Transform Analysis And Asset Pricing For Affine Jump Diffusions

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Transform Analysis and Asset Pricing for Affine Jump-diffusions

Author : Darrell Duffie
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.:/5 ( download)

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Book Synopsis Transform Analysis and Asset Pricing for Affine Jump-diffusions by : Darrell Duffie

Download or read book Transform Analysis and Asset Pricing for Affine Jump-diffusions written by Darrell Duffie and published by . This book was released on 1999 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the setting of affine' jump-diffusion state processes, this paper provides an analytical treatment of a class of transforms, including various Laplace and Fourier transforms as special cases, that allow an analytical treatment of a range of valuation and econometric problems. Example applications include fixed-income pricing models, with a role for intensityy-based models of default, as well as a wide range of option-pricing applications. An illustrative example examines the implications of stochastic volatility and jumps for option valuation. This example highlights the impact on option 'smirks' of the joint distribution of jumps in volatility and jumps in the underlying asset price, through both amplitude as well as jump timing.

Transform Analysis of Affine Jump Diffusion Processes with Applications to Asset Pricing

Author : Claude Rodrigue Bambe Moutsinga
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (956 download)

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Book Synopsis Transform Analysis of Affine Jump Diffusion Processes with Applications to Asset Pricing by : Claude Rodrigue Bambe Moutsinga

Download or read book Transform Analysis of Affine Jump Diffusion Processes with Applications to Asset Pricing written by Claude Rodrigue Bambe Moutsinga and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This work presents a class of models in asset pricing, whose underlying has dynamics of Affine jump diffusion type. We first present L evy processes with their properties. We then introduce Affine jump diffusion processes which are basically a particular class of L evy processes. Our motivation for these is driven by the fact that many financial models are built on them. Affine jump diffusion processes present good analytical properties that allow one to get close form formulas for a wide range of option pricing. The approach we use here is based on the paper by Duffie D, Pan J, and Singleton K. An example will show how incorporating parameters such as the volatility of the underlying asset in the model, can influence the resulting price of the financial instrument under consideration. We will also show how this class of models incorporate well known models, specially those used to model interest rates dynamics, like for instance the Vasicek model.

Transform Analysis and Asset Pricing for Affine Jump-divisions

Author : Darrell Duffie
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (71 download)

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Book Synopsis Transform Analysis and Asset Pricing for Affine Jump-divisions by : Darrell Duffie

Download or read book Transform Analysis and Asset Pricing for Affine Jump-divisions written by Darrell Duffie and published by . This book was released on 1999 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Asset Pricing with Matrix Jump Diffusions

Author : Markus Leippold
Publisher :
ISBN 13 :
Total Pages : 57 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Asset Pricing with Matrix Jump Diffusions by : Markus Leippold

Download or read book Asset Pricing with Matrix Jump Diffusions written by Markus Leippold and published by . This book was released on 2010 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: We introduce a new class of flexible and tractable matrix affine jump-diffusions (AJD) to model multivariate sources of financial risk. We first provide a complete transform analysis of this model class, which opens a range of new potential applications to, e.g., multivariate option pricing with stochastic volatilities and correlations, fixed-income models with stochastically correlated default intensities, or multivariate dynamic portfolio choice with volatility and correlation jumps. We then study in more detail some of the new structural features of our modeling approach in two applications to option pricing and dynamic portfolio choice. First, we find that a three-factor matrix AJD model can generate variations of the implied volatility skew term structures that are largely unrelated to the level and composition of the spot volatility. This feature can allow the model to improve on benchmark AJD settings in reproducing the overall shape of the smile of equity index options. Second, we find that volatility and correlation jumps can imply an economically relevant intertemporal hedging demand in optimal dynamic portfolios, when jump intensities exhibit co-movement with the returns' covariancematrix.

Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility

Author : Peng Cheng
Publisher :
ISBN 13 :
Total Pages : 60 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility by : Peng Cheng

Download or read book Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility written by Peng Cheng and published by . This book was released on 2003 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: We aim at accommodating the existing affine jump-diffusion and quadratic models under the same roof, namely the linear-quadratic jump-diffusion (LQJD) class. We give a complete characterization of the dynamics underlying this class of models as well as identification constraints, and compute standard and extended transforms relevant to asset pricing. We also show that the LQJD class can be embedded into the affine class through use of an augmented state vector. We further establish that an equivalence relationship holds between both classes in terms of transform analysis. An option pricing application to multifactor stochastic volatility models reveals that adding nonlinearity into the model significantly reduces pricing errors, and further addition of a jump component in the stock price largely improves goodness-of-fit for in-the-money calls but less for out-of-the-money ones.

Convertible Bonds Valuation in a Jump Diffusion Setting with Stochastic Interest Rates

Author : Laura Ballotta
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Convertible Bonds Valuation in a Jump Diffusion Setting with Stochastic Interest Rates by : Laura Ballotta

Download or read book Convertible Bonds Valuation in a Jump Diffusion Setting with Stochastic Interest Rates written by Laura Ballotta and published by . This book was released on 2019 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes an integrated pricing framework for convertible bonds, which comprises firm value evolving as an exponential jump diffusion, correlated stochastic interest rates movements and an efficient numerical pricing scheme. By construction, the proposed stochastic model fits in the framework of affine jump diffusion processes of Duffie, Pan and Singleton [Duffie, D., Pan, J. and Singleton, K., Transform analysis and asset pricing for affine jump-diffusions. Econometrica, 2000, 68, 1343-1376] with tractable behaviour. We define the firm's optimal call policy and investigate its impact on the computed convertible bond prices. We illustrate the performance of the numerical scheme and highlight the effects originated by the inclusion of jumps, stochastic interest rates and a non-zero correlation structure between firm value and interest rates.

Saddlepoint Approximations for Affine Jump-Diffusion Models

Author : Paul Glasserman
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Saddlepoint Approximations for Affine Jump-Diffusion Models by : Paul Glasserman

Download or read book Saddlepoint Approximations for Affine Jump-Diffusion Models written by Paul Glasserman and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Affine jump-diffusion (AJD) processes constitute a large and widely used class of continuous-time asset pricing models that balance tractability and flexibility in matching market data. The prices of e.g., bonds, options, and other assets in AJD models are given by extended pricing transforms that have an exponential-affine form; these transforms have been characterized in great generality by Duffie, Pan and Singleton [28]. Calculating model prices requires inversion of these transforms, and this has limited the application of AJD models to the comparatively small subclass for which the transforms are available in closed form. This article seeks to widen the scope of AJD models amenable to practical application through approximate transform inversion techniques. More specifically, we develop the use of saddlepoint approximations for AJD models. These approximations facilitate the calculation of prices in AJD models whose transforms are not available explicitly. We derive and test several alternative saddlepoint approximations and find that they produce accurate prices over a wide range of parameters.

Asset Pricing

Author : B.Philipp Kellerhals
Publisher : Springer Science & Business Media
ISBN 13 : 9783540208532
Total Pages : 268 pages
Book Rating : 4.2/5 (85 download)

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Book Synopsis Asset Pricing by : B.Philipp Kellerhals

Download or read book Asset Pricing written by B.Philipp Kellerhals and published by Springer Science & Business Media. This book was released on 2004-04-06 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: Covers applications to risky assets traded on the markets for funds, fixed-income products and electricity derivatives. Integrates the latest research and includes a new chapter on financial modeling.

Asset Pricing and Portfolio Choice Theory

Author : Kerry Back
Publisher : Oxford University Press
ISBN 13 : 019970144X
Total Pages : 504 pages
Book Rating : 4.1/5 (997 download)

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Book Synopsis Asset Pricing and Portfolio Choice Theory by : Kerry Back

Download or read book Asset Pricing and Portfolio Choice Theory written by Kerry Back and published by Oxford University Press. This book was released on 2010-08-12 with total page 504 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Asset Pricing and Portfolio Choice Theory, Kerry E. Back at last offers what is at once a welcoming introduction to and a comprehensive overview of asset pricing. Useful as a textbook for graduate students in finance, with extensive exercises and a solutions manual available for professors, the book will also serve as an essential reference for scholars and professionals, as it includes detailed proofs and calculations as section appendices. Topics covered include the classical results on single-period, discrete-time, and continuous-time models, as well as various proposed explanations for the equity premium and risk-free rate puzzles and chapters on heterogeneous beliefs, asymmetric information, non-expected utility preferences, and production models. The book includes numerous exercises designed to provide practice with the concepts and to introduce additional results. Each chapter concludes with a notes and references section that supplies pathways to additional developments in the field.

Credit Risk Modeling

Author : David Lando
Publisher : Princeton University Press
ISBN 13 : 1400829194
Total Pages : 328 pages
Book Rating : 4.4/5 (8 download)

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Book Synopsis Credit Risk Modeling by : David Lando

Download or read book Credit Risk Modeling written by David Lando and published by Princeton University Press. This book was released on 2009-12-13 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze them. The book is aimed at researchers and students in finance, at quantitative analysts in banks and other financial institutions, and at regulators interested in the modeling aspects of credit risk. David Lando considers the two broad approaches to credit risk analysis: that based on classical option pricing models on the one hand, and on a direct modeling of the default probability of issuers on the other. He offers insights that can be drawn from each approach and demonstrates that the distinction between the two approaches is not at all clear-cut. The book strikes a fruitful balance between quickly presenting the basic ideas of the models and offering enough detail so readers can derive and implement the models themselves. The discussion of the models and their limitations and five technical appendixes help readers expand and generalize the models themselves or to understand existing generalizations. The book emphasizes models for pricing as well as statistical techniques for estimating their parameters. Applications include rating-based modeling, modeling of dependent defaults, swap- and corporate-yield curve dynamics, credit default swaps, and collateralized debt obligations.

Handbook of Quantitative Finance and Risk Management

Author : Cheng-Few Lee
Publisher : Springer Science & Business Media
ISBN 13 : 0387771174
Total Pages : 1700 pages
Book Rating : 4.3/5 (877 download)

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Book Synopsis Handbook of Quantitative Finance and Risk Management by : Cheng-Few Lee

Download or read book Handbook of Quantitative Finance and Risk Management written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2010-06-14 with total page 1700 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This two-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.

Irreversible Decisions under Uncertainty

Author : Svetlana Boyarchenko
Publisher : Springer Science & Business Media
ISBN 13 : 3540737464
Total Pages : 292 pages
Book Rating : 4.5/5 (47 download)

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Book Synopsis Irreversible Decisions under Uncertainty by : Svetlana Boyarchenko

Download or read book Irreversible Decisions under Uncertainty written by Svetlana Boyarchenko and published by Springer Science & Business Media. This book was released on 2007-08-26 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt: Here, two highly experienced authors present an alternative approach to optimal stopping problems. The basic ideas and techniques of the approach can be explained much simpler than the standard methods in the literature on optimal stopping problems. The monograph will teach the reader to apply the technique to many problems in economics and finance, including new ones. From the technical point of view, the method can be characterized as option pricing via the Wiener-Hopf factorization.

Interest Rate Modeling

Author : Lixin Wu
Publisher : CRC Press
ISBN 13 : 1040103073
Total Pages : 436 pages
Book Rating : 4.0/5 (41 download)

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Book Synopsis Interest Rate Modeling by : Lixin Wu

Download or read book Interest Rate Modeling written by Lixin Wu and published by CRC Press. This book was released on 2024-08-27 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt: Containing many results that are new, or which exist only in recent research articles, this thoroughly revised third edition of Interest Rate Modeling: Theory and Practice, Third Edition portrays the theory of interest rate modeling as a three-dimensional object of finance, mathematics, and computation. It introduces all models with financial-economical justifications, develops options along the martingale approach, and handles option evaluations with precise numerical methods. Features Presents a complete cycle of model construction and applications, showing readers how to build and use models Provides a systematic treatment of intriguing industrial issues, such as volatility smiles and correlation adjustments Contains exercise sets and a number of examples, with many based on real market data Includes comments on cutting-edge research, such as volatility-smile, positive interest-rate models, and convexity adjustment New to the Third edition Introduction of Fed fund market and Fed fund futures Replacement of the forward-looking USD LIBOR by the backward-looking SOFR term rates in the market model, and the deletion of dual-curve market model developed especially for the post-crisis derivatives markets New chapters on LIBOR Transition and SOFR Derivatives Markets

Modular Pricing of Options

Author : Jianwei Zhu
Publisher : Springer Science & Business Media
ISBN 13 : 3662043092
Total Pages : 181 pages
Book Rating : 4.6/5 (62 download)

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Book Synopsis Modular Pricing of Options by : Jianwei Zhu

Download or read book Modular Pricing of Options written by Jianwei Zhu and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 181 pages. Available in PDF, EPUB and Kindle. Book excerpt: From a technical point of view, the celebrated Black and Scholes option pricing formula was originally developed using a separation of variables technique. However, already Merton mentioned in his seminal 1973 pa per, that it could have been developed by using Fourier transforms as well. Indeed, as is well known nowadays, Fourier transforms are a rather convenient solution technique for many models involving the fundamental partial differential equation of financial economics. It took the community nearly another twenty years to recognize that Fourier transform is even more useful, if one applies it to problems in financial economics without seeking an explicit analytical inverse trans form. Heston (1993) probably was the first to demonstrate how to solve a stochastic volatility option pricing model quasi analytically using the characteristic function of the problem, which is nothing else than the Fourier transform of the underlying Arrow /Debreu-prices, and doing the inverse transformation numerically. This opened the door for a whole bunch of new closed form solutions in the transformed Fourier space and still is one of the most active research areas in financial economics.

Encyclopedia of Financial Models

Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
ISBN 13 : 1118539958
Total Pages : 3180 pages
Book Rating : 4.1/5 (185 download)

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Book Synopsis Encyclopedia of Financial Models by : Frank J. Fabozzi

Download or read book Encyclopedia of Financial Models written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2012-10-15 with total page 3180 pages. Available in PDF, EPUB and Kindle. Book excerpt: An essential reference dedicated to a wide array of financial models, issues in financial modeling, and mathematical and statistical tools for financial modeling The need for serious coverage of financial modeling has never been greater, especially with the size, diversity, and efficiency of modern capital markets. With this in mind, the Encyclopedia of Financial Models, 3 Volume Set has been created to help a broad spectrum of individuals—ranging from finance professionals to academics and students—understand financial modeling and make use of the various models currently available. Incorporating timely research and in-depth analysis, the Encyclopedia of Financial Models is an informative 3-Volume Set that covers both established and cutting-edge models and discusses their real-world applications. Edited by Frank Fabozzi, this set includes contributions from global financial experts as well as academics with extensive consulting experience in this field. Organized alphabetically by category, this reliable resource consists of three separate volumes and 127 entries—touching on everything from asset pricing and bond valuation models to trading cost models and volatility—and provides readers with a balanced understanding of today's dynamic world of financial modeling. Frank Fabozzi follows up his successful Handbook of Finance with another major reference work, The Encyclopedia of Financial Models Covers the two major topical areas: asset valuation for cash and derivative instruments, and portfolio modeling Fabozzi explores the critical background tools from mathematics, probability theory, statistics, and operations research needed to understand these complex models Organized alphabetically by category, this book gives readers easy and quick access to specific topics sorted by an applicable category among them Asset Allocation, Credit Risk Modeling, Statistical Tools 3 Volumes onlinelibrary.wiley.com Financial models have become increasingly commonplace, as well as complex. They are essential in a wide range of financial endeavors, and this 3-Volume Set will help put them in perspective.

Recent Advances In Financial Engineering 2009 - Proceedings Of The Kier-tmu International Workshop On Financial Engineering 2009

Author : Masaaki Kijima
Publisher : World Scientific
ISBN 13 : 9814465224
Total Pages : 284 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis Recent Advances In Financial Engineering 2009 - Proceedings Of The Kier-tmu International Workshop On Financial Engineering 2009 by : Masaaki Kijima

Download or read book Recent Advances In Financial Engineering 2009 - Proceedings Of The Kier-tmu International Workshop On Financial Engineering 2009 written by Masaaki Kijima and published by World Scientific. This book was released on 2010-06-10 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book consists of 11 papers based on research presented at the KIER-TMU International Workshop on Financial Engineering, held in Tokyo in 2009. The Workshop, organised by Kyoto University's Institute of Economic Research (KIER) and Tokyo Metropolitan University (TMU), is the successor to the Daiwa International Workshop on Financial Engineering held from 2004 to 2008 by Professor Kijima (the Chair of this Workshop) and his colleagues. Academic researchers and industry practitioners alike have presented the latest research on financial engineering at this international venue.These papers address state-of-the-art techniques in financial engineering, and have undergone a rigorous selection process to make this book a high-quality one. This volume will be of interest to academics, practitioners, and graduate students in the field of quantitative finance and financial engineering.

Energy and Power Risk Management

Author : Alexander Eydeland
Publisher : John Wiley & Sons
ISBN 13 : 0471455873
Total Pages : 506 pages
Book Rating : 4.4/5 (714 download)

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Book Synopsis Energy and Power Risk Management by : Alexander Eydeland

Download or read book Energy and Power Risk Management written by Alexander Eydeland and published by John Wiley & Sons. This book was released on 2003-02-03 with total page 506 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Energy and Power Risk Management "Energy and Power Risk Management identifies and addresses the key issues in the development of the turbulent energy industry and the challenges it poses to market players. An insightful and far-reaching book written by two renowned professionals." -Helyette Geman, Professor of Finance University Paris Dauphine and ESSEC "The most up-to-date and comprehensive book on managing energy price risk in the natural gas and power markets. An absolute imperative for energy traders and energy risk management professionals." -Vincent Kaminski, Managing Director Citadel Investment Group LLC "Eydeland and Wolyniec's work does an excellent job of outlining the methods needed to measure and manage risk in the volatile energy market." -Gerald G. Fleming, Vice President, Head of East Power Trading, TXU Energy Trading "This book combines academic rigor with real-world practicality. It is a must-read for anyone in energy risk management or asset valuation." -Ron Erd, Senior Vice President American Electric Power