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Modern Sabr Analytics
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Book Synopsis Modern SABR Analytics by : Alexandre Antonov
Download or read book Modern SABR Analytics written by Alexandre Antonov and published by Springer. This book was released on 2019-04-23 with total page 127 pages. Available in PDF, EPUB and Kindle. Book excerpt: Focusing on recent advances in option pricing under the SABR model, this book shows how to price options under this model in an arbitrage-free, theoretically consistent manner. It extends SABR to a negative rates environment, and shows how to generalize it to a similar model with additional degrees of freedom, allowing simultaneous model calibration to swaptions and CMSs. Since the SABR model is used on practically every trading floor to construct interest rate options volatility cubes in an arbitrage-free manner, a careful treatment of it is extremely important. The book will be of interest to experienced industry practitioners, as well as to students and professors in academia. Aimed mainly at financial industry practitioners (for example quants and former physicists) this book will also be interesting to mathematicians who seek intuition in the mathematical finance.
Book Synopsis Perturbation Methods in Credit Derivatives by : Colin Turfus
Download or read book Perturbation Methods in Credit Derivatives written by Colin Turfus and published by John Wiley & Sons. This book was released on 2021-03-15 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stress-test financial models and price credit instruments with confidence and efficiency using the perturbation approach taught in this expert volume Perturbation Methods in Credit Derivatives: Strategies for Efficient Risk Management offers an incisive examination of a new approach to pricing credit-contingent financial instruments. Author and experienced financial engineer Dr. Colin Turfus has created an approach that allows model validators to perform rapid benchmarking of risk and pricing models while making the most efficient use possible of computing resources. The book provides innumerable benefits to a wide range of quantitative financial experts attempting to comply with increasingly burdensome regulatory stress-testing requirements, including: Replacing time-consuming Monte Carlo simulations with faster, simpler pricing algorithms for front-office quants Allowing CVA quants to quantify the impact of counterparty risk, including wrong-way correlation risk, more efficiently Developing more efficient algorithms for generating stress scenarios for market risk quants Obtaining more intuitive analytic pricing formulae which offer a clearer intuition of the important relationships among market parameters, modelling assumptions and trade/portfolio characteristics for traders The methods comprehensively taught in Perturbation Methods in Credit Derivatives also apply to CVA/DVA calculations and contingent credit default swap pricing.
Book Synopsis Stochastic Numerics for Mathematical Physics by : Grigori N. Milstein
Download or read book Stochastic Numerics for Mathematical Physics written by Grigori N. Milstein and published by Springer Nature. This book was released on 2021-12-03 with total page 754 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a substantially revised and expanded edition reflecting major developments in stochastic numerics since the first edition was published in 2004. The new topics, in particular, include mean-square and weak approximations in the case of nonglobally Lipschitz coefficients of Stochastic Differential Equations (SDEs) including the concept of rejecting trajectories; conditional probabilistic representations and their application to practical variance reduction using regression methods; multi-level Monte Carlo method; computing ergodic limits and additional classes of geometric integrators used in molecular dynamics; numerical methods for FBSDEs; approximation of parabolic SPDEs and nonlinear filtering problem based on the method of characteristics. SDEs have many applications in the natural sciences and in finance. Besides, the employment of probabilistic representations together with the Monte Carlo technique allows us to reduce the solution of multi-dimensional problems for partial differential equations to the integration of stochastic equations. This approach leads to powerful computational mathematics that is presented in the treatise. Many special schemes for SDEs are presented. In the second part of the book numerical methods for solving complicated problems for partial differential equations occurring in practical applications, both linear and nonlinear, are constructed. All the methods are presented with proofs and hence founded on rigorous reasoning, thus giving the book textbook potential. An overwhelming majority of the methods are accompanied by the corresponding numerical algorithms which are ready for implementation in practice. The book addresses researchers and graduate students in numerical analysis, applied probability, physics, chemistry, and engineering as well as mathematical biology and financial mathematics.
Book Synopsis Stochastic Exponential Growth and Lattice Gases by : Dan Pirjol
Download or read book Stochastic Exponential Growth and Lattice Gases written by Dan Pirjol and published by Springer Nature. This book was released on 2022-09-01 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book discusses a class of discrete time stochastic growth processes for which the growth rate is proportional to the exponential of a Gaussian Markov process. These growth processes appear naturally in problems of mathematical finance as discrete time approximations of stochastic volatility models and stochastic interest rates models such as the Black-Derman-Toy and Black-Karasinski models. These processes can be mapped to interacting one-dimensional lattice gases with long-range interactions. The book gives a detailed discussion of these statistical mechanics models, including new results not available in the literature, and their implication for the stochastic growth models. The statistical mechanics analogy is used to understand observed non-analytic dependence of the Lyapunov exponents of the stochastic growth processes considered, which is related to phase transitions in the lattice gas system. The theoretical results are applied to simulations of financial models and are illustrated with Mathematica code. The book includes a general introduction to exponential stochastic growth with examples from biology, population dynamics and finance. The presentation does not assume knowledge of mathematical finance. The new results on lattice gases can be read independently of the rest of the book. The book should be useful to practitioners and academics studying the simulation and application of stochastic growth models.
Book Synopsis SABR and SABR LIBOR Market Models in Practice by : Christian Crispoldi
Download or read book SABR and SABR LIBOR Market Models in Practice written by Christian Crispoldi and published by Springer. This book was released on 2016-04-29 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt: Interest rate traders have been using the SABR model to price vanilla products for more than a decade. However this model suffers however from a severe limitation: its inability to value exotic products. A term structure model à la LIBOR Market Model (LMM) is often employed to value these more complex derivatives, however the LMM is unable to capture the volatility smile. A joint SABR LIBOR Market Model is the natural evolution towards a consistent pricing of vanilla and exotic products. Knowledge of these models is essential to all aspiring interest rate quants, traders and risk managers, as well an understanding of their failings and alternatives. SABR and SABR Libor Market Models in Practice is an accessible guide to modern interest rate modelling. Rather than covering an array of models which are seldom used in practice, it focuses on the SABR model, the market standard for vanilla products, the LIBOR Market Model, the most commonly used model for exotic products and the extended SABR LIBOR Market Model. The book takes a hands-on approach, demonstrating simply how to implement and work with these models in a market setting. It bridges the gap between the understanding of the models from a conceptual and mathematical perspective and the actual implementation by supplementing the interest rate theory with modelling specific, practical code examples written in Python.
Book Synopsis Contemporary Sport Management by : Paul M. Pedersen
Download or read book Contemporary Sport Management written by Paul M. Pedersen and published by Human Kinetics. This book was released on 2021-08-04 with total page 537 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Short, factual description of the book (summary of what it includes, without subjective or promotional language.) This classic but thoroughly updated introductory text is designed so students will understand sport management as a field of study and a vibrant professional environment. It emphasizes critical-thinking, ethics, and diversity while providing a broad introduction to the major functional areas and issues that student will encounter in their careers"--
Book Synopsis The New Bill James Historical Baseball Abstract by : Bill James
Download or read book The New Bill James Historical Baseball Abstract written by Bill James and published by Simon and Schuster. This book was released on 2010-05-11 with total page 1026 pages. Available in PDF, EPUB and Kindle. Book excerpt: When Bill James published his original Historical Baseball Abstract in 1985, he produced an immediate classic, hailed by the Chicago Tribune as the “holy book of baseball.” Now, baseball's beloved “Sultan of Stats” (The Boston Globe) is back with a fully revised and updated edition for the new millennium. Like the original, The New Bill James Historical Baseball Abstract is really several books in one. The Game provides a century's worth of American baseball history, told one decade at a time, with energetic facts and figures about How, Where, and by Whom the game was played. In The Players, you'll find listings of the top 100 players at each position in the major leagues, along with James's signature stats-based ratings method called “Win Shares,” a way of quantifying individual performance and calculating the offensive and defensive contributions of catchers, pitchers, infielders, and outfielders. And there's more: the Reference section covers Win Shares for each season and each player, and even offers a Win Share team comparison. A must-have for baseball fans and historians alike, The New Bill James Historical Baseball Abstract is as essential, entertaining, and enlightening as the sport itself.
Book Synopsis Principles and Practice of Sport Management by : Lisa Pike Masteralexis
Download or read book Principles and Practice of Sport Management written by Lisa Pike Masteralexis and published by Jones & Bartlett Learning. This book was released on 2023-06-30 with total page 553 pages. Available in PDF, EPUB and Kindle. Book excerpt: Updated and revised with the latest data in the field, Principles and Practice of Sport Management, Seventh Edition provides students with the foundation they need to prepare for a variety of sport management careers. Offering an overview of the sport industry and coverage of the foundational knowledge and skills of the today's sport manager, this market leading text ensures that readers not only understand this dynamic field but have the tools and skills they need to pursue potential employment and career opportunitiesOffering an overview of the sport industry and coverage of the foundational knowledge and skills of the today's sport manager, this market leading text ensures that readers not only understand this dynamic field but have the tools and skills they need to pursue potential employment and career opportunities. Key Features: - New chapter on eSports introduces students to this rapidly developing billion-dollar industry which draws in gamers, spectators, teams, leagues, and sponsors increasingly in need of sport managers' expertise - Discussion on the impact of the COVID-19 pandemic on the sports industry - An expanded look at emerging and innovative forms of sports media in the Sports Communications Chapter. - Revamped Ethics chapter that addresses newly emerging issues and how sports managers should address them. - Interactive case studies and chapter questions offer opportunities to apply concepts and principles. - Student Workbook! This 190-page workbook within the Navigate Advantage includes activities for each chapter for additional practice and reinforcement. - Navigate Advantage Access (included with the printed text) unlocks a comprehensive and interactive eBook, a 190-page digital workbook with practice activities for each chapter, assessments, a full suite of instructor resources, and learning analytics reporting tools. - Unparalleled in instructor resources, including test banks, presentation slides, answer keys to case study questions, and more help facilitate class preparation.
Book Synopsis Big Data Baseball by : Travis Sawchik
Download or read book Big Data Baseball written by Travis Sawchik and published by Macmillan. This book was released on 2015-05-19 with total page 255 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Pittsburgh Pirates manager Clint Hurdle was old school and stubborn. But after twenty straight losing seasons and his job on the line, he was ready to try anything. So when he met with GM Neal Huntington in October 2012, they decided to discard everything they knew about the game and instead take on drastic 'big data' strategies. Going well beyond the number-crunching of Moneyball, which used statistics found on the back of baseball cards to identify market inefficiencies, the data the Pirates employed was not easily observable. They collected millions of data points on pitches and balls in play, creating a tome of reports that revealed key insights for how to win more games without spending a dime"--
Book Synopsis Moneyball: The Art of Winning an Unfair Game by : Michael Lewis
Download or read book Moneyball: The Art of Winning an Unfair Game written by Michael Lewis and published by W. W. Norton & Company. This book was released on 2004-03-17 with total page 337 pages. Available in PDF, EPUB and Kindle. Book excerpt: Michael Lewis’s instant classic may be “the most influential book on sports ever written” (People), but “you need know absolutely nothing about baseball to appreciate the wit, snap, economy and incisiveness of [Lewis’s] thoughts about it” (Janet Maslin, New York Times). One of GQ's 50 Best Books of Literary Journalism of the 21st Century Just before the 2002 season opens, the Oakland Athletics must relinquish its three most prominent (and expensive) players and is written off by just about everyone—but then comes roaring back to challenge the American League record for consecutive wins. How did one of the poorest teams in baseball win so many games? In a quest to discover the answer, Michael Lewis delivers not only “the single most influential baseball book ever” (Rob Neyer, Slate) but also what “may be the best book ever written on business” (Weekly Standard). Lewis first looks to all the logical places—the front offices of major league teams, the coaches, the minds of brilliant players—but discovers the real jackpot is a cache of numbers?numbers!?collected over the years by a strange brotherhood of amateur baseball enthusiasts: software engineers, statisticians, Wall Street analysts, lawyers, and physics professors. What these numbers prove is that the traditional yardsticks of success for players and teams are fatally flawed. Even the box score misleads us by ignoring the crucial importance of the humble base-on-balls. This information had been around for years, and nobody inside Major League Baseball paid it any mind. And then came Billy Beane, general manager of the Oakland Athletics. He paid attention to those numbers?with the second-lowest payroll in baseball at his disposal he had to?to conduct an astonishing experiment in finding and fielding a team that nobody else wanted. In a narrative full of fabulous characters and brilliant excursions into the unexpected, Michael Lewis shows us how and why the new baseball knowledge works. He also sets up a sly and hilarious morality tale: Big Money, like Goliath, is always supposed to win . . . how can we not cheer for David?
Book Synopsis Understanding Sabermetrics by : Gabriel B. Costa
Download or read book Understanding Sabermetrics written by Gabriel B. Costa and published by McFarland. This book was released on 2019-06-05 with total page 221 pages. Available in PDF, EPUB and Kindle. Book excerpt: Interest in Sabermetrics has increased dramatically in recent years as the need to better compare baseball players has intensified among managers, agents and fans, and even other players. The authors explain how traditional measures--such as Earned Run Average, Slugging Percentage, and Fielding Percentage--along with new statistics--Wins Above Average, Fielding Independent Pitching, Wins Above Replacement, the Equivalence Coefficient and others--define the value of players. Actual player statistics are used in developing models, while examples and exercises are provided in each chapter. This book serves as a guide for both beginners and those who wish to be successful in fantasy leagues.
Book Synopsis The Sabermetric Revolution by : Benjamin Baumer
Download or read book The Sabermetric Revolution written by Benjamin Baumer and published by University of Pennsylvania Press. This book was released on 2014-01-23 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: The authors look at the history of statistical analysis in baseball, how it can best be used today and how its it must evolve for the future.
Download or read book SABR 50 at 50 written by Bill Nowlin and published by University of Nebraska Press. This book was released on 2020-09-01 with total page 626 pages. Available in PDF, EPUB and Kindle. Book excerpt: SABR 50 at 50 celebrates and highlights the Society for American Baseball Research’s wide-ranging contributions to baseball history. Established in 1971 in Cooperstown, New York, SABR has sought to foster and disseminate the research of baseball—with groundbreaking work from statisticians, historians, and independent researchers—and has published dozens of articles with far-reaching and long-lasting impact on the game. Among its current membership are many Major and Minor League Baseball officials, broadcasters, and writers as well as numerous former players. The diversity of SABR members’ interests is reflected in this fiftieth-anniversary volume—from baseball and the arts to statistical analysis to the Deadball Era to women in baseball. SABR 50 at 50 includes the most important and influential research published by members across a multitude of topics, including the sabermetric work of Dick Cramer, Pete Palmer, and Bill James, along with Jerry Malloy on the Negro Leagues, Keith Olbermann on why the shortstop position is number 6, John Thorn and Jules Tygiel on the untold story behind Jackie Robinson’s signing with the Dodgers, and Gai Berlage on the Colorado Silver Bullets women’s team in the 1990s. To provide history and context, each notable research article is accompanied by a short introduction. As SABR celebrates fifty years this collection gathers the organization’s most notable research and baseball history for the serious baseball reader.
Book Synopsis The Hidden Game of Baseball by : John Thorn
Download or read book The Hidden Game of Baseball written by John Thorn and published by University of Chicago Press. This book was released on 2015-03-20 with total page 453 pages. Available in PDF, EPUB and Kindle. Book excerpt: The acclaimed classic on the statistical analysis of baseball records in order to evaluate players and win more games. Long before Moneyball became a sensation or Nate Silver turned the knowledge he’d honed on baseball into electoral gold, John Thorn and Pete Palmer were using statistics to shake the foundations of the game. First published in 1984, The Hidden Game of Baseball ushered in the sabermetric revolution by demonstrating that we were thinking about baseball stats—and thus the game itself—all wrong. Instead of praising sluggers for gaudy RBI totals or pitchers for wins, Thorn and Palmer argued in favor of more subtle measurements that correlated much more closely to the ultimate goal: winning baseball games. The new gospel promulgated by Thorn and Palmer opened the door for a flood of new questions, such as how a ballpark’s layout helps or hinders offense or whether a strikeout really is worse than another kind of out. Taking questions like these seriously—and backing up the answers with data—launched a new era, showing fans, journalists, scouts, executives, and even players themselves a new, better way to look at the game. This brand-new edition retains the body of the original, with its rich, accessible analysis rooted in a deep love of baseball, while adding a new introduction by the authors tracing the book’s influence over the years. A foreword by ESPN’s lead baseball analyst, Keith Law, details The Hidden Game’s central role in the transformation of baseball coverage and team management and shows how teams continue to reap the benefits of Thorn and Palmer’s insights today. Thirty years after its original publication, The Hidden Game is still bringing the high heat—a true classic of baseball literature. Praise for The Hidden Game “As grateful as I was for the publication of The Hidden Game of Baseball when it first showed up on my bookshelf, I’m even more grateful now. It’s as insightful today as it was then. And it’s a reminder that we haven’t applauded Thorn and Palmer nearly loudly enough for their incredible contributions to the use and understanding of the awesome numbers of baseball.” —Jayson Stark, senior baseball writer, ESPN.com “Just as one cannot know the great American novel without Twain and Hemingway, one cannot know modern baseball analysis without Thorn and Palmer.” —Rob Neyer, FOX Sports
Book Synopsis Practicing Sabermetrics by : Gabriel B. Costa
Download or read book Practicing Sabermetrics written by Gabriel B. Costa and published by McFarland. This book was released on 2009-10-21 with total page 241 pages. Available in PDF, EPUB and Kindle. Book excerpt: The past 30 years have seen an explosion in the number and variety of baseball books and articles. Following the lead of pioneers Bill James, John Thorn, and Pete Palmer, researchers have steadily challenged the ways we think about player and team performance--and along the way revised what we thought we knew of baseball history. This book by the authors of Understanding Sabermetrics (2008) goes beyond the explanation of new statistics to demonstrate their use in solving some of the more familiar problems of baseball research, such as how to compare players across generations; how to account for the effects of ballparks and rules changes; and how to measure the effectiveness of the sacrifice bunt or the range of the Gold Glove-winning shortstop. Instructors considering this book for use in a course may request an examination copy here.
Book Synopsis Routledge Handbook of Sport Communication by : PaulM. Pedersen
Download or read book Routledge Handbook of Sport Communication written by PaulM. Pedersen and published by Routledge. This book was released on 2017-07-05 with total page 722 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Routledge Handbook of Sport Communication is the only book to offer a fully comprehensive and in-depth survey of the contemporary discipline of sport communication. It explores communication within, through, and for sport in all its theoretical, conceptual, cultural, behavioral, practical and managerial aspects, tracing the contours of this expansive, transdisciplinary and international discipline and demonstrating that there are few aspects of contemporary sport that don?t rely on effective communications.Including contributions from leading sport media and communications scholars and professionals from around the world, the book examines emerging (new and social) media, traditional (print, broadcast and screen) media, sociological themes in communication in sport, and management issues, at every level, from the interpersonal to communication within and between sport organisations and global institutions. Taking stock of current research, new ideas and key issues, this book is an essential reference for any advanced student, researcher or practitioner with an interest in sport communication, sport business, sport management, sport marketing, communication theory, journalism, or media studies.
Book Synopsis Financial Modelling by : Joerg Kienitz
Download or read book Financial Modelling written by Joerg Kienitz and published by John Wiley & Sons. This book was released on 2013-02-18 with total page 736 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial modelling Theory, Implementation and Practice with MATLAB Source Jörg Kienitz and Daniel Wetterau Financial Modelling - Theory, Implementation and Practice with MATLAB Source is a unique combination of quantitative techniques, the application to financial problems and programming using Matlab. The book enables the reader to model, design and implement a wide range of financial models for derivatives pricing and asset allocation, providing practitioners with complete financial modelling workflow, from model choice, deriving prices and Greeks using (semi-) analytic and simulation techniques, and calibration even for exotic options. The book is split into three parts. The first part considers financial markets in general and looks at the complex models needed to handle observed structures, reviewing models based on diffusions including stochastic-local volatility models and (pure) jump processes. It shows the possible risk-neutral densities, implied volatility surfaces, option pricing and typical paths for a variety of models including SABR, Heston, Bates, Bates-Hull-White, Displaced-Heston, or stochastic volatility versions of Variance Gamma, respectively Normal Inverse Gaussian models and finally, multi-dimensional models. The stochastic-local-volatility Libor market model with time-dependent parameters is considered and as an application how to price and risk-manage CMS spread products is demonstrated. The second part of the book deals with numerical methods which enables the reader to use the models of the first part for pricing and risk management, covering methods based on direct integration and Fourier transforms, and detailing the implementation of the COS, CONV, Carr-Madan method or Fourier-Space-Time Stepping. This is applied to pricing of European, Bermudan and exotic options as well as the calculation of the Greeks. The Monte Carlo simulation technique is outlined and bridge sampling is discussed in a Gaussian setting and for Lévy processes. Computation of Greeks is covered using likelihood ratio methods and adjoint techniques. A chapter on state-of-the-art optimization algorithms rounds up the toolkit for applying advanced mathematical models to financial problems and the last chapter in this section of the book also serves as an introduction to model risk. The third part is devoted to the usage of Matlab, introducing the software package by describing the basic functions applied for financial engineering. The programming is approached from an object-oriented perspective with examples to propose a framework for calibration, hedging and the adjoint method for calculating Greeks in a Libor market model. Source code used for producing the results and analysing the models is provided on the author's dedicated website, http://www.mathworks.de/matlabcentral/fileexchange/authors/246981.
