Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Download Pricing Sp 500 Index Options Using A Hilbert Space Basis full books in PDF, epub, and Kindle. Read online Pricing Sp 500 Index Options Using A Hilbert Space Basis ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author : Peter Albert Abken
Publisher :
ISBN 13 :
Total Pages : 41 pages
Book Rating : 4.:/5 (365 download)
Download or read book Pricing S&P %500 Index Options Using a Hilbert Space Basis written by Peter Albert Abken and published by . This book was released on 1996 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Peter A. Abken
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Pricing S&P 500 Index Options Using a Hilbert Space Basis written by Peter A. Abken and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper tests the approach of Madan and Milne (1994) and its extension in Abken, Madan, and Ramamurtie (1996) for pricing contingent claims as elements of a separable Hilbert space. We specialize the Hilbert space basis to the family of Hermite polynomials and test the model on Samp;P 500 index options. Restrictions on the prices of Hermite polynomial risk are imposed that allow all option maturity classes to be used in estimation. These restrictions are rejected by our empirical tests of a four-parameter specification of the model. Nevertheless, the unrestricted four-parameter model, based on a single maturity class, demonstrates better out-of-sample performance than that of the Black-Scholes version of the Hermite model. The unrestricted four- parameter model results indicate skewness and excess kurtosis in the implied risk-neutral density. The skewness of the risk-neutral density contrasts with the symmetry of the statistical density estimated using the Hermite model on the Samp;P 500 index returns.
Author : Peter Albert Abken
Publisher :
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4.0/5 ( download)
Download or read book Pricing S&P 500 Index Options Using a Hilbert Space Basis written by Peter Albert Abken and published by . This book was released on 1996 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Constantin Zopounidis
Publisher : Springer Science & Business Media
ISBN 13 : 0387766820
Total Pages : 494 pages
Book Rating : 4.3/5 (877 download)
Download or read book Handbook of Financial Engineering written by Constantin Zopounidis and published by Springer Science & Business Media. This book was released on 2010-07-25 with total page 494 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive handbook discusses the most recent advances within the field of financial engineering, focusing not only on the description of the existing areas in financial engineering research, but also on the new methodologies that have been developed for modeling and addressing financial engineering problems. The book is intended for financial engineers, researchers, applied mathematicians, and graduate students interested in real-world applications to financial engineering.
Author : Ma Chenghu
Publisher : World Scientific Publishing Company
ISBN 13 : 1911299522
Total Pages : 816 pages
Book Rating : 4.9/5 (112 download)
Download or read book Advanced Asset Pricing Theory written by Ma Chenghu and published by World Scientific Publishing Company. This book was released on 2011-01-03 with total page 816 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a broad introduction of modern asset pricing theory with equal treatments for both discrete-time and continuous-time modeling. Both the no-arbitrage and the general equilibrium approaches of asset pricing theory are treated coherently within the general equilibrium framework.The analyses and coverage are up to date, comprehensive and in-depth. Topics include microeconomic foundation of asset pricing theory, the no-arbitrage principle and fundamental theorem, risk measurement and risk management, sequential portfolio choice, equity premium decomposition, option pricing, bond pricing and term structure of interest rates. The merits and limitations are expounded with respect to allocation and information market efficiency, along with the classical expectations hypothesis concerning the information content of yield curve and bond prices. Efforts are also made towards the resolution of several well-documented puzzles in empirical finance, which include the equity premium puzzle, the risk free rate puzzle, and the money-ness bias phenomenon of Black-Scholes option pricing model.The theory is self-contained and unified in presentation. The inclusion of proofs and derivations to enhance the transparency of the underlying arguments and conditions for the validity of the economic theory makes an ideal advanced textbook or reference book for graduate students specializing in financial economics and quantitative finance. The explanations are detailed enough to capture the interest of those curious readers, and complete enough to provide necessary background material needed to explore further the subject and research literature.
Author : Robert L. Geske
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Pricing S&P 500 Index Put Options written by Robert L. Geske and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The primary purpose of this paper is to examine whether leverage has a significant statistical and economic effect on the pricing of Samp;P 500 index put options. The secondary purpose is to present information regarding the shape and persistent smile rather than skew of the implied volatility function. This is the first paper to directly test for leverage effects in stock index put options. To analyze these effects we use the Geske (1979) compound option model. The Geske model is closed form, implies stochastic equity volatility, is consistent with Modigliani and Miller, incorporates debt refinancing, and includes possibly differential default and bankruptcy. Black-Scholes (1973) is a special case of the Geske model. In this paper we show that during the years 1996-2004 the aggregate market based debt to equity (D/E) ratio of the firms comprising the Samp;P 500 equity index varies from about 40-120 percent. We believe that we are the first to present a market D/E ratio derived from option theory. We also present evidence that on an average of about 200,000 options during this 8 year period the implied volatility most often exhibits a smile not a smirk or skew. Next and more importantly we are the first to report the details of the statistically significant economic effects that market leverage has on pricing Samp;P 500 index put options. We measure that the Geske model improves the net option valuation of listed in the money (or out of the money) Samp;P 500 index put options on average by about 37% (19%) compared to Black-Scholes values. We demonstrate that the improvement is directly (and monotonically) related to both the time to expiration of the option and the amount of leverage in this market index. For options with longer expirations and/or periods of higher market leverage the improvement is greater, ranging from about 50% to 85%. We also demonstrate economic significance in basis points by showing that dealers making a book in index options can expect benefits of at least several 100 basis points using Geske instead of Black-Scholes. Finally we show that the per cent pricing errors compare very favorably with Heston-Nandi (2000).
Author :
Publisher :
ISBN 13 :
Total Pages : 82 pages
Book Rating : 4.:/5 (31 download)
Download or read book The Fed in Print written by and published by . This book was released on 1996 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book S&P 500 written by and published by . This book was released on 1988 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Minqiang Li
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (129 download)
Download or read book A 'Horse Race' Among Competing Option Pricing Models Using S&P 500 Index Options written by Minqiang Li and published by . This book was released on 2008 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: The last three decades have witnessed a whole array of option pricing models. We compare the predictive performances of a selection of models by carrying out a horse race on Samp;P 500 index options along the lines of Jackwerth and Rubinstein (2001). The models we consider include: Black-Scholes, trader rules, Heston's stochastic volatility model, Merton's jump diffusion models with and without stochastic volatility, and more recent Levy type models. Trader rules still dominate mathematically more sophisticated models, and the performance of the trader rules is further improved by incorporating the stable index skew pattern documented in Li and Pearson (2005). Furthermore, after incorporating the stable index skew pattern, the Black-Scholes model beats all mathematically more sophisticated models in almost all cases. Mathematically more sophisticated models vary in their overall performance and their relative accuracy in forecasting future volatility levels and future volatility skew shapes.
Author : Cameron Gleeson
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (226 download)
Download or read book Pricing and Hedging S&P 500 Index Options written by Cameron Gleeson and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gunther Capelle-Blancard
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (129 download)
Download or read book Spider Options and the S&P 500 Index Options Market written by Gunther Capelle-Blancard and published by . This book was released on 2011 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using daily closing options data for the January 01, 2004 to June 30, 2005 period, we examine if the listing of Spider options on January 10, 2005 had any major impact on the quoted bid-ask spread, volume and implied volatility pattern of the Samp;P 500 Index options. Based on regression-based measures proposed in this paper, we find the call spread and volume to shrink, and the put spread and volume to rise, leading to a minor net volume decline in total. Consequently, index put transaction cost rises for the investors and the market makers enjoy a boost in revenue while the CBOE's fee revenue perhaps suffers a little. Considering spread and volume effects, the liquidity implication is uncertain. Pricing of the Samp;P 500 Index options is not affected as the implied volatility pattern remains largely in tact.
Author : Ruslan Goyenko
Publisher :
ISBN 13 :
Total Pages : 76 pages
Book Rating : 4.:/5 (13 download)
Download or read book Price Pressures and Option Returns written by Ruslan Goyenko and published by . This book was released on 2020 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: Delta-hedged option and straddle returns on S&P500 Index and equity options computed using end-of-day closing prices are always higher compared to those based on any other price of the day. The difference between these returns can easily reach more than 100 bps per day. Price pressures combined with options market makers' overnight inventory risks explain the results. We use an introduction of SPX night trading as a resolution of overnight uncertainty exogenous event and are able to differentiate the price pressure hypothesis from all other mispricing based explanations. Computing returns using first half of the day prices, where most of price discovery takes place, helps explain several anomalies in the literature and establish identical volatility pricing across equity and index options.
Author : Jens Carsten Jackwerth
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (95 download)
Download or read book Option-Implied Risk-Neutral Distributions and Risk Aversion written by Jens Carsten Jackwerth and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Federal Reserve Bank of Atlanta
Publisher :
ISBN 13 :
Total Pages : 288 pages
Book Rating : 4.3/5 (91 download)
Download or read book Economic Review written by Federal Reserve Bank of Atlanta and published by . This book was released on 1997 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Söhnke M. Bartram
Publisher : CFA Institute Research Foundation
ISBN 13 : 195292703X
Total Pages : 95 pages
Book Rating : 4.9/5 (529 download)
Download or read book Artificial Intelligence in Asset Management written by Söhnke M. Bartram and published by CFA Institute Research Foundation. This book was released on 2020-08-28 with total page 95 pages. Available in PDF, EPUB and Kindle. Book excerpt: Artificial intelligence (AI) has grown in presence in asset management and has revolutionized the sector in many ways. It has improved portfolio management, trading, and risk management practices by increasing efficiency, accuracy, and compliance. In particular, AI techniques help construct portfolios based on more accurate risk and return forecasts and more complex constraints. Trading algorithms use AI to devise novel trading signals and execute trades with lower transaction costs. AI also improves risk modeling and forecasting by generating insights from new data sources. Finally, robo-advisors owe a large part of their success to AI techniques. Yet the use of AI can also create new risks and challenges, such as those resulting from model opacity, complexity, and reliance on data integrity.
Author : Martin Vetterli
Publisher : Cambridge University Press
ISBN 13 : 1139916572
Total Pages : 745 pages
Book Rating : 4.1/5 (399 download)
Download or read book Foundations of Signal Processing written by Martin Vetterli and published by Cambridge University Press. This book was released on 2014-09-04 with total page 745 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive and engaging textbook introduces the basic principles and techniques of signal processing, from the fundamental ideas of signals and systems theory to real-world applications. Students are introduced to the powerful foundations of modern signal processing, including the basic geometry of Hilbert space, the mathematics of Fourier transforms, and essentials of sampling, interpolation, approximation and compression The authors discuss real-world issues and hurdles to using these tools, and ways of adapting them to overcome problems of finiteness and localization, the limitations of uncertainty, and computational costs. It includes over 160 homework problems and over 220 worked examples, specifically designed to test and expand students' understanding of the fundamentals of signal processing, and is accompanied by extensive online materials designed to aid learning, including Mathematica® resources and interactive demonstrations.
Author : Richard R. Lindsey
Publisher : John Wiley & Sons
ISBN 13 : 1118044754
Total Pages : 406 pages
Book Rating : 4.1/5 (18 download)
Download or read book How I Became a Quant written by Richard R. Lindsey and published by John Wiley & Sons. This book was released on 2011-01-11 with total page 406 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for How I Became a Quant "Led by two top-notch quants, Richard R. Lindsey and Barry Schachter, How I Became a Quant details the quirky world of quantitative analysis through stories told by some of today's most successful quants. For anyone who might have thought otherwise, there are engaging personalities behind all that number crunching!" --Ira Kawaller, Kawaller & Co. and the Kawaller Fund "A fun and fascinating read. This book tells the story of how academics, physicists, mathematicians, and other scientists became professional investors managing billions." --David A. Krell, President and CEO, International Securities Exchange "How I Became a Quant should be must reading for all students with a quantitative aptitude. It provides fascinating examples of the dynamic career opportunities potentially open to anyone with the skills and passion for quantitative analysis." --Roy D. Henriksson, Chief Investment Officer, Advanced Portfolio Management "Quants"--those who design and implement mathematical models for the pricing of derivatives, assessment of risk, or prediction of market movements--are the backbone of today's investment industry. As the greater volatility of current financial markets has driven investors to seek shelter from increasing uncertainty, the quant revolution has given people the opportunity to avoid unwanted financial risk by literally trading it away, or more specifically, paying someone else to take on the unwanted risk. How I Became a Quant reveals the faces behind the quant revolution, offering you?the?chance to learn firsthand what it's like to be a?quant today. In this fascinating collection of Wall Street war stories, more than two dozen quants detail their roots, roles, and contributions, explaining what they do and how they do it, as well as outlining the sometimes unexpected paths they have followed from the halls of academia to the front lines of an investment revolution.
