Option Pricing With Regime Switching

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Stochastic Theory and Control

Author : Bozenna Pasik-Duncan
Publisher : Springer Science & Business Media
ISBN 13 : 3540437770
Total Pages : 563 pages
Book Rating : 4.5/5 (44 download)

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Book Synopsis Stochastic Theory and Control by : Bozenna Pasik-Duncan

Download or read book Stochastic Theory and Control written by Bozenna Pasik-Duncan and published by Springer Science & Business Media. This book was released on 2002-07-24 with total page 563 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains almost all of the papers that were presented at the Workshop on Stochastic Theory and Control that was held at the Univ- sity of Kansas, 18–20 October 2001. This three-day event gathered a group of leading scholars in the ?eld of stochastic theory and control to discuss leading-edge topics of stochastic control, which include risk sensitive control, adaptive control, mathematics of ?nance, estimation, identi?cation, optimal control, nonlinear ?ltering, stochastic di?erential equations, stochastic p- tial di?erential equations, and stochastic theory and its applications. The workshop provided an opportunity for many stochastic control researchers to network and discuss cutting-edge technologies and applications, teaching and future directions of stochastic control. Furthermore, the workshop focused on promoting control theory, in particular stochastic control, and it promoted collaborative initiatives in stochastic theory and control and stochastic c- trol education. The lecture on “Adaptation of Real-Time Seizure Detection Algorithm” was videotaped by the PBS. Participants of the workshop have been involved in contributing to the documentary being ?lmed by PBS which highlights the extraordinary work on “Math, Medicine and the Mind: Discovering Tre- ments for Epilepsy” that examines the e?orts of the multidisciplinary team on which several of the participants of the workshop have been working for many years to solve one of the world’s most dramatic neurological conditions. Invited high school teachers of Math and Science were among the part- ipants of this professional meeting.

Stochastic Analysis, Stochastic Systems, and Applications to Finance

Author : Allanus Hak-Man Tsoi
Publisher : World Scientific
ISBN 13 : 9814355712
Total Pages : 274 pages
Book Rating : 4.8/5 (143 download)

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Book Synopsis Stochastic Analysis, Stochastic Systems, and Applications to Finance by : Allanus Hak-Man Tsoi

Download or read book Stochastic Analysis, Stochastic Systems, and Applications to Finance written by Allanus Hak-Man Tsoi and published by World Scientific. This book was released on 2011 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt: Pt. I. Stochastic analysis and systems. 1. Multidimensional Wick-Ito formula for Gaussian processes / D. Nualart and S. Ortiz-Latorre. 2. Fractional white noise multiplication / A.H. Tsoi. 3. Invariance principle of regime-switching diffusions / C. Zhu and G. Yin -- pt. II. Finance and stochastics. 4. Real options and competition / A. Bensoussan, J.D. Diltz and S.R. Hoe. 5. Finding expectations of monotone functions of binary random variables by simulation, with applications to reliability, finance, and round robin tournaments / M. Brown, E.A. Pekoz and S.M. Ross. 6. Filtering with counting process observations and other factors : applications to bond price tick data / X. Hu, D.R. Kuipers and Y. Zeng. 7. Jump bond markets some steps towards general models in applications to hedging and utility problems / M. Kohlmann and D. Xiong. 8. Recombining tree for regime-switching model : algorithm and weak convergence / R.H. Liu. 9. Optimal reinsurance under a jump diffusion model / S. Luo. 10. Applications of counting processes and martingales in survival analysis / J. Sun. 11. Stochastic algorithms and numerics for mean-reverting asset trading / Q. Zhang, C. Zhuang and G. Yin

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.

Modeling, Stochastic Control, Optimization, and Applications

Author : George Yin
Publisher : Springer
ISBN 13 : 3030254984
Total Pages : 593 pages
Book Rating : 4.0/5 (32 download)

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Book Synopsis Modeling, Stochastic Control, Optimization, and Applications by : George Yin

Download or read book Modeling, Stochastic Control, Optimization, and Applications written by George Yin and published by Springer. This book was released on 2019-07-16 with total page 593 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume collects papers, based on invited talks given at the IMA workshop in Modeling, Stochastic Control, Optimization, and Related Applications, held at the Institute for Mathematics and Its Applications, University of Minnesota, during May and June, 2018. There were four week-long workshops during the conference. They are (1) stochastic control, computation methods, and applications, (2) queueing theory and networked systems, (3) ecological and biological applications, and (4) finance and economics applications. For broader impacts, researchers from different fields covering both theoretically oriented and application intensive areas were invited to participate in the conference. It brought together researchers from multi-disciplinary communities in applied mathematics, applied probability, engineering, biology, ecology, and networked science, to review, and substantially update most recent progress. As an archive, this volume presents some of the highlights of the workshops, and collect papers covering a broad range of topics.

Fat-Tailed and Skewed Asset Return Distributions

Author : Svetlozar T. Rachev
Publisher : John Wiley & Sons
ISBN 13 : 0471758906
Total Pages : 385 pages
Book Rating : 4.4/5 (717 download)

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Book Synopsis Fat-Tailed and Skewed Asset Return Distributions by : Svetlozar T. Rachev

Download or read book Fat-Tailed and Skewed Asset Return Distributions written by Svetlozar T. Rachev and published by John Wiley & Sons. This book was released on 2005-09-15 with total page 385 pages. Available in PDF, EPUB and Kindle. Book excerpt: While mainstream financial theories and applications assume that asset returns are normally distributed, overwhelming empirical evidence shows otherwise. Yet many professionals don’t appreciate the highly statistical models that take this empirical evidence into consideration. Fat-Tailed and Skewed Asset Return Distributions examines this dilemma and offers readers a less technical look at how portfolio selection, risk management, and option pricing modeling should and can be undertaken when the assumption of a non-normal distribution for asset returns is violated. Topics covered in this comprehensive book include an extensive discussion of probability distributions, estimating probability distributions, portfolio selection, alternative risk measures, and much more. Fat-Tailed and Skewed Asset Return Distributions provides a bridge between the highly technical theory of statistical distributional analysis, stochastic processes, and econometrics of financial returns and real-world risk management and investments.

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.

Stochastic Processes, Finance And Control: A Festschrift In Honor Of Robert J Elliott

Author : Samuel N Cohen
Publisher : World Scientific
ISBN 13 : 9814483915
Total Pages : 605 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis Stochastic Processes, Finance And Control: A Festschrift In Honor Of Robert J Elliott by : Samuel N Cohen

Download or read book Stochastic Processes, Finance And Control: A Festschrift In Honor Of Robert J Elliott written by Samuel N Cohen and published by World Scientific. This book was released on 2012-08-10 with total page 605 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering. Paper contributors include colleagues, collaborators and former students of Robert Elliott, many of whom are world-leading experts and have made fundamental and significant contributions to these areas.This book provides new important insights and results by eminent researchers in the considered areas, which will be of interest to researchers and practitioners. The topics considered will be diverse in applications, and will provide contemporary approaches to the problems considered. The areas considered are rapidly evolving. This volume will contribute to their development, and present the current state-of-the-art stochastic processes, analysis, filtering and control.Contributing authors include: H Albrecher, T Bielecki, F Dufour, M Jeanblanc, I Karatzas, H-H Kuo, A Melnikov, E Platen, G Yin, Q Zhang, C Chiarella, W Fleming, D Madan, R Mamon, J Yan, V Krishnamurthy.

Ruin Probabilities

Author : S?ren Asmussen
Publisher : World Scientific
ISBN 13 : 9814282529
Total Pages : 621 pages
Book Rating : 4.8/5 (142 download)

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Book Synopsis Ruin Probabilities by : S?ren Asmussen

Download or read book Ruin Probabilities written by S?ren Asmussen and published by World Scientific. This book was released on 2010 with total page 621 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramr?Lundberg approximation, exact solutions, other approximations (e.g., for heavy-tailed claim size distributions), finite horizon ruin probabilities, extensions of the classical compound Poisson model to allow for reserve-dependent premiums, Markov-modulation, periodicity, change of measure techniques, phase-type distributions as a computational vehicle and the connection to other applied probability areas, like queueing theory. In this substantially updated and extended second version, new topics include stochastic control, fluctuation theory for Levy processes, Gerber?Shiu functions and dependence.

The Black-Scholes Model

Author : Marek Capiński
Publisher : Cambridge University Press
ISBN 13 : 1107001692
Total Pages : 179 pages
Book Rating : 4.1/5 (7 download)

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Book Synopsis The Black-Scholes Model by : Marek Capiński

Download or read book The Black-Scholes Model written by Marek Capiński and published by Cambridge University Press. This book was released on 2012-09-13 with total page 179 pages. Available in PDF, EPUB and Kindle. Book excerpt: Master the essential mathematical tools required for option pricing within the context of a specific, yet fundamental, pricing model.

Asymptotic Methods in the Theory of Stochastic Differential Equations

Author : A. V. Skorokhod
Publisher : American Mathematical Soc.
ISBN 13 : 9780821898253
Total Pages : 362 pages
Book Rating : 4.8/5 (982 download)

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Book Synopsis Asymptotic Methods in the Theory of Stochastic Differential Equations by : A. V. Skorokhod

Download or read book Asymptotic Methods in the Theory of Stochastic Differential Equations written by A. V. Skorokhod and published by American Mathematical Soc.. This book was released on 2009-01-07 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt: Ergodic theorems: General ergodic theorems Densities for transition probabilities and resolvents for Markov solutions of stochastic differential equations Ergodic theorems for one-dimensional stochastic equations Ergodic theorems for solutions of stochastic equations in $R^d$ Asymptotic behavior of systems of stochastic equations containing a small parameter: Equations with a small right-hand side Processes with rapid switching Averaging over variables for systems of stochastic differential equations Stability. Linear systems: Stability of sample paths of homogeneous Markov processes Linear equations in $R^d$ and the stochastic semigroups connected with them. Stability Stability of solutions of stochastic differential equations Linear stochastic equations in Hilbert space. Stochastic semigroups. Stability: Linear equations with bounded coefficients Strong stochastic semigroups with second moments Stability Bibliography

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.

Detecting Regime Change in Computational Finance

Author : Jun Chen
Publisher : CRC Press
ISBN 13 : 1000220168
Total Pages : 165 pages
Book Rating : 4.0/5 (2 download)

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Book Synopsis Detecting Regime Change in Computational Finance by : Jun Chen

Download or read book Detecting Regime Change in Computational Finance written by Jun Chen and published by CRC Press. This book was released on 2020-09-14 with total page 165 pages. Available in PDF, EPUB and Kindle. Book excerpt: Based on interdisciplinary research into "Directional Change", a new data-driven approach to financial data analysis, Detecting Regime Change in Computational Finance: Data Science, Machine Learning and Algorithmic Trading applies machine learning to financial market monitoring and algorithmic trading. Directional Change is a new way of summarising price changes in the market. Instead of sampling prices at fixed intervals (such as daily closing in time series), it samples prices when the market changes direction ("zigzags"). By sampling data in a different way, this book lays out concepts which enable the extraction of information that other market participants may not be able to see. The book includes a Foreword by Richard Olsen and explores the following topics: Data science: as an alternative to time series, price movements in a market can be summarised as directional changes Machine learning for regime change detection: historical regime changes in a market can be discovered by a Hidden Markov Model Regime characterisation: normal and abnormal regimes in historical data can be characterised using indicators defined under Directional Change Market Monitoring: by using historical characteristics of normal and abnormal regimes, one can monitor the market to detect whether the market regime has changed Algorithmic trading: regime tracking information can help us to design trading algorithms It will be of great interest to researchers in computational finance, machine learning and data science. About the Authors Jun Chen received his PhD in computational finance from the Centre for Computational Finance and Economic Agents, University of Essex in 2019. Edward P K Tsang is an Emeritus Professor at the University of Essex, where he co-founded the Centre for Computational Finance and Economic Agents in 2002.

Multifractal Volatility

$Download Multifractal Volatility PDF Online Free$

Author : Laurent E. Calvet
Publisher : Academic Press
ISBN 13 : 0080559964
Total Pages : 273 pages
Book Rating : 4.0/5 (85 download)

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Book Synopsis Multifractal Volatility by : Laurent E. Calvet

Download or read book Multifractal Volatility written by Laurent E. Calvet and published by Academic Press. This book was released on 2008-10-13 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: Calvet and Fisher present a powerful, new technique for volatility forecasting that draws on insights from the use of multifractals in the natural sciences and mathematics and provides a unified treatment of the use of multifractal techniques in finance. A large existing literature (e.g., Engle, 1982; Rossi, 1995) models volatility as an average of past shocks, possibly with a noise component. This approach often has difficulty capturing sharp discontinuities and large changes in financial volatility. Their research has shown the advantages of modelling volatility as subject to abrupt regime changes of heterogeneous durations. Using the intuition that some economic phenomena are long-lasting while others are more transient, they permit regimes to have varying degrees of persistence. By drawing on insights from the use of multifractals in the natural sciences and mathematics, they show how to construct high-dimensional regime-switching models that are easy to estimate, and substantially outperform some of the best traditional forecasting models such as GARCH. The goal of Multifractal Volatility is to popularize the approach by presenting these exciting new developments to a wider audience. They emphasize both theoretical and empirical applications, beginning with a style that is easily accessible and intuitive in early chapters, and extending to the most rigorous continuous-time and equilibrium pricing formulations in final chapters. - Presents a powerful new technique for forecasting volatility - Leads the reader intuitively from existing volatility techniques to the frontier of research in this field by top scholars at major universities - The first comprehensive book on multifractal techniques in finance, a cutting-edge field of research

Cme Vulnerability, The: The Impact Of Negative Oil Futures Trading

Author : George Xianzhi Yuan
Publisher : World Scientific
ISBN 13 : 9811223211
Total Pages : 274 pages
Book Rating : 4.8/5 (112 download)

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Book Synopsis Cme Vulnerability, The: The Impact Of Negative Oil Futures Trading by : George Xianzhi Yuan

Download or read book Cme Vulnerability, The: The Impact Of Negative Oil Futures Trading written by George Xianzhi Yuan and published by World Scientific. This book was released on 2020-10-23 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt: In 2020, the global lockdowns caused by the COVID-19, or coronavirus, pandemic had resulted in a sharp drop in demand for crude oil. This impact was so severe that on April 8, 2020, a proposal to update the Chicago Mercantile Exchange Holdings Inc. (CME) trading rule to permit negative prices was applied to CME's WTI Oil futures contracts; this led to a novel phenomenon in which the closing clearing price of WTI Oil May future was $-37.63/barrel based on fewer than 400 contracts' trading volume in the last three minutes, reflecting less than 0.2% of the total trading contracts volume on April 20, 2020. This occurrence of negative closing clearing price for CME's WTI Oil futures trading, cannot be explained simply by just the principle of supply and demand; instead, it highlights vulnerabilities caused by CME's allowance of negative price trading (based on its trading platform), a decision which brings potential and fundamental challenges to the global financial system.This event challenges not just our basic concepts of 'value' and trading 'price' of commodities and goods that underline our understanding of the framework for the invisible hand and general equilibrium theory in economics established by a few generations of scholars since Adam Smith in 1776 for market economies, but also have wider implications on the fundamentals that underpin our ideas of value and labor in the organization, activity, and behavior of civilizations and individual liberties.The scope of this book is limited to covering the impact of the negative oil futures derivatives' trading between April 20 and 21, 2020. This book focuses on exploring the issues, challenges, and possible impacts on global financial markets due to the negative clearing prices of WTI Oil futures contracts and related problems from different perspectives. Topics covered include the responsibilities and liabilities of the CME; critique to the fundamental theory of economics and the modern understanding of value and labor; and challenges to the global financial systems and businesses and introduction to new methods of application.

Recent Developments in Mathematical Finance

Author : Jiongmin Yong
Publisher : World Scientific
ISBN 13 : 9810247974
Total Pages : 286 pages
Book Rating : 4.8/5 (12 download)

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Book Synopsis Recent Developments in Mathematical Finance by : Jiongmin Yong

Download or read book Recent Developments in Mathematical Finance written by Jiongmin Yong and published by World Scientific. This book was released on 2002 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book deals with topics such as the pricing of various contingent claims within different frameworks, risk-sensitive problems, optimal investment, defaultable term structure, etc. It also reflects on some recent developments in certain important aspects of mathematical finance.

Hidden Markov Models

Author : Robert J Elliott
Publisher : Springer Science & Business Media
ISBN 13 : 0387848541
Total Pages : 374 pages
Book Rating : 4.3/5 (878 download)

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Book Synopsis Hidden Markov Models by : Robert J Elliott

Download or read book Hidden Markov Models written by Robert J Elliott and published by Springer Science & Business Media. This book was released on 2008-09-27 with total page 374 pages. Available in PDF, EPUB and Kindle. Book excerpt: As more applications are found, interest in Hidden Markov Models continues to grow. Following comments and feedback from colleagues, students and other working with Hidden Markov Models the corrected 3rd printing of this volume contains clarifications, improvements and some new material, including results on smoothing for linear Gaussian dynamics. In Chapter 2 the derivation of the basic filters related to the Markov chain are each presented explicitly, rather than as special cases of one general filter. Furthermore, equations for smoothed estimates are given. The dynamics for the Kalman filter are derived as special cases of the authors’ general results and new expressions for a Kalman smoother are given. The Chapters on the control of Hidden Markov Chains are expanded and clarified. The revised Chapter 4 includes state estimation for discrete time Markov processes and Chapter 12 has a new section on robust control.

State-space Models with Regime Switching

Author : Chang-Jin Kim
Publisher : Mit Press
ISBN 13 : 9780262112383
Total Pages : 297 pages
Book Rating : 4.1/5 (123 download)

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Book Synopsis State-space Models with Regime Switching by : Chang-Jin Kim

Download or read book State-space Models with Regime Switching written by Chang-Jin Kim and published by Mit Press. This book was released on 1999 with total page 297 pages. Available in PDF, EPUB and Kindle. Book excerpt: Both state-space models and Markov switching models have been highly productive paths for empirical research in macroeconomics and finance. This book presents recent advances in econometric methods that make feasible the estimation of models that have both features. One approach, in the classical framework, approximates the likelihood function; the other, in the Bayesian framework, uses Gibbs-sampling to simulate posterior distributions from data.The authors present numerous applications of these approaches in detail: decomposition of time series into trend and cycle, a new index of coincident economic indicators, approaches to modeling monetary policy uncertainty, Friedman's "plucking" model of recessions, the detection of turning points in the business cycle and the question of whether booms and recessions are duration-dependent, state-space models with heteroskedastic disturbances, fads and crashes in financial markets, long-run real exchange rates, and mean reversion in asset returns.