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Stochastic Interest Rate And Stochastic Volatility Models Of Currency Futures Options
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Book Synopsis Stochastic Interest Rate and Stochastic Volatility Models of Currency Futures Options by : Thadavillil Jithendranathan
Download or read book Stochastic Interest Rate and Stochastic Volatility Models of Currency Futures Options written by Thadavillil Jithendranathan and published by . This book was released on 1993 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Currency Derivative and International Term Structure Pricing in a Stochastic Interest Rate, Stochastic Volatility and Stochastic Jump Intensity World by : Shijun Liu
Download or read book Currency Derivative and International Term Structure Pricing in a Stochastic Interest Rate, Stochastic Volatility and Stochastic Jump Intensity World written by Shijun Liu and published by . This book was released on 2007 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: We first derive closed form solutions for currency options, currency futures, future options and the term structures of interest rates in a diffusion-jump model of stochastic interest rate, stochastic volatility and time varying jump intensity in currency price. We demonstrate that the introduction of constant jump intensity in the nominal stochastic discount factor shifts the whole term structure of interest rates vertically but has no influence on its shape. However, when the jump intensity is endogenous (time varying) the shape of the term structure is influenced through the factor sensitivity of interest rates. We also document considerable improvement in currency option pricing precision over alternative models if the true model is diffusion-jump with endogenous intensity in a simulation experiment. We conclude that allowing for multidimensional interaction is of significant qualitative and quantitative importance for the pricing of currency options and for understanding the shape of the term structure.
Book Synopsis Currency Options And Exchange Rate Economics by : Zhaohui Chen
Download or read book Currency Options And Exchange Rate Economics written by Zhaohui Chen and published by World Scientific. This book was released on 1998-04-21 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume is a collection of classical and recent empirical studies of currency options and their implications for issues of exchange rate economics, such as exchange rate risk premium, volatility, market expectations, and credibility of exchange rate regimes. It contains applications on how to extract useful information from option market data for financial forecasting policy purposes. The subjects are discussed in a self-contained, user-friendly format, with introductory chapters on currency option theory and currency option markets.The book can be used as supplementary reading for graduate finance and international economics courses, as training material for central bank and regulatory authorities, or as a reference book for financial analysts.
Download or read book Options written by Stewart Dimont Hodges and published by Manchester University Press. This book was released on 1990 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stochastic Interest Rate Modeling With Fixed Income Derivative Pricing (Third Edition) by : Nicolas Privault
Download or read book Stochastic Interest Rate Modeling With Fixed Income Derivative Pricing (Third Edition) written by Nicolas Privault and published by World Scientific. This book was released on 2021-09-02 with total page 373 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces the mathematics of stochastic interest rate modeling and the pricing of related derivatives, based on a step-by-step presentation of concepts with a focus on explicit calculations. The types of interest rates considered range from short rates to forward rates such as LIBOR and swap rates, which are presented in the HJM and BGM frameworks. The pricing and hedging of interest rate and fixed income derivatives such as bond options, caps, and swaptions, are treated using forward measure techniques. An introduction to default bond pricing and an outlook on model calibration are also included as additional topics.This third edition represents a significant update on the second edition published by World Scientific in 2012. Most chapters have been reorganized and largely rewritten with additional details and supplementary solved exercises. New graphs and simulations based on market data have been included, together with the corresponding R codes.This new edition also contains 75 exercises and 4 problems with detailed solutions, making it suitable for advanced undergraduate and graduate level students.
Book Synopsis Pricing Currency Options Under Stochastic Interest Rates and Jump-Diffusion Processes by : Ako Doffou
Download or read book Pricing Currency Options Under Stochastic Interest Rates and Jump-Diffusion Processes written by Ako Doffou and published by . This book was released on 2007 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the effects of stochastic interest rates and jumps in the spot exchange rate on the pricing of currency futures, forwards and futures options. The proposed model extends Bates' model by allowing both the domestic and foreign interest rates to move around randomly, in a generalized Vasicek term-structure framework. Numerical examples show that the model prices of European currency futures options are similar to those given by Bates' and Black's models in the absence of jumps and when the volatilities of the domestic and foreign interest rates and futures price are negligible. Changes in these volatilities affect the futures options prices. bates' and Black's models underprice the European currency futures options in both the presence and the absence of jumps. The mispricing increases with the volatilities of interest rates and futures prices.
Book Synopsis Currency Option Pricing with Stochastic Interest Rates and Transaction Costs by : Mariusz Tamborski
Download or read book Currency Option Pricing with Stochastic Interest Rates and Transaction Costs written by Mariusz Tamborski and published by . This book was released on 1994 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Pricing American Options with Stochastic Interest Rates by : Kaushik I. Amin
Download or read book Pricing American Options with Stochastic Interest Rates written by Kaushik I. Amin and published by . This book was released on 1992 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Elementary Introduction To Stochastic Interest Rate Modeling, An (2nd Edition) by : Nicolas Privault
Download or read book Elementary Introduction To Stochastic Interest Rate Modeling, An (2nd Edition) written by Nicolas Privault and published by World Scientific. This book was released on 2012-05-04 with total page 243 pages. Available in PDF, EPUB and Kindle. Book excerpt: Interest rate modeling and the pricing of related derivatives remain subjects of increasing importance in financial mathematics and risk management. This book provides an accessible introduction to these topics by a step-by-step presentation of concepts with a focus on explicit calculations. Each chapter is accompanied with exercises and their complete solutions, making the book suitable for advanced undergraduate and graduate level students.This second edition retains the main features of the first edition while incorporating a complete revision of the text as well as additional exercises with their solutions, and a new introductory chapter on credit risk. The stochastic interest rate models considered range from standard short rate to forward rate models, with a treatment of the pricing of related derivatives such as caps and swaptions under forward measures. Some more advanced topics including the BGM model and an approach to its calibration are also covered.
Book Synopsis Stochastic Volatility in Financial Markets by : Fabio Fornari
Download or read book Stochastic Volatility in Financial Markets written by Fabio Fornari and published by Springer Science & Business Media. This book was released on 2000-05-31 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presenting advanced topics in financial econometrics and theoretical finance, this guide is divided into three main parts.
Book Synopsis Stochastic Interest Rates, Changing Volatility and the Pricing of Options on Stock Index Futures by : Hun Young Park
Download or read book Stochastic Interest Rates, Changing Volatility and the Pricing of Options on Stock Index Futures written by Hun Young Park and published by . This book was released on 1984 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Currency Derivatives by : David F. DeRosa
Download or read book Currency Derivatives written by David F. DeRosa and published by John Wiley & Sons. This book was released on 1998-09-07 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mit über einer Billion US Dollar Umsatz stellt der Devisenhandel weltweit den größten Markt dar. In diesem Markt sind Währungsderivate zu einem bevorzugten Handelsinstrument geworden, das von Großbanken, Brokerhäusern, Hedge Funds (spekulativ ausgerichteter Fonds, der mit Hilfe von Derivaten seine Gewinne zu optimieren versucht) und Handelsberatern eingesetzt wird. Zwar sind diese Instrumente heute komplexer denn je, aber sie sind ein unverzichtbares Mittel des Risikomanagements im Devisenhandel. Herausgegeben von führenden Devisenhändlern und Analysten, ist dieses Buch Basislektüre für jeden, der sich in diesem Bereich bewegt. Eine Sammlung der 20 besten und meist zitierten Beiträge zu Währungsderivaten, Preistheorie und Anwendungen von Hedging-Methoden (10/98)
Book Synopsis Volatility Surface and Term Structure by : Kin Keung Lai
Download or read book Volatility Surface and Term Structure written by Kin Keung Lai and published by Routledge. This book was released on 2013-09-11 with total page 113 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides different financial models based on options to predict underlying asset price and design the risk hedging strategies. Authors of the book have made theoretical innovation to these models to enable the models to be applicable to real market. The book also introduces risk management and hedging strategies based on different criterions. These strategies provide practical guide for real option trading. This book studies the classical stochastic volatility and deterministic volatility models. For the former, the classical Heston model is integrated with volatility term structure. The correlation of Heston model is considered to be variable. For the latter, the local volatility model is improved from experience of financial practice. The improved local volatility surface is then used for price forecasting. VaR and CVaR are employed as standard criterions for risk management. The options trading strategies are also designed combining different types of options and they have been proven to be profitable in real market. This book is a combination of theory and practice. Users will find the applications of these financial models in real market to be effective and efficient.
Book Synopsis Testing a Jump-Diffusion Stochastic Interest Rates Model in Currency Options Markets by : Ako Doffou
Download or read book Testing a Jump-Diffusion Stochastic Interest Rates Model in Currency Options Markets written by Ako Doffou and published by . This book was released on 2016 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: Because the publication of quot;Advances in Futures and Options Researchquot; has been discontinued, a revised version of this paper was published in the Journal of Risk. This paper examines the ability of the jump-diffusion models to explain systematic deviations in implicit distributions from the benchmark assumptions of lognormality. jumps that occur in the spot exchange rate due to supply and demand fluctuations in the currency market impose distributions for spot and futures prices that have degrees of skewness and kurtosis different from those of the lognormal. Merton (1976) model allows for diversifiable jump risk. Bates (1991,1996) model allows the jump exchange risk to be systematic and derives the correct functional form of the market price of risk. Recent transactions data on futures and futures options are used to test the jump-diffusion stochastic interest rates model developed by Doffou and Hilliard (1999a), as well as Bates' (1991,1996) and Black's (1976) models to price out-of-sample options in a British pound, German mark, and Japanese yen futures market. The tests results show that the jump-diffusion stochastic interest rates model performs better than Bates's model which in turn performs better than Black's model.
Book Synopsis Stochastic Volatility and Jumps in Interest Rates by : Ren-Raw Chen
Download or read book Stochastic Volatility and Jumps in Interest Rates written by Ren-Raw Chen and published by . This book was released on 2010 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we examine possible stochastic volatility and jumps in short-term interest rates for four major countries: US, UK, Germany and Japan. An econometric model with stochastic volatility and jumps in both rates and volatility is derived and fit to the daily data for futures interest rates in four major currencies and the model provides a better fit for the empirical distributions. The distributions for changes in Eurocurrency interest rate futures are leptokurtic with fat tails and an unusually large percentage of observations concentrated at zero. The implied volatilities for at-the-money options on interest rate futures reveal evidence of stochastic volatility, as well as jumps in volatility.
Book Synopsis Pricing of Options on Commodity Futures with Stochastic Term Structures of Convenience Yields and Interest Rates by : Kristian R. Miltersen
Download or read book Pricing of Options on Commodity Futures with Stochastic Term Structures of Convenience Yields and Interest Rates written by Kristian R. Miltersen and published by . This book was released on 1997 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Pricing Foreign Currency Options with Stochastic Volatility by : Quanwei Cao
Download or read book Pricing Foreign Currency Options with Stochastic Volatility written by Quanwei Cao and published by . This book was released on 1993 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt:
