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The Hyperbolic Model Option Pricing Using Approximation And Quasi Monte Carlo Methods
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Book Synopsis Exotic Option Pricing and Advanced Lévy Models by : Andreas Kyprianou
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
Book Synopsis The hyperbolic model: Option pricing using approximation and Quasi-Monte Carlo methods by : Martin Predota
Download or read book The hyperbolic model: Option pricing using approximation and Quasi-Monte Carlo methods written by Martin Predota and published by GRIN Verlag. This book was released on 2009-04-06 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt: Doctoral Thesis / Dissertation from the year 2002 in the subject Mathematics - Stochastics, grade: 1, Technical University of Graz, language: English, abstract: Aus Sicht der Mathematik spielen Optionen eine wesentliche Rolle seit der bahnbrechenden Arbeit von Black und Scholes im Jahre 1973. Deren Modell basiert jedoch auf der unrealistischen Annahme, das log-returns von Aktienkursen normalverteilt sind. Eberlein und Keller haben 1995 gezeigt, daß solche log-returns hyperbolisch verteilt sind. Die vorliegende Arbeit baut auf dieser Annahme auf und erweitert das Optionsspektrum von Europäischen Optionen auf Asiatische, Amerikanische sowie Multi-Asset-Optionen. Weiters wird das "Standard"-Martingal-Maß, die sogenannte Esscher-Transformation, durch das Entropie-minimierende Maß erweitert. Da jedoch keine exakte Preissetzung solcher Optionen möglich ist, wird auf numerische Simulationen und Approximationen zurückgegriffen. Die verwendeten numerischen Verfahren sind die Monte Carlo-Methode mit verschiedenen Varianzreduktionstechniken und die Quasi-Monte Carlo Methode.
Book Synopsis Monte Carlo and Quasi-Monte Carlo Methods by : Ronald Cools
Download or read book Monte Carlo and Quasi-Monte Carlo Methods written by Ronald Cools and published by Springer. This book was released on 2016-06-13 with total page 624 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the refereed proceedings of the Eleventh International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of Leuven (Belgium) in April 2014. These biennial conferences are major events for Monte Carlo and quasi-Monte Carlo researchers. The proceedings include articles based on invited lectures as well as carefully selected contributed papers on all theoretical aspects and applications of Monte Carlo and quasi-Monte Carlo methods. Offering information on the latest developments in these very active areas, this book is an excellent reference resource for theoreticians and practitioners interested in solving high-dimensional computational problems, arising, in particular, in finance, statistics and computer graphics.
Book Synopsis Introduction to Quasi-Monte Carlo Integration and Applications by : Gunther Leobacher
Download or read book Introduction to Quasi-Monte Carlo Integration and Applications written by Gunther Leobacher and published by Springer. This book was released on 2014-09-12 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook introduces readers to the basic concepts of quasi-Monte Carlo methods for numerical integration and to the theory behind them. The comprehensive treatment of the subject with detailed explanations comprises, for example, lattice rules, digital nets and sequences and discrepancy theory. It also presents methods currently used in research and discusses practical applications with an emphasis on finance-related problems. Each chapter closes with suggestions for further reading and with exercises which help students to arrive at a deeper understanding of the material presented. The book is based on a one-semester, two-hour undergraduate course and is well-suited for readers with a basic grasp of algebra, calculus, linear algebra and basic probability theory. It provides an accessible introduction for undergraduate students in mathematics or computer science.
Download or read book Grazer mathematische Berichte written by and published by . This book was released on 2002 with total page 674 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Computational Finance by : George Levy
Download or read book Computational Finance written by George Levy and published by Butterworth-Heinemann. This book was released on 2004-01-27 with total page 474 pages. Available in PDF, EPUB and Kindle. Book excerpt: Accompanying CD-ROM contains ... "working computer code, demonstration applications, and also PDF versions of several research articles that are referred to in the book." -- d.j.
Book Synopsis Monte Carlo and Quasi-Monte Carlo Sampling by : Christiane Lemieux
Download or read book Monte Carlo and Quasi-Monte Carlo Sampling written by Christiane Lemieux and published by Springer Science & Business Media. This book was released on 2009-04-03 with total page 373 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quasi–Monte Carlo methods have become an increasingly popular alternative to Monte Carlo methods over the last two decades. Their successful implementation on practical problems, especially in finance, has motivated the development of several new research areas within this field to which practitioners and researchers from various disciplines currently contribute. This book presents essential tools for using quasi–Monte Carlo sampling in practice. The first part of the book focuses on issues related to Monte Carlo methods—uniform and non-uniform random number generation, variance reduction techniques—but the material is presented to prepare the readers for the next step, which is to replace the random sampling inherent to Monte Carlo by quasi–random sampling. The second part of the book deals with this next step. Several aspects of quasi-Monte Carlo methods are covered, including constructions, randomizations, the use of ANOVA decompositions, and the concept of effective dimension. The third part of the book is devoted to applications in finance and more advanced statistical tools like Markov chain Monte Carlo and sequential Monte Carlo, with a discussion of their quasi–Monte Carlo counterpart. The prerequisites for reading this book are a basic knowledge of statistics and enough mathematical maturity to follow through the various techniques used throughout the book. This text is aimed at graduate students in statistics, management science, operations research, engineering, and applied mathematics. It should also be useful to practitioners who want to learn more about Monte Carlo and quasi–Monte Carlo methods and researchers interested in an up-to-date guide to these methods.
Book Synopsis Monte Carlo and Quasi-Monte Carlo Methods 2004 by : Harald Niederreiter
Download or read book Monte Carlo and Quasi-Monte Carlo Methods 2004 written by Harald Niederreiter and published by Springer Science & Business Media. This book was released on 2006-02-08 with total page 506 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book represents the refereed proceedings of the Sixth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing and of the Second International Conference on Monte Carlo and Probabilistic Methods for Partial Differential Equations. These conferences were held jointly at Juan-les-Pins (France) in June 2004. The proceedings include carefully selected papers on many aspects of Monte Carlo methods, quasi-Monte Carlo methods, and the numerical solution of partial differential equations. The reader will be informed about current research in these very active areas.
Download or read book Mathematical Reviews written by and published by . This book was released on 2004 with total page 768 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Recent Advances in Radial Basis Function Collocation Methods by : Wen Chen
Download or read book Recent Advances in Radial Basis Function Collocation Methods written by Wen Chen and published by Springer Science & Business Media. This book was released on 2013-11-09 with total page 98 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book surveys the latest advances in radial basis function (RBF) meshless collocation methods which emphasis on recent novel kernel RBFs and new numerical schemes for solving partial differential equations. The RBF collocation methods are inherently free of integration and mesh, and avoid tedious mesh generation involved in standard finite element and boundary element methods. This book focuses primarily on the numerical algorithms, engineering applications, and highlights a large class of novel boundary-type RBF meshless collocation methods. These methods have shown a clear edge over the traditional numerical techniques especially for problems involving infinite domain, moving boundary, thin-walled structures, and inverse problems. Due to the rapid development in RBF meshless collocation methods, there is a need to summarize all these new materials so that they are available to scientists, engineers, and graduate students who are interest to apply these newly developed methods for solving real world’s problems. This book is intended to meet this need. Prof. Wen Chen and Dr. Zhuo-Jia Fu work at Hohai University. Prof. C.S. Chen works at the University of Southern Mississippi.
Book Synopsis Monte Carlo Simulation and Finance by : Don L. McLeish
Download or read book Monte Carlo Simulation and Finance written by Don L. McLeish and published by John Wiley & Sons. This book was released on 2011-09-13 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: Monte Carlo methods have been used for decades in physics, engineering, statistics, and other fields. Monte Carlo Simulation and Finance explains the nuts and bolts of this essential technique used to value derivatives and other securities. Author and educator Don McLeish examines this fundamental process, and discusses important issues, including specialized problems in finance that Monte Carlo and Quasi-Monte Carlo methods can help solve and the different ways Monte Carlo methods can be improved upon. This state-of-the-art book on Monte Carlo simulation methods is ideal for finance professionals and students. Order your copy today.
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
Book Synopsis Applied Quantitative Finance by : Wolfgang Karl Härdle
Download or read book Applied Quantitative Finance written by Wolfgang Karl Härdle and published by Springer. This book was released on 2017-08-02 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume provides practical solutions and introduces recent theoretical developments in risk management, pricing of credit derivatives, quantification of volatility and copula modeling. This third edition is devoted to modern risk analysis based on quantitative methods and textual analytics to meet the current challenges in banking and finance. It includes 14 new contributions and presents a comprehensive, state-of-the-art treatment of cutting-edge methods and topics, such as collateralized debt obligations, the high-frequency analysis of market liquidity, and realized volatility. The book is divided into three parts: Part 1 revisits important market risk issues, while Part 2 introduces novel concepts in credit risk and its management along with updated quantitative methods. The third part discusses the dynamics of risk management and includes risk analysis of energy markets and for cryptocurrencies. Digital assets, such as blockchain-based currencies, have become popular b ut are theoretically challenging when based on conventional methods. Among others, it introduces a modern text-mining method called dynamic topic modeling in detail and applies it to the message board of Bitcoins. The unique synthesis of theory and practice supported by computational tools is reflected not only in the selection of topics, but also in the fine balance of scientific contributions on practical implementation and theoretical concepts. This link between theory and practice offers theoreticians insights into considerations of applicability and, vice versa, provides practitioners convenient access to new techniques in quantitative finance. Hence the book will appeal both to researchers, including master and PhD students, and practitioners, such as financial engineers. The results presented in the book are fully reproducible and all quantlets needed for calculations are provided on an accompanying website. The Quantlet platform quantlet.de, quantlet.com, quantlet.org is an integrated QuantNet environment consisting of different types of statistics-related documents and program codes. Its goal is to promote reproducibility and offer a platform for sharing validated knowledge native to the social web. QuantNet and the corresponding Data-Driven Documents-based visualization allows readers to reproduce the tables, pictures and calculations inside this Springer book.
Book Synopsis Robust Monte Carlo Methods for Light Transport Simulation by : Eric Veach
Download or read book Robust Monte Carlo Methods for Light Transport Simulation written by Eric Veach and published by . This book was released on 1998 with total page 444 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Heston Model and its Extensions in Matlab and C# by : Fabrice D. Rouah
Download or read book The Heston Model and its Extensions in Matlab and C# written by Fabrice D. Rouah and published by John Wiley & Sons. This book was released on 2013-08-01 with total page 437 pages. Available in PDF, EPUB and Kindle. Book excerpt: Tap into the power of the most popular stochastic volatility model for pricing equity derivatives Since its introduction in 1993, the Heston model has become a popular model for pricing equity derivatives, and the most popular stochastic volatility model in financial engineering. This vital resource provides a thorough derivation of the original model, and includes the most important extensions and refinements that have allowed the model to produce option prices that are more accurate and volatility surfaces that better reflect market conditions. The book's material is drawn from research papers and many of the models covered and the computer codes are unavailable from other sources. The book is light on theory and instead highlights the implementation of the models. All of the models found here have been coded in Matlab and C#. This reliable resource offers an understanding of how the original model was derived from Ricatti equations, and shows how to implement implied and local volatility, Fourier methods applied to the model, numerical integration schemes, parameter estimation, simulation schemes, American options, the Heston model with time-dependent parameters, finite difference methods for the Heston PDE, the Greeks, and the double Heston model. A groundbreaking book dedicated to the exploration of the Heston model—a popular model for pricing equity derivatives Includes a companion website, which explores the Heston model and its extensions all coded in Matlab and C# Written by Fabrice Douglas Rouah a quantitative analyst who specializes in financial modeling for derivatives for pricing and risk management Engaging and informative, this is the first book to deal exclusively with the Heston Model and includes code in Matlab and C# for pricing under the model, as well as code for parameter estimation, simulation, finite difference methods, American options, and more.
Book Synopsis The Complete Guide to Option Pricing Formulas by : Espen Gaarder Haug
Download or read book The Complete Guide to Option Pricing Formulas written by Espen Gaarder Haug and published by Professional Finance & Investment. This book was released on 2007-01-08 with total page 586 pages. Available in PDF, EPUB and Kindle. Book excerpt: Accompanying CD-ROM contains ... "all pricing formulas, with VBA code and ready-to-use Excel spreadsheets and 3D charts for Greeks (or Option Sensitivities)."--Jacket.
Book Synopsis Modelling and Simulation of Stochastic Volatility in Finance by : Christian Kahl
Download or read book Modelling and Simulation of Stochastic Volatility in Finance written by Christian Kahl and published by Universal-Publishers. This book was released on 2008 with total page 219 pages. Available in PDF, EPUB and Kindle. Book excerpt: The famous Black-Scholes model was the starting point of a new financial industry and has been a very important pillar of all options trading since. One of its core assumptions is that the volatility of the underlying asset is constant. It was realised early that one has to specify a dynamic on the volatility itself to get closer to market behaviour. There are mainly two aspects making this fact apparent. Considering historical evolution of volatility by analysing time series data one observes erratic behaviour over time. Secondly, backing out implied volatility from daily traded plain vanilla options, the volatility changes with strike. The most common realisations of this phenomenon are the implied volatility smile or skew. The natural question arises how to extend the Black-Scholes model appropriately. Within this book the concept of stochastic volatility is analysed and discussed with special regard to the numerical problems occurring either in calibrating the model to the market implied volatility surface or in the numerical simulation of the two-dimensional system of stochastic differential equations required to price non-vanilla financial derivatives. We introduce a new stochastic volatility model, the so-called Hyp-Hyp model, and use Watanabe's calculus to find an analytical approximation to the model implied volatility. Further, the class of affine diffusion models, such as Heston, is analysed in view of using the characteristic function and Fourier inversion techniques to value European derivatives.
