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Author :
Publisher :
ISBN 13 :
Total Pages : 1296 pages
Book Rating : 4.:/5 (49 download)
Download or read book Journal of Economic Dynamics & Control written by and published by . This book was released on 2000 with total page 1296 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Prasad Kodukula
Publisher : J. Ross Publishing
ISBN 13 : 9781932159431
Total Pages : 256 pages
Book Rating : 4.1/5 (594 download)
Download or read book Project Valuation Using Real Options written by Prasad Kodukula and published by J. Ross Publishing. This book was released on 2006-07-15 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: Business leaders are frequently faced with investment decisions on new and ongoing projects. The challenge lies in deciding what projects to choose, expand, contract, defer, or abandon, and which method of valuation to use is the key tool in the process. This title presents a step-by-step, practical approach to real options valuation to make it easily understandable by practitioners as well as senior management. This systematic approach to project valuation helps you minimize upfront investment risks, exercise flexibility in decision making, and maximize the returns. Whereas the traditional decision tools such as discounted cash flow/net present value (DCF/NPV) analysis assume a “fixed” path ahead, real options analysis offers more flexible strategies. Considered one of the greatest innovations of modern finance, the real options approach is based on Nobel-prize winning work by three MIT economists, Fischer Black, Robert Merton, and Myron Scholes.
Author : Lishang Jiang
Publisher : World Scientific
ISBN 13 : 9812563695
Total Pages : 344 pages
Book Rating : 4.8/5 (125 download)
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.
Author : Stefano M. Iacus
Publisher : John Wiley & Sons
ISBN 13 : 1119990203
Total Pages : 402 pages
Book Rating : 4.1/5 (199 download)
Download or read book Option Pricing and Estimation of Financial Models with R written by Stefano M. Iacus and published by John Wiley & Sons. This book was released on 2011-02-23 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents inference and simulation of stochastic process in the field of model calibration for financial times series modelled by continuous time processes and numerical option pricing. Introduces the bases of probability theory and goes on to explain how to model financial times series with continuous models, how to calibrate them from discrete data and further covers option pricing with one or more underlying assets based on these models. Analysis and implementation of models goes beyond the standard Black and Scholes framework and includes Markov switching models, Lévy models and other models with jumps (e.g. the telegraph process); Topics other than option pricing include: volatility and covariation estimation, change point analysis, asymptotic expansion and classification of financial time series from a statistical viewpoint. The book features problems with solutions and examples. All the examples and R code are available as an additional R package, therefore all the examples can be reproduced.
Author : Donna Salopek
Publisher : CRC Press
ISBN 13 : 9780582315945
Total Pages : 132 pages
Book Rating : 4.3/5 (159 download)
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.
Author : Fabrice D. Rouah
Publisher : John Wiley & Sons
ISBN 13 : 1118429206
Total Pages : 456 pages
Book Rating : 4.1/5 (184 download)
Download or read book Option Pricing Models and Volatility Using Excel-VBA written by Fabrice D. Rouah and published by John Wiley & Sons. This book was released on 2012-06-15 with total page 456 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive guide offers traders, quants, and students the tools and techniques for using advanced models for pricing options. The accompanying website includes data files, such as options prices, stock prices, or index prices, as well as all of the codes needed to use the option and volatility models described in the book. Praise for Option Pricing Models & Volatility Using Excel-VBA "Excel is already a great pedagogical tool for teaching option valuation and risk management. But the VBA routines in this book elevate Excel to an industrial-strength financial engineering toolbox. I have no doubt that it will become hugely successful as a reference for option traders and risk managers." —Peter Christoffersen, Associate Professor of Finance, Desautels Faculty of Management, McGill University "This book is filled with methodology and techniques on how to implement option pricing and volatility models in VBA. The book takes an in-depth look into how to implement the Heston and Heston and Nandi models and includes an entire chapter on parameter estimation, but this is just the tip of the iceberg. Everyone interested in derivatives should have this book in their personal library." —Espen Gaarder Haug, option trader, philosopher, and author of Derivatives Models on Models "I am impressed. This is an important book because it is the first book to cover the modern generation of option models, including stochastic volatility and GARCH." —Steven L. Heston, Assistant Professor of Finance, R.H. Smith School of Business, University of Maryland
Author : René Carmona
Publisher : Springer Science & Business Media
ISBN 13 : 3642257461
Total Pages : 478 pages
Book Rating : 4.6/5 (422 download)
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.
Author : Terence Lim
Publisher : Now Publishers Inc
ISBN 13 : 1933019212
Total Pages : 225 pages
Book Rating : 4.9/5 (33 download)
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.
Author : Lars Ljungqvist
Publisher : MIT Press
ISBN 13 : 9780262122740
Total Pages : 1120 pages
Book Rating : 4.1/5 (227 download)
Download or read book Recursive Macroeconomic Theory written by Lars Ljungqvist and published by MIT Press. This book was released on 2004 with total page 1120 pages. Available in PDF, EPUB and Kindle. Book excerpt: A significant new edition of a text that offers both tools and sample applications; extensive revisions and seven new chapters improve and expand upon the original treatment.
Author : Jürgen Franke
Publisher : Springer Science & Business Media
ISBN 13 : 9783540216759
Total Pages : 454 pages
Book Rating : 4.2/5 (167 download)
Download or read book Statistics of Financial Markets written by Jürgen Franke and published by Springer Science & Business Media. This book was released on 2004 with total page 454 pages. Available in PDF, EPUB and Kindle. Book excerpt: Extreme Value Theory (EVT), GARCH MODELS, Hypothesis Testing, Fitting Probability Distributions to Risk Factors and Portfolios.
Author : Philipp N. Baecker
Publisher : Springer Science & Business Media
ISBN 13 : 3540482644
Total Pages : 279 pages
Book Rating : 4.5/5 (44 download)
Download or read book Real Options and Intellectual Property written by Philipp N. Baecker and published by Springer Science & Business Media. This book was released on 2007-08-06 with total page 279 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book proposes an integrated approach to patent risk and capital budgeting in pharmaceutical research and development (R and D), developing an option-based view (OBV) of imperfect patent protection, which draws upon contingent-claims analysis, stochastic game theory, as well as novel numerical methods. The text re-initiates a discussion about the contribution of quantitative frameworks to value-based R and D management.
Author : Don L. McLeish
Publisher : John Wiley & Sons
ISBN 13 : 1118160940
Total Pages : 308 pages
Book Rating : 4.1/5 (181 download)
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.
Author : Craig Pirrong
Publisher : Cambridge University Press
ISBN 13 : 1139501976
Total Pages : 239 pages
Book Rating : 4.1/5 (395 download)
Download or read book Commodity Price Dynamics written by Craig Pirrong and published by Cambridge University Press. This book was released on 2011-10-31 with total page 239 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.
Author : Ser-Huang Poon
Publisher : John Wiley & Sons
ISBN 13 : 0470856157
Total Pages : 236 pages
Book Rating : 4.4/5 (78 download)
Download or read book A Practical Guide to Forecasting Financial Market Volatility written by Ser-Huang Poon and published by John Wiley & Sons. This book was released on 2005-08-19 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial market volatility forecasting is one of today's most important areas of expertise for professionals and academics in investment, option pricing, and financial market regulation. While many books address financial market modelling, no single book is devoted primarily to the exploration of volatility forecasting and the practical use of forecasting models. A Practical Guide to Forecasting Financial Market Volatility provides practical guidance on this vital topic through an in-depth examination of a range of popular forecasting models. Details are provided on proven techniques for building volatility models, with guide-lines for actually using them in forecasting applications.
Author : Espen Gaarder Haug
Publisher : Professional Finance & Investment
ISBN 13 :
Total Pages : 586 pages
Book Rating : 4.3/5 ( download)
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.
Author : Jochen Garcke
Publisher : Springer Science & Business Media
ISBN 13 : 3642317022
Total Pages : 290 pages
Book Rating : 4.6/5 (423 download)
Download or read book Sparse Grids and Applications written by Jochen Garcke and published by Springer Science & Business Media. This book was released on 2012-10-13 with total page 290 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the recent decade, there has been a growing interest in the numerical treatment of high-dimensional problems. It is well known that classical numerical discretization schemes fail in more than three or four dimensions due to the curse of dimensionality. The technique of sparse grids helps overcome this problem to some extent under suitable regularity assumptions. This discretization approach is obtained from a multi-scale basis by a tensor product construction and subsequent truncation of the resulting multiresolution series expansion. This volume of LNCSE is a collection of the papers from the proceedings of the workshop on sparse grids and its applications held in Bonn in May 2011. The selected articles present recent advances in the mathematical understanding and analysis of sparse grid discretization. Aspects arising from applications are given particular attention.
Author : Stephen Boyd
Publisher : Cambridge University Press
ISBN 13 : 1316518965
Total Pages : 477 pages
Book Rating : 4.3/5 (165 download)
Download or read book Introduction to Applied Linear Algebra written by Stephen Boyd and published by Cambridge University Press. This book was released on 2018-06-07 with total page 477 pages. Available in PDF, EPUB and Kindle. Book excerpt: A groundbreaking introduction to vectors, matrices, and least squares for engineering applications, offering a wealth of practical examples.
