A Time Series Approach To Option Pricing

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A Time Series Approach to Option Pricing

Author : Christophe Chorro
Publisher : Springer
ISBN 13 : 3662450372
Total Pages : 202 pages
Book Rating : 4.6/5 (624 download)

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Book Synopsis A Time Series Approach to Option Pricing by : Christophe Chorro

Download or read book A Time Series Approach to Option Pricing written by Christophe Chorro and published by Springer. This book was released on 2014-12-04 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt: The current world financial scene indicates at an intertwined and interdependent relationship between financial market activity and economic health. This book explains how the economic messages delivered by the dynamic evolution of financial asset returns are strongly related to option prices. The Black Scholes framework is introduced and by underlining its shortcomings, an alternative approach is presented that has emerged over the past ten years of academic research, an approach that is much more grounded on a realistic statistical analysis of data rather than on ad hoc tractable continuous time option pricing models. The reader then learns what it takes to understand and implement these option pricing models based on time series analysis in a self-contained way. The discussion covers modeling choices available to the quantitative analyst, as well as the tools to decide upon a particular model based on the historical datasets of financial returns. The reader is then guided into numerical deduction of option prices from these models and illustrations with real examples are used to reflect the accuracy of the approach using datasets of options on equity indices.

Introduction to Option Pricing Theory

Author : Gopinath Kallianpur
Publisher : Springer Science & Business Media
ISBN 13 : 1461205115
Total Pages : 266 pages
Book Rating : 4.4/5 (612 download)

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Book Synopsis Introduction to Option Pricing Theory by : Gopinath Kallianpur

Download or read book Introduction to Option Pricing Theory written by Gopinath Kallianpur and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the appearance of seminal works by R. Merton, and F. Black and M. Scholes, stochastic processes have assumed an increasingly important role in the development of the mathematical theory of finance. This work examines, in some detail, that part of stochastic finance pertaining to option pricing theory. Thus the exposition is confined to areas of stochastic finance that are relevant to the theory, omitting such topics as futures and term-structure. This self-contained work begins with five introductory chapters on stochastic analysis, making it accessible to readers with little or no prior knowledge of stochastic processes or stochastic analysis. These chapters cover the essentials of Ito's theory of stochastic integration, integration with respect to semimartingales, Girsanov's Theorem, and a brief introduction to stochastic differential equations. Subsequent chapters treat more specialized topics, including option pricing in discrete time, continuous time trading, arbitrage, complete markets, European options (Black and Scholes Theory), American options, Russian options, discrete approximations, and asset pricing with stochastic volatility. In several chapters, new results are presented. A unique feature of the book is its emphasis on arbitrage, in particular, the relationship between arbitrage and equivalent martingale measures (EMM), and the derivation of necessary and sufficient conditions for no arbitrage (NA). {\it Introduction to Option Pricing Theory} is intended for students and researchers in statistics, applied mathematics, business, or economics, who have a background in measure theory and have completed probability theory at the intermediate level. The work lends itself to self-study, as well as to a one-semester course at the graduate level.

Option Pricing and Estimation of Financial Models with R

Author : Stefano M. Iacus
Publisher : John Wiley & Sons
ISBN 13 : 1119990203
Total Pages : 402 pages
Book Rating : 4.1/5 (199 download)

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Book Synopsis Option Pricing and Estimation of Financial Models with R by : Stefano M. Iacus

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.

PDE and Martingale Methods in Option Pricing

Author : Andrea Pascucci
Publisher : Springer Science & Business Media
ISBN 13 : 8847017815
Total Pages : 727 pages
Book Rating : 4.8/5 (47 download)

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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.

Discrete Time Series, Processes, and Applications in Finance

Author : Gilles Zumbach
Publisher : Springer Science & Business Media
ISBN 13 : 3642317421
Total Pages : 326 pages
Book Rating : 4.6/5 (423 download)

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Book Synopsis Discrete Time Series, Processes, and Applications in Finance by : Gilles Zumbach

Download or read book Discrete Time Series, Processes, and Applications in Finance written by Gilles Zumbach and published by Springer Science & Business Media. This book was released on 2012-10-04 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: Most financial and investment decisions are based on considerations of possible future changes and require forecasts on the evolution of the financial world. Time series and processes are the natural tools for describing the dynamic behavior of financial data, leading to the required forecasts. This book presents a survey of the empirical properties of financial time series, their descriptions by means of mathematical processes, and some implications for important financial applications used in many areas like risk evaluation, option pricing or portfolio construction. The statistical tools used to extract information from raw data are introduced. Extensive multiscale empirical statistics provide a solid benchmark of stylized facts (heteroskedasticity, long memory, fat-tails, leverage...), in order to assess various mathematical structures that can capture the observed regularities. The author introduces a broad range of processes and evaluates them systematically against the benchmark, summarizing the successes and limitations of these models from an empirical point of view. The outcome is that only multiscale ARCH processes with long memory, discrete multiplicative structures and non-normal innovations are able to capture correctly the empirical properties. In particular, only a discrete time series framework allows to capture all the stylized facts in a process, whereas the stochastic calculus used in the continuum limit is too constraining. The present volume offers various applications and extensions for this class of processes including high-frequency volatility estimators, market risk evaluation, covariance estimation and multivariate extensions of the processes. The book discusses many practical implications and is addressed to practitioners and quants in the financial industry, as well as to academics, including graduate (Master or PhD level) students. The prerequisites are basic statistics and some elementary financial mathematics.

Intelligent Information and Database Systems

Author : Manh Thanh Le
Publisher : Springer
ISBN 13 : 3642121454
Total Pages : 499 pages
Book Rating : 4.6/5 (421 download)

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Book Synopsis Intelligent Information and Database Systems by : Manh Thanh Le

Download or read book Intelligent Information and Database Systems written by Manh Thanh Le and published by Springer. This book was released on 2010-07-26 with total page 499 pages. Available in PDF, EPUB and Kindle. Book excerpt: The 2010 Asian Conference on Intelligent Information and Database Systems (ACIIDS) was the second event of the series of international scientific conferences for research and applications in the field of intelligent information and database systems. The aim of ACIIDS 2010 was to provide an international forum for scientific research in the technologies and applications of intelligent information, database systems and their applications. ACIIDS 2010 was co-organized by Hue University (Vietnam) and Wroclaw University of Technology (Poland) and took place in Hue city (Vietnam) during March 24–26, 2010. We received almost 330 papers from 35 countries. Each paper was peer reviewed by at least two members of the International Program Committee and International Reviewer Board. Only 96 best papers were selected for oral presentation and publi- tion in the two volumes of the ACIIDS 2010 proceedings. The papers included in the proceedings cover the following topics: artificial social systems, case studies and reports on deployments, collaborative learning, collaborative systems and applications, data warehousing and data mining, database management technologies, database models and query languages, database security and integrity,- business, e-commerce, e-finance, e-learning systems, information modeling and - quirements engineering, information retrieval systems, intelligent agents and mul- agent systems, intelligent information systems, intelligent internet systems, intelligent optimization techniques, object-relational DBMS, ontologies and information sharing, semi-structured and XML database systems, unified modeling language and unified processes, Web services and Semantic Web, computer networks and communication systems.

Time Series and Related Topics

Author : Ching-Zong Wei
Publisher : IMS
ISBN 13 : 9780940600683
Total Pages : 314 pages
Book Rating : 4.6/5 (6 download)

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Book Synopsis Time Series and Related Topics by : Ching-Zong Wei

Download or read book Time Series and Related Topics written by Ching-Zong Wei and published by IMS. This book was released on 2006 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Granular Computing and Intelligent Systems

Author : Witold Pedrycz
Publisher : Springer Science & Business Media
ISBN 13 : 3642198201
Total Pages : 308 pages
Book Rating : 4.6/5 (421 download)

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Book Synopsis Granular Computing and Intelligent Systems by : Witold Pedrycz

Download or read book Granular Computing and Intelligent Systems written by Witold Pedrycz and published by Springer Science & Business Media. This book was released on 2011-04-28 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: Information granules are fundamental conceptual entities facilitating perception of complex phenomena and contributing to the enhancement of human centricity in intelligent systems. The formal frameworks of information granules and information granulation comprise fuzzy sets, interval analysis, probability, rough sets, and shadowed sets, to name only a few representatives. Among current developments of Granular Computing, interesting options concern information granules of higher order and of higher type. The higher order information granularity is concerned with an effective formation of information granules over the space being originally constructed by information granules of lower order. This construct is directly associated with the concept of hierarchy of systems composed of successive processing layers characterized by the increasing levels of abstraction. This idea of layered, hierarchical realization of models of complex systems has gained a significant level of visibility in fuzzy modeling with the well-established concept of hierarchical fuzzy models where one strives to achieve a sound tradeoff between accuracy and a level of detail captured by the model and its level of interpretability. Higher type information granules emerge when the information granules themselves cannot be fully characterized in a purely numerical fashion but instead it becomes convenient to exploit their realization in the form of other types of information granules such as type-2 fuzzy sets, interval-valued fuzzy sets, or probabilistic fuzzy sets. Higher order and higher type of information granules constitute the focus of the studies on Granular Computing presented in this study. The book elaborates on sound methodologies of Granular Computing, algorithmic pursuits and an array of diverse applications and case studies in environmental studies, option price forecasting, and power engineering.

Macroeconometrics and Time Series Analysis

Author : Steven Durlauf
Publisher : Springer
ISBN 13 : 0230280838
Total Pages : 417 pages
Book Rating : 4.2/5 (32 download)

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Book Synopsis Macroeconometrics and Time Series Analysis by : Steven Durlauf

Download or read book Macroeconometrics and Time Series Analysis written by Steven Durlauf and published by Springer. This book was released on 2016-04-30 with total page 417 pages. Available in PDF, EPUB and Kindle. Book excerpt: Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.

Engineering Investment Process

Author : Florian Ielpo
Publisher : Elsevier
ISBN 13 : 0081011482
Total Pages : 432 pages
Book Rating : 4.0/5 (81 download)

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Book Synopsis Engineering Investment Process by : Florian Ielpo

Download or read book Engineering Investment Process written by Florian Ielpo and published by Elsevier. This book was released on 2017-03-22 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: Engineering Investment Process: Making Value Creation Repeatable explores the quantitative steps of a financial investment process. The authors study how these steps are articulated in order to make any value creation, whatever the asset class, consistent and robust. The discussion includes factors, portfolio allocation, statistical and economic backtesting, but also the influence of negative rates, dynamical trading, state-space models, stylized facts, liquidity issues, or data biases. Besides the quantitative concepts detailed here, the reader will find useful references to other works to develop an in-depth understanding of an investment process. - Blends academic research with practical experience from quants, fund managers, and economists - Puts financial mathematics and econometrics in their rightful place - Presents useful information that will increase the reader's understanding of markets - Clearly provides both the global framework, the investment process, and the useful econometric and financial tools that help in its construction - Includes efficient tools taken from up-to-date econometric and financial techniques

Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author : Marco Corazza
Publisher : Springer
ISBN 13 : 3319502344
Total Pages : 170 pages
Book Rating : 4.3/5 (195 download)

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Book Synopsis Mathematical and Statistical Methods for Actuarial Sciences and Finance by : Marco Corazza

Download or read book Mathematical and Statistical Methods for Actuarial Sciences and Finance written by Marco Corazza and published by Springer. This book was released on 2017-12-28 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume gathers selected peer-reviewed papers presented at the international conference "MAF 2016 – Mathematical and Statistical Methods for Actuarial Sciences and Finance”, held in Paris (France) at the Université Paris-Dauphine from March 30 to April 1, 2016. The contributions highlight new ideas on mathematical and statistical methods in actuarial sciences and finance. The cooperation between mathematicians and statisticians working in insurance and finance is a very fruitful field, one that yields unique theoretical models and practical applications, as well as new insights in the discussion of problems of national and international interest. This volume is addressed to academicians, researchers, Ph.D. students and professionals.

Handbook of Financial Time Series

Author : Torben Gustav Andersen
Publisher : Springer Science & Business Media
ISBN 13 : 3540712976
Total Pages : 1045 pages
Book Rating : 4.5/5 (47 download)

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Book Synopsis Handbook of Financial Time Series by : Torben Gustav Andersen

Download or read book Handbook of Financial Time Series written by Torben Gustav Andersen and published by Springer Science & Business Media. This book was released on 2009-04-21 with total page 1045 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.

Financial Econometrics, Mathematics and Statistics

Author : Cheng-Few Lee
Publisher : Springer
ISBN 13 : 1493994298
Total Pages : 657 pages
Book Rating : 4.4/5 (939 download)

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Book Synopsis Financial Econometrics, Mathematics and Statistics by : Cheng-Few Lee

Download or read book Financial Econometrics, Mathematics and Statistics written by Cheng-Few Lee and published by Springer. This book was released on 2019-06-03 with total page 657 pages. Available in PDF, EPUB and Kindle. Book excerpt: This rigorous textbook introduces graduate students to the principles of econometrics and statistics with a focus on methods and applications in financial research. Financial Econometrics, Mathematics, and Statistics introduces tools and methods important for both finance and accounting that assist with asset pricing, corporate finance, options and futures, and conducting financial accounting research. Divided into four parts, the text begins with topics related to regression and financial econometrics. Subsequent sections describe time-series analyses; the role of binomial, multi-nomial, and log normal distributions in option pricing models; and the application of statistics analyses to risk management. The real-world applications and problems offer students a unique insight into such topics as heteroskedasticity, regression, simultaneous equation models, panel data analysis, time series analysis, and generalized method of moments. Written by leading academics in the quantitative finance field, allows readers to implement the principles behind financial econometrics and statistics through real-world applications and problem sets. This textbook will appeal to a less-served market of upper-undergraduate and graduate students in finance, economics, and statistics.

A Game Theory Analysis of Options

Author : Alexandre C. Ziegler
Publisher : Springer Science & Business Media
ISBN 13 : 9783540206682
Total Pages : 200 pages
Book Rating : 4.2/5 (66 download)

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Book Synopsis A Game Theory Analysis of Options by : Alexandre C. Ziegler

Download or read book A Game Theory Analysis of Options written by Alexandre C. Ziegler and published by Springer Science & Business Media. This book was released on 2004-03-15 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern option pricing theory was developed in the late sixties and early seventies by F. Black, R. e. Merton and M. Scholes as an analytical tool for pricing and hedging option contracts and over-the-counter warrants. How ever, already in the seminal paper by Black and Scholes, the applicability of the model was regarded as much broader. In the second part of their paper, the authors demonstrated that a levered firm's equity can be regarded as an option on the value of the firm, and thus can be priced by option valuation techniques. A year later, Merton showed how the default risk structure of cor porate bonds can be determined by option pricing techniques. Option pricing models are now used to price virtually the full range of financial instruments and financial guarantees such as deposit insurance and collateral, and to quantify the associated risks. Over the years, option pricing has evolved from a set of specific models to a general analytical framework for analyzing the production process of financial contracts and their function in the financial intermediation process in a continuous time framework. However, very few attempts have been made in the literature to integrate game theory aspects, i. e. strategic financial decisions of the agents, into the continuous time framework. This is the unique contribution of the thesis of Dr. Alexandre Ziegler. Benefiting from the analytical tractability of contin uous time models and the closed form valuation models for derivatives, Dr.

Econometric Analysis of Financial Markets

Author : Jürgen Kaehler
Publisher : Springer Science & Business Media
ISBN 13 : 3642486665
Total Pages : 232 pages
Book Rating : 4.6/5 (424 download)

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Book Synopsis Econometric Analysis of Financial Markets by : Jürgen Kaehler

Download or read book Econometric Analysis of Financial Markets written by Jürgen Kaehler and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of papers represents the state of the art in the applicationof recent econometric methods to the analysis of financial markets. From a methodological point of view the main emphasis is on cointegration analysis and ARCH modelling. In cointegration analysis the links between long-runcomponents of time series are studied. The methods used can be applied to the determination of equilibrium relationships between the variables, whereas ARCH models are concerned with the measurement and analysis of changing variances in time series. These econometric models have been the most significant innovations for the empirical analysis of financial time series in recent years. Other econometric methods and models applied in the papers include factor analysis, vector autoregressions, and Markov-switching models. The papers cover a wide range of issues and theories in financial and international economics: the term structure ofinterest rates, exchange-rate determination, target-zone dynamics, stock-market efficiency, and option pricing.

Analysis of Financial Time Series

Author : Ruey S. Tsay
Publisher : John Wiley & Sons
ISBN 13 : 0471746185
Total Pages : 576 pages
Book Rating : 4.4/5 (717 download)

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Book Synopsis Analysis of Financial Time Series by : Ruey S. Tsay

Download or read book Analysis of Financial Time Series written by Ruey S. Tsay and published by John Wiley & Sons. This book was released on 2005-09-15 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides statistical tools and techniques needed to understandtoday's financial markets The Second Edition of this critically acclaimed text provides acomprehensive and systematic introduction to financial econometricmodels and their applications in modeling and predicting financialtime series data. This latest edition continues to emphasizeempirical financial data and focuses on real-world examples.Following this approach, readers will master key aspects offinancial time series, including volatility modeling, neuralnetwork applications, market microstructure and high-frequencyfinancial data, continuous-time models and Ito's Lemma, Value atRisk, multiple returns analysis, financial factor models, andeconometric modeling via computation-intensive methods. The author begins with the basic characteristics of financialtime series data, setting the foundation for the three maintopics: Analysis and application of univariate financial timeseries Return series of multiple assets Bayesian inference in finance methods This new edition is a thoroughly revised and updated text,including the addition of S-Plus® commands and illustrations.Exercises have been thoroughly updated and expanded and include themost current data, providing readers with more opportunities to putthe models and methods into practice. Among the new material addedto the text, readers will find: Consistent covariance estimation under heteroscedasticity andserial correlation Alternative approaches to volatility modeling Financial factor models State-space models Kalman filtering Estimation of stochastic diffusion models The tools provided in this text aid readers in developing adeeper understanding of financial markets through firsthandexperience in working with financial data. This is an idealtextbook for MBA students as well as a reference for researchersand professionals in business and finance.

Computational Intelligence Applications to Option Pricing, Volatility Forecasting and Value at Risk

Author : Fahed Mostafa
Publisher : Springer
ISBN 13 : 331951668X
Total Pages : 177 pages
Book Rating : 4.3/5 (195 download)

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Book Synopsis Computational Intelligence Applications to Option Pricing, Volatility Forecasting and Value at Risk by : Fahed Mostafa

Download or read book Computational Intelligence Applications to Option Pricing, Volatility Forecasting and Value at Risk written by Fahed Mostafa and published by Springer. This book was released on 2017-02-28 with total page 177 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book demonstrates the power of neural networks in learning complex behavior from the underlying financial time series data. The results presented also show how neural networks can successfully be applied to volatility modeling, option pricing, and value-at-risk modeling. These features mean that they can be applied to market-risk problems to overcome classic problems associated with statistical models.