Pricing American Options In Regime Switching Models

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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.

American-Type Options

Author : Dmitrii S. Silvestrov
Publisher : Walter de Gruyter
ISBN 13 : 3110329824
Total Pages : 520 pages
Book Rating : 4.1/5 (13 download)

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Book Synopsis American-Type Options by : Dmitrii S. Silvestrov

Download or read book American-Type Options written by Dmitrii S. Silvestrov and published by Walter de Gruyter. This book was released on 2013-11-27 with total page 520 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book gives a systematical presentation of stochastic approximation methods for models of American-type options with general pay-off functions for discrete time Markov price processes. Advanced methods combining backward recurrence algorithms for computing of option rewards and general results on convergence of stochastic space skeleton and tree approximations for option rewards are applied to a variety of models of multivariate modulated Markov price processes. The principal novelty of presented results is based on consideration of multivariate modulated Markov price processes and general pay-off functions, which can depend not only on price but also an additional stochastic modulating index component, and use of minimal conditions of smoothness for transition probabilities and pay-off functions, compactness conditions for log-price processes and rate of growth conditions for pay-off functions. The book also contains an extended bibliography of works in the area. This book is the first volume of the comprehensive two volumes monograph. The second volume will present results on structural studies of optimal stopping domains, Monte Carlo based approximation reward algorithms, and convergence of American-type options for autoregressive and continuous time models, as well as results of the corresponding experimental studies.

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.

Hidden Markov Models in Finance

Author : Rogemar S. Mamon
Publisher : Springer
ISBN 13 : 1489974423
Total Pages : 280 pages
Book Rating : 4.4/5 (899 download)

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Book Synopsis Hidden Markov Models in Finance by : Rogemar S. Mamon

Download or read book Hidden Markov Models in Finance written by Rogemar S. Mamon and published by Springer. This book was released on 2014-05-14 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the groundbreaking research of Harry Markowitz into the application of operations research to the optimization of investment portfolios, finance has been one of the most important areas of application of operations research. The use of hidden Markov models (HMMs) has become one of the hottest areas of research for such applications to finance. This handbook offers systemic applications of different methodologies that have been used for decision making solutions to the financial problems of global markets. As the follow-up to the authors’ Hidden Markov Models in Finance (2007), this offers the latest research developments and applications of HMMs to finance and other related fields. Amongst the fields of quantitative finance and actuarial science that will be covered are: interest rate theory, fixed-income instruments, currency market, annuity and insurance policies with option-embedded features, investment strategies, commodity markets, energy, high-frequency trading, credit risk, numerical algorithms, financial econometrics and operational risk. Hidden Markov Models in Finance: Further Developments and Applications, Volume II presents recent applications and case studies in finance and showcases the formulation of emerging potential applications of new research over the book’s 11 chapters. This will benefit not only researchers in financial modeling, but also others in fields such as engineering, the physical sciences and social sciences. Ultimately the handbook should prove to be a valuable resource to dynamic researchers interested in taking full advantage of the power and versatility of HMMs in accurately and efficiently capturing many of the processes in the financial market.

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.

Hidden Markov Models in Finance

Author : Rogemar S. Mamon
Publisher : Springer Science & Business Media
ISBN 13 : 0387711635
Total Pages : 203 pages
Book Rating : 4.3/5 (877 download)

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Book Synopsis Hidden Markov Models in Finance by : Rogemar S. Mamon

Download or read book Hidden Markov Models in Finance written by Rogemar S. Mamon and published by Springer Science & Business Media. This book was released on 2007-04-26 with total page 203 pages. Available in PDF, EPUB and Kindle. Book excerpt: A number of methodologies have been employed to provide decision making solutions globalized markets. Hidden Markov Models in Finance offers the first systematic application of these methods to specialized financial problems: option pricing, credit risk modeling, volatility estimation and more. The book provides tools for sorting through turbulence, volatility, emotion, chaotic events – the random "noise" of financial markets – to analyze core components.

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 Optimization

Author : Stanislav Uryasev
Publisher : Springer Science & Business Media
ISBN 13 : 1475765940
Total Pages : 438 pages
Book Rating : 4.4/5 (757 download)

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Book Synopsis Stochastic Optimization by : Stanislav Uryasev

Download or read book Stochastic Optimization written by Stanislav Uryasev and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 438 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic programming is the study of procedures for decision making under the presence of uncertainties and risks. Stochastic programming approaches have been successfully used in a number of areas such as energy and production planning, telecommunications, and transportation. Recently, the practical experience gained in stochastic programming has been expanded to a much larger spectrum of applications including financial modeling, risk management, and probabilistic risk analysis. Major topics in this volume include: (1) advances in theory and implementation of stochastic programming algorithms; (2) sensitivity analysis of stochastic systems; (3) stochastic programming applications and other related topics. Audience: Researchers and academies working in optimization, computer modeling, operations research and financial engineering. The book is appropriate as supplementary reading in courses on optimization and financial engineering.

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

Data Analysis and Related Applications 3

Author : Yiannis Dimotikalis
Publisher : John Wiley & Sons
ISBN 13 : 1394284055
Total Pages : 269 pages
Book Rating : 4.3/5 (942 download)

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Book Synopsis Data Analysis and Related Applications 3 by : Yiannis Dimotikalis

Download or read book Data Analysis and Related Applications 3 written by Yiannis Dimotikalis and published by John Wiley & Sons. This book was released on 2024-04-10 with total page 269 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book is a collective work by a number of leading scientists, analysts, engineers, mathematicians and statisticians who have been working at the forefront of data analysis and related applications, arising from data science, operations research, engineering, machine learning or statistics. The chapters of this collaborative work represent a cross-section of current research interests in the above scientific areas. The collected material has been divided into appropriate sections to provide the reader with both theoretical and applied information on data analysis methods, models and techniques, along with appropriate applications. The published data analysis methodology includes the updated state-of-the-art rapidly developed theory and applications of data expansion, both of which go through outstanding changes nowadays. New approaches are expected to deliver and have been developed, including Artificial Intelligence.

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.

Finance at Fields

Author : Matheus R. Grasselli
Publisher : World Scientific
ISBN 13 : 9814407887
Total Pages : 598 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis Finance at Fields by : Matheus R. Grasselli

Download or read book Finance at Fields written by Matheus R. Grasselli and published by World Scientific. This book was released on 2013 with total page 598 pages. Available in PDF, EPUB and Kindle. Book excerpt: This outstanding collection of articles includes papers presented at the Fields Institute, Toronto, as part of the Thematic Program in Quantitative Finance that took place in the first six months of the year 2010. The scope of the volume in very broad, including papers on foundational issues in mathematical finance, papers on computational finance, and papers on derivatives and risk management. Many of the articles contain path-breaking insights that are relevant to the developing new order of post-crisis financial risk management.

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.

Data Analysis and Related Applications, Volume 2

Author : Konstantinos N. Zafeiris
Publisher : John Wiley & Sons
ISBN 13 : 1786307723
Total Pages : 452 pages
Book Rating : 4.7/5 (863 download)

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Book Synopsis Data Analysis and Related Applications, Volume 2 by : Konstantinos N. Zafeiris

Download or read book Data Analysis and Related Applications, Volume 2 written by Konstantinos N. Zafeiris and published by John Wiley & Sons. This book was released on 2022-10-25 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt: The scientific field of data analysis is constantly expanding due to the rapid growth of the computer industry and the wide applicability of computational and algorithmic techniques, in conjunction with new advances in statistical, stochastic and analytic tools. There is a constant need for new, high-quality publications to cover the recent advances in all fields of science and engineering. This book is a collective work by a number of leading scientists, computer experts, analysts, engineers, mathematicians, probabilists and statisticians who have been working at the forefront of data analysis and related applications. The chapters of this collaborative work represent a cross-section of current concerns, developments and research interests in the above scientific areas. The collected material has been divided into appropriate sections to provide the reader with both theoretical and applied information on data analysis methods, models and techniques, along with related applications.

Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities

Author : Anatoli? Vital?evich Svishchuk
Publisher : World Scientific
ISBN 13 : 9814440132
Total Pages : 326 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities by : Anatoli? Vital?evich Svishchuk

Download or read book Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities written by Anatoli? Vital?evich Svishchuk and published by World Scientific. This book was released on 2013 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities is devoted to the modeling and pricing of various kinds of swaps, such as those for variance, volatility, covariance, correlation, for financial and energy markets with different stochastic volatilities, which include CIR process, regime-switching, delayed, mean-reverting, multi-factor, fractional, Levy-based, semi-Markov and COGARCH(1,1). One of the main methods used in this book is change of time method. The book outlines how the change of time method works for different kinds of models and problems arising in financial and energy markets and the associated problems in modeling and pricing of a variety of swaps. The book also contains a study of a new model, the delayed Heston model, which improves the volatility surface fitting as compared with the classical Heston model. The author calculates variance and volatility swaps for this model and provides hedging techniques. The book considers content on the pricing of variance and volatility swaps and option pricing formula for mean-reverting models in energy markets. Some topics such as forward and futures in energy markets priced by multi-factor Levy models and generalization of Black-76 formula with Markov-modulated volatility are part of the book as well, and it includes many numerical examples such as S&P60 Canada Index, S&P500 Index and AECO Natural Gas Index.

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

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.