Portfolio Selection With Transaction Costs And Jump Diffusion Asset Dynamics

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Stochastic Dominance Option Pricing

Author : Stylianos Perrakis
Publisher : Springer
ISBN 13 : 3030115909
Total Pages : 294 pages
Book Rating : 4.0/5 (31 download)

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Book Synopsis Stochastic Dominance Option Pricing by : Stylianos Perrakis

Download or read book Stochastic Dominance Option Pricing written by Stylianos Perrakis and published by Springer. This book was released on 2019-05-03 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book illustrates the application of the economic concept of stochastic dominance to option markets and presents an alternative option pricing paradigm to the prevailing no arbitrage simultaneous equilibrium in the frictionless underlying and option markets. This new methodology was developed primarily by the author, working independently or jointly with other co-authors, over the course of more than thirty years. Among others, it yields the fundamental Black-Scholes-Merton option value when markets are complete, presents a new approach to the pricing of rare event risk, and uncovers option mispricing that leads to tradeable strategies in the presence of transaction costs. In the latter case it shows how a utility-maximizing investor trading in the market and a riskless bond, subject to proportional transaction costs, can increase his/her expected utility by overlaying a zero-net-cost portfolio of options bought at their ask price and written at their bid price, irrespective of the specific form of the utility function. The book contains a unified presentation of these methods and results, making it a highly readable supplement for educators and sophisticated professionals working in the popular field of option pricing. It also features a foreword by George Constantinides, the Leo Melamed Professor of Finance at the Booth School of Business, University of Chicago, USA, who was a co-author in several parts of the book.

Quantitative Trading

Author : Xin Guo
Publisher : CRC Press
ISBN 13 : 1498706495
Total Pages : 357 pages
Book Rating : 4.4/5 (987 download)

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Book Synopsis Quantitative Trading by : Xin Guo

Download or read book Quantitative Trading written by Xin Guo and published by CRC Press. This book was released on 2017-01-06 with total page 357 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first part of this book discusses institutions and mechanisms of algorithmic trading, market microstructure, high-frequency data and stylized facts, time and event aggregation, order book dynamics, trading strategies and algorithms, transaction costs, market impact and execution strategies, risk analysis, and management. The second part covers market impact models, network models, multi-asset trading, machine learning techniques, and nonlinear filtering. The third part discusses electronic market making, liquidity, systemic risk, recent developments and debates on the subject.

Markov Decision Processes in Practice

Author : Richard J. Boucherie
Publisher : Springer
ISBN 13 : 3319477668
Total Pages : 563 pages
Book Rating : 4.3/5 (194 download)

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Book Synopsis Markov Decision Processes in Practice by : Richard J. Boucherie

Download or read book Markov Decision Processes in Practice written by Richard J. Boucherie and published by Springer. This book was released on 2017-03-10 with total page 563 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents classical Markov Decision Processes (MDP) for real-life applications and optimization. MDP allows users to develop and formally support approximate and simple decision rules, and this book showcases state-of-the-art applications in which MDP was key to the solution approach. The book is divided into six parts. Part 1 is devoted to the state-of-the-art theoretical foundation of MDP, including approximate methods such as policy improvement, successive approximation and infinite state spaces as well as an instructive chapter on Approximate Dynamic Programming. It then continues with five parts of specific and non-exhaustive application areas. Part 2 covers MDP healthcare applications, which includes different screening procedures, appointment scheduling, ambulance scheduling and blood management. Part 3 explores MDP modeling within transportation. This ranges from public to private transportation, from airports and traffic lights to car parking or charging your electric car . Part 4 contains three chapters that illustrates the structure of approximate policies for production or manufacturing structures. In Part 5, communications is highlighted as an important application area for MDP. It includes Gittins indices, down-to-earth call centers and wireless sensor networks. Finally Part 6 is dedicated to financial modeling, offering an instructive review to account for financial portfolios and derivatives under proportional transactional costs. The MDP applications in this book illustrate a variety of both standard and non-standard aspects of MDP modeling and its practical use. This book should appeal to readers for practitioning, academic research and educational purposes, with a background in, among others, operations research, mathematics, computer science, and industrial engineering.

Dynamic Asset Pricing Theory

Author : Darrell Duffie
Publisher : Princeton University Press
ISBN 13 : 1400829208
Total Pages : 488 pages
Book Rating : 4.4/5 (8 download)

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Book Synopsis Dynamic Asset Pricing Theory by : Darrell Duffie

Download or read book Dynamic Asset Pricing Theory written by Darrell Duffie and published by Princeton University Press. This book was released on 2010-01-27 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, single-agent optimality, and equilibrium. These results are unified with two key concepts, state prices and martingales. Technicalities are given relatively little emphasis, so as to draw connections between these concepts and to make plain the similarities between discrete and continuous-time models. Readers will be particularly intrigued by this latest edition's most significant new feature: a chapter on corporate securities that offers alternative approaches to the valuation of corporate debt. Also, while much of the continuous-time portion of the theory is based on Brownian motion, this third edition introduces jumps--for example, those associated with Poisson arrivals--in order to accommodate surprise events such as bond defaults. Applications include term-structure models, derivative valuation, and hedging methods. Numerical methods covered include Monte Carlo simulation and finite-difference solutions for partial differential equations. Each chapter provides extensive problem exercises and notes to the literature. A system of appendixes reviews the necessary mathematical concepts. And references have been updated throughout. With this new edition, Dynamic Asset Pricing Theory remains at the head of the field.

Handbook of Recent Advances in Commodity and Financial Modeling

Author : Giorgio Consigli
Publisher : Springer
ISBN 13 : 3319613200
Total Pages : 323 pages
Book Rating : 4.3/5 (196 download)

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Book Synopsis Handbook of Recent Advances in Commodity and Financial Modeling by : Giorgio Consigli

Download or read book Handbook of Recent Advances in Commodity and Financial Modeling written by Giorgio Consigli and published by Springer. This book was released on 2017-09-30 with total page 323 pages. Available in PDF, EPUB and Kindle. Book excerpt: This handbook includes contributions related to optimization, pricing and valuation problems, risk modeling and decision making problems arising in global financial and commodity markets from the perspective of Operations Research and Management Science. The book is structured in three parts, emphasizing common methodological approaches arising in the areas of interest: - Part I: Optimization techniques - Part II: Pricing and Valuation - Part III: Risk Modeling The book presents to a wide community of Academics and Practitioners a selection of theoretical and applied contributions on topics that have recently attracted increasing interest in commodity and financial markets. Within a structure based on the three parts, it presents recent state-of-the-art and original works related to: - The adoption of multi-criteria and dynamic optimization approaches in financial and insurance markets in presence of market stress and growing systemic risk; - Decision paradigms, based on behavioral finance or factor-based, or more classical stochastic optimization techniques, applied to portfolio selection problems including new asset classes such as alternative investments; - Risk measurement methodologies, including model risk assessment, recently applied to energy spot and future markets and new risk measures recently proposed to evaluate risk-reward trade-offs in global financial and commodity markets; and derivatives portfolio hedging and pricing methods recently put forward in the financial community in the aftermath of the global financial crisis.

Recent Advances in Applied Probability

Author : Ricardo Baeza-Yates
Publisher : Springer Science & Business Media
ISBN 13 : 0387233946
Total Pages : 497 pages
Book Rating : 4.3/5 (872 download)

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Book Synopsis Recent Advances in Applied Probability by : Ricardo Baeza-Yates

Download or read book Recent Advances in Applied Probability written by Ricardo Baeza-Yates and published by Springer Science & Business Media. This book was released on 2006-02-28 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: Applied probability is a broad research area that is of interest to scientists in diverse disciplines in science and technology, including: anthropology, biology, communication theory, economics, epidemiology, finance, geography, linguistics, medicine, meteorology, operations research, psychology, quality control, sociology, and statistics. Recent Advances in Applied Probability is a collection of survey articles that bring together the work of leading researchers in applied probability to present current research advances in this important area. This volume will be of interest to graduate students and researchers whose research is closely connected to probability modelling and their applications. It is suitable for one semester graduate level research seminar in applied probability.

Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes)

Author : Cheng Few Lee
Publisher : World Scientific
ISBN 13 : 9811202400
Total Pages : 5053 pages
Book Rating : 4.8/5 (112 download)

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Book Synopsis Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) by : Cheng Few Lee

Download or read book Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) written by Cheng Few Lee and published by World Scientific. This book was released on 2020-07-30 with total page 5053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.

Economic Dynamics and Information

Author : Jaroslav Zajac
Publisher : Springer Science & Business Media
ISBN 13 : 3540326952
Total Pages : 274 pages
Book Rating : 4.5/5 (43 download)

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Book Synopsis Economic Dynamics and Information by : Jaroslav Zajac

Download or read book Economic Dynamics and Information written by Jaroslav Zajac and published by Springer Science & Business Media. This book was released on 2007-08-01 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book analyzes the existence of equilibria in economies having a measured space of agents and a continuum of agents and commodities. Excessive homogeneity with respect to agent productivity leads to instability and non-uniqueness of a given stationary state and the indeterminacy of the corresponding stationary state equilibrium. Sufficient heterogeneity leads to global saddle-path stability, uniqueness of a given stationary state and the global uniqueness of the corresponding equilibrium.

Strategic Asset Allocation

Author : John Y. Campbell
Publisher : OUP Oxford
ISBN 13 : 019160691X
Total Pages : 272 pages
Book Rating : 4.1/5 (916 download)

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Book Synopsis Strategic Asset Allocation by : John Y. Campbell

Download or read book Strategic Asset Allocation written by John Y. Campbell and published by OUP Oxford. This book was released on 2002-01-03 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.

Journal of Mathematical Economics

Author :
Publisher :
ISBN 13 :
Total Pages : 1022 pages
Book Rating : 4.:/5 (49 download)

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Book Synopsis Journal of Mathematical Economics by :

Download or read book Journal of Mathematical Economics written by and published by . This book was released on 2001 with total page 1022 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Financial Modelling with Jump Processes

Author : Peter Tankov
Publisher : CRC Press
ISBN 13 : 1135437947
Total Pages : 552 pages
Book Rating : 4.1/5 (354 download)

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Book Synopsis Financial Modelling with Jump Processes by : Peter Tankov

Download or read book Financial Modelling with Jump Processes written by Peter Tankov and published by CRC Press. This book was released on 2003-12-30 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic

Methods of Mathematical Finance

Author : Ioannis Karatzas
Publisher : Springer
ISBN 13 : 1493968459
Total Pages : 426 pages
Book Rating : 4.4/5 (939 download)

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Book Synopsis Methods of Mathematical Finance by : Ioannis Karatzas

Download or read book Methods of Mathematical Finance written by Ioannis Karatzas and published by Springer. This book was released on 2017-01-10 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: This sequel to Brownian Motion and Stochastic Calculus by the same authors develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets, within the context of Brownian-motion-driven asset prices. The latter topic is extended to a study of equilibrium, providing conditions for existence and uniqueness of market prices which support trading by several heterogeneous agents. Although much of the incomplete-market material is available in research papers, these topics are treated for the first time in a unified manner. The book contains an extensive set of references and notes describing the field, including topics not treated in the book. This book will be of interest to researchers wishing to see advanced mathematics applied to finance. The material on optimal consumption and investment, leading to equilibrium, is addressed to the theoretical finance community. The chapters on contingent claim valuation present techniques of practical importance, especially for pricing exotic options.

A First Course in Quantitative Finance

Author : Thomas Mazzoni
Publisher : Cambridge University Press
ISBN 13 : 1108419577
Total Pages : 599 pages
Book Rating : 4.1/5 (84 download)

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Book Synopsis A First Course in Quantitative Finance by : Thomas Mazzoni

Download or read book A First Course in Quantitative Finance written by Thomas Mazzoni and published by Cambridge University Press. This book was released on 2018-03-29 with total page 599 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using stereoscopic images and other novel pedagogical features, this book offers a comprehensive introduction to quantitative finance.

Report

Author : Universitetet i Bergen. Department of Applied Mathematics
Publisher :
ISBN 13 :
Total Pages : 62 pages
Book Rating : 4.E/5 ( download)

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Book Synopsis Report by : Universitetet i Bergen. Department of Applied Mathematics

Download or read book Report written by Universitetet i Bergen. Department of Applied Mathematics and published by . This book was released on 2000 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Encyclopedia of Finance

Author : Cheng-Few Lee
Publisher : Springer Science & Business Media
ISBN 13 : 0387262849
Total Pages : 861 pages
Book Rating : 4.3/5 (872 download)

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Book Synopsis Encyclopedia of Finance by : Cheng-Few Lee

Download or read book Encyclopedia of Finance written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2006-07-27 with total page 861 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a major new reference work covering all aspects of finance. Coverage includes finance (financial management, security analysis, portfolio management, financial markets and instruments, insurance, real estate, options and futures, international finance) and statistical applications in finance (applications in portfolio analysis, option pricing models and financial research). The project is designed to attract both an academic and professional market. It also has an international approach to ensure its maximum appeal. The Editors' wish is that the readers will find the encyclopedia to be an invaluable resource.

Optimal Control of Credit Risk

Author : Didier Cossin
Publisher : Springer Science & Business Media
ISBN 13 : 1461513936
Total Pages : 105 pages
Book Rating : 4.4/5 (615 download)

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Book Synopsis Optimal Control of Credit Risk by : Didier Cossin

Download or read book Optimal Control of Credit Risk written by Didier Cossin and published by Springer Science & Business Media. This book was released on 2012-11-28 with total page 105 pages. Available in PDF, EPUB and Kindle. Book excerpt: Optimal Control of Credit Risk presents an alternative methodology to deal with a financial problem that has not been well analyzed yet: the control of credit risk. Credit risk has become recently the center of interest of the financial community, with new instruments (such as Credit Risk Derivatives) and new methodologies (such as Credit Metrics) being developed. The recent literature has focused on the pricing of credit risk. On the other hand, practitioners tend to eliminate credit risk rather than price it. They do so via collateralization. The authors propose here a methodological basis for an optimal collateralization. The monograph is organized as follows: Chapter 1 reviews the main avenues of literature related to our problem; Chapter 2 provides a brief overview of the main optimal control principles; and Chapter 3 presents the models and their setting. In the remaining chapters, the authors propose two sets of programs. One set of programs will apply in cases where the information on the assets=value is readily available (full observation case), while the other applies when costly audits are needed in order to assess this value (partial observation case). In either case, the modeling stage leads to a set of quasi-variational inequalities which the authors attempt to solve numerically in the simpler case of full observations. This is done in Chapter 6. Finally a simulation analysis is carried out in Chapter 7, in which the authors study the influence on the control process of changes in the different model parameters. This precedes a discussion on possible extensions in Chapter 8 and some concluding remarks in Section 9.

Mathematical Systems Theory in Biology, Communications, Computation and Finance

Author : Joachim Rosenthal
Publisher : Springer Science & Business Media
ISBN 13 : 9780387403199
Total Pages : 528 pages
Book Rating : 4.4/5 (31 download)

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Book Synopsis Mathematical Systems Theory in Biology, Communications, Computation and Finance by : Joachim Rosenthal

Download or read book Mathematical Systems Theory in Biology, Communications, Computation and Finance written by Joachim Rosenthal and published by Springer Science & Business Media. This book was released on 2003-09-02 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains survey and research articles by some of the leading researchers in mathematical systems theory - a vibrant research area in its own right. Many authors have taken special care that their articles are self-contained and accessible also to non-specialists.