and applied to explain the fractional quantum Hall effect. The relevance of path integrals to financial markets is discussed, and improvements of the famous Black -- Scholes formula for option prices are given which account for the fact that large market fluctuations occur much more frequently than in the commonly used Gaussian distributions.
Author : Emiliano Ippoliti
Publisher : Springer
ISBN 13 : 331949872X
Total Pages : 199 pages
Book Rating : 4.3/5 (194 download)
Download or read book Methods and Finance written by Emiliano Ippoliti and published by Springer. This book was released on 2016-12-23 with total page 199 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book offers an interdisciplinary perspective on finance, with a special focus on stock markets. It presents new methodologies for analyzing stock markets’ behavior and discusses theories and methods of finance from different angles, such as the mathematical, physical and philosophical ones. The book, which aims at philosophers and economists alike, represents a rare yet important attempt to unify the externalist with the internalist conceptions of finance.
Author : Umberto Cherubini
Publisher : John Wiley & Sons
ISBN 13 : 0470684925
Total Pages : 326 pages
Book Rating : 4.4/5 (76 download)
Download or read book Fourier Transform Methods in Finance written by Umberto Cherubini and published by John Wiley & Sons. This book was released on 2010-01-05 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years, Fourier transform methods have emerged as one of the major methodologies for the evaluation of derivative contracts, largely due to the need to strike a balance between the extension of existing pricing models beyond the traditional Black-Scholes setting and a need to evaluate prices consistently with the market quotes. Fourier Transform Methods in Finance is a practical and accessible guide to pricing financial instruments using Fourier transform. Written by an experienced team of practitioners and academics, it covers Fourier pricing methods; the dynamics of asset prices; non stationary market dynamics; arbitrage free pricing; generalized functions and the Fourier transform method. Readers will learn how to: compute the Hilbert transform of the pricing kernel under a Fast Fourier Transform (FFT) technique characterise the price dynamics on a market in terms of the characteristic function, allowing for both diffusive processes and jumps apply the concept of characteristic function to non-stationary processes, in particular in the presence of stochastic volatility and more generally time change techniques perform a change of measure on the characteristic function in order to make the price process a martingale recover a general representation of the pricing kernel of the economy in terms of Hilbert transform using the theory of generalised functions apply the pricing formula to the most famous pricing models, with stochastic volatility and jumps. Junior and senior practitioners alike will benefit from this quick reference guide to state of the art models and market calibration techniques. Not only will it enable them to write an algorithm for option pricing using the most advanced models, calibrate a pricing model on options data, and extract the implied probability distribution in market data, they will also understand the most advanced models and techniques and discover how these techniques have been adjusted for applications in finance. ISBN 978-0-470-99400-9
Author : Jin-Chuan Duan
Publisher : Springer Science & Business Media
ISBN 13 : 3642172547
Total Pages : 791 pages
Book Rating : 4.6/5 (421 download)
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.
Author : Carles Casacuberta
Publisher : Birkhäuser
ISBN 13 : 3034882661
Total Pages : 630 pages
Book Rating : 4.0/5 (348 download)
Download or read book European Congress of Mathematics written by Carles Casacuberta and published by Birkhäuser. This book was released on 2012-12-06 with total page 630 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the second volume of the proceedings of the third European Congress of Mathematics. Volume I presents the speeches delivered at the Congress, the list of lectures, and short summaries of the achievements of the prize winners as well as papers by plenary and parallel speakers. The second volume collects articles by prize winners and speakers of the mini-symposia. This two-volume set thus gives an overview of the state of the art in many fields of mathematics and is therefore of interest to every professional mathematician.
Author : Margarida Catalão-Lopes
Publisher : Cambridge Scholars Publishing
ISBN 13 : 1443811556
Total Pages : 380 pages
Book Rating : 4.4/5 (438 download)
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.
Author : Fred Espen Benth
Publisher : Springer Science & Business Media
ISBN 13 : 1461472482
Total Pages : 318 pages
Book Rating : 4.4/5 (614 download)
Download or read book Quantitative Energy Finance written by Fred Espen Benth and published by Springer Science & Business Media. This book was released on 2013-08-28 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance and energy markets have been an active scientific field for some time, even though the development and applications of sophisticated quantitative methods in these areas are relatively new—and referred to in a broader context as energy finance. Energy finance is often viewed as a branch of mathematical finance, yet this area continues to provide a rich source of issues that are fuelling new and exciting research developments. Based on a special thematic year at the Wolfgang Pauli Institute (WPI) in Vienna, Austria, this edited collection features cutting-edge research from leading scientists in the fields of energy and commodity finance. Topics discussed include modeling and analysis of energy and commodity markets, derivatives hedging and pricing, and optimal investment strategies and modeling of emerging markets, such as power and emissions. The book also confronts the challenges one faces in energy markets from a quantitative point of view, as well as the recent advances in solving these problems using advanced mathematical, statistical and numerical methods. By addressing the emerging area of quantitative energy finance, this volume will serve as a valuable resource for graduate-level students and researchers studying financial mathematics, risk management, or energy finance.
Author : George J Kaye
Publisher : World Scientific Publishing Company
ISBN 13 : 1908979585
Total Pages : 438 pages
Book Rating : 4.9/5 (89 download)
Download or read book Value Of Uncertainty, The: Dealing With Risk In The Equity Derivatives Market written by George J Kaye and published by World Scientific Publishing Company. This book was released on 2012-11-16 with total page 438 pages. Available in PDF, EPUB and Kindle. Book excerpt: Along with the extraordinary growth in the derivatives market over the last decade, the impact of model choice, and model parameter usage, has become a major source of valuation uncertainty. This book concentrates on equity derivatives and charts, step by step, how key assumptions on the dynamics of stocks impact on the value of exotics. The presentation is technical, but maintains a strong focus on intuition and practical application./a
Author : Svetlana Boyarchenko
Publisher : World Scientific
ISBN 13 : 9814488615
Total Pages : 421 pages
Book Rating : 4.8/5 (144 download)
Download or read book Non-gaussian Merton-black-scholes Theory written by Svetlana Boyarchenko and published by World Scientific. This book was released on 2002-03-28 with total page 421 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces an analytically tractable and computationally effective class of non-Gaussian models for shocks (regular Lévy processes of the exponential type) and related analytical methods similar to the initial Merton-Black-Scholes approach, which the authors call the Merton-Black-Scholes theory.The authors have chosen applications interesting for financial engineers and specialists in financial economics, real options, and partial differential equations (especially pseudodifferential operators); specialists in stochastic processes will benefit from the use of the pseudodifferential operators technique in non-Gaussian situations. The authors also consider discrete time analogues of perpetual American options and the problem of the optimal choice of capital, and outline several possible directions in which the methods of the book can be developed further.Taking account of a diverse audience, the book has been written in such a way that it is simple at the beginning and more technical in further chapters, so that it is accessible to graduate students in relevant areas and mathematicians without prior knowledge of finance or economics.
Author : Dilip B. Madan
Publisher : Cambridge University Press
ISBN 13 : 1316518094
Total Pages : 283 pages
Book Rating : 4.3/5 (165 download)
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.
Author : Barbel Finkenstadt
Publisher : CRC Press
ISBN 13 : 0203483359
Total Pages : 422 pages
Book Rating : 4.2/5 (34 download)
Download or read book Extreme Values in Finance, Telecommunications, and the Environment written by Barbel Finkenstadt and published by CRC Press. This book was released on 2003-07-28 with total page 422 pages. Available in PDF, EPUB and Kindle. Book excerpt: Because of its potential to ...predict the unpredictable,... extreme value theory (EVT) and methodology is currently receiving a great deal of attention from statistical and mathematical researchers. This book brings together world-recognized authorities in their respective fields to provide expository chapters on the applications, use, and theory
Author : Georg Bol
Publisher : Springer Science & Business Media
ISBN 13 : 3790820504
Total Pages : 286 pages
Book Rating : 4.7/5 (98 download)
Download or read book Risk Assessment written by Georg Bol and published by Springer Science & Business Media. This book was released on 2008-11-14 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: New developments in assessing and managing risk are discussed in this volume. Addressing both practitioners in the banking sector and research institutions, the book provides a manifold view on the most-discussed topics in finance. Among the subjects treated are important issues such as: risk measures and allocation of risks, factor modeling, risk premia in the hedge funds industry and credit risk management. The volume provides an overview of recent developments as well as future trends in the area of risk assessment.
Author : Peter Tankov
Publisher : CRC Press
ISBN 13 : 1135437947
Total Pages : 552 pages
Book Rating : 4.1/5 (354 download)
Download or read book Financial Modelling with Jump Processes written by Peter Tankov and published by CRC Press. This book was released on 2003-12-30 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic
Author : Samuel N Cohen
Publisher : World Scientific
ISBN 13 : 9814483915
Total Pages : 605 pages
Book Rating : 4.8/5 (144 download)
Download or read book Stochastic Processes, Finance And Control: A Festschrift In Honor Of Robert J Elliott written by Samuel N Cohen and published by World Scientific. This book was released on 2012-08-10 with total page 605 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering. Paper contributors include colleagues, collaborators and former students of Robert Elliott, many of whom are world-leading experts and have made fundamental and significant contributions to these areas.This book provides new important insights and results by eminent researchers in the considered areas, which will be of interest to researchers and practitioners. The topics considered will be diverse in applications, and will provide contemporary approaches to the problems considered. The areas considered are rapidly evolving. This volume will contribute to their development, and present the current state-of-the-art stochastic processes, analysis, filtering and control.Contributing authors include: H Albrecher, T Bielecki, F Dufour, M Jeanblanc, I Karatzas, H-H Kuo, A Melnikov, E Platen, G Yin, Q Zhang, C Chiarella, W Fleming, D Madan, R Mamon, J Yan, V Krishnamurthy.
Author : Tim Leung
Publisher : Springer
ISBN 13 : 3319290940
Total Pages : 104 pages
Book Rating : 4.3/5 (192 download)
Download or read book Leveraged Exchange-Traded Funds written by Tim Leung and published by Springer. This book was released on 2016-02-24 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an analysis, under both discrete-time and continuous-time frameworks, on the price dynamics of leveraged exchange-traded funds (LETFs), with emphasis on the roles of leverage ratio, realized volatility, investment horizon, and tracking errors. This study provides new insights on the risks associated with LETFs. It also leads to the discussion of new risk management concepts, such as admissible leverage ratios and admissible risk horizon, as well as the mathematical and empirical analyses of several trading strategies, including static portfolios, pairs trading, and stop-loss strategies involving ETFs and LETFs. The final part of the book addresses the pricing of options written on LETFs. Since different LETFs are designed to track the same reference index, these funds and their associated options share very similar sources of randomness. The authors provide a no-arbitrage pricing approach that consistently value options on LETFs with different leverage ratios with stochastic volatility and jumps in the reference index. Their results are useful for market making of these options, and for identifying price discrepancies across the LETF options markets. As the market of leveraged exchange-traded products become a sizeable connected part of the financial market, it is crucial to better understand its feedback effect and broader market impact. This is important not only for individual and institutional investors, but also for regulators.
